gate60 signal source: frozen production.signal.gate60_targets Equity leg = validated long-only momentum (top-10/500, L=126, H=21, net@10bps, next-open). Crypto leg = gate60 (long BTC+ETH basket when ETH>SMA200 & ETH_ROC60>0 & BTC_ROC60>0, else flat), 10bps per-flip. Both daily, sqrt(365) annualized.
Standalone
| Sleeve | Window | CAGR | Sharpe | maxDD |
|---|---|---|---|---|
| Equity momentum | 2006-08..2026-08 | +37.2% | 1.37 | -58.6% |
| Gate60 crypto | 2022-12..2026-07 | +22.2% | 0.86 | -21.0% |
| Equity momentum (overlap win only) | 2022-12..2026-08 | +92.0% | 2.08 | -40.2% |
Correlation(equity, crypto) over overlap 2022-12..2026-07: 0.14
Combined book (weight = equity share, L = leverage)
WINDOW WARNING: both legs only coexist from 2022-12 to 2026-07 (~3.5 yrs, a strong bull). ALL combined numbers below are over this SHORT, bullish window — illustrative of the diversification math, NOT a validated forward CAGR. The equity leg's reliable full-history stats are in the standalone table above.
| w(eq) | L | CAGR | Sharpe | maxDD |
|---|---|---|---|---|
| 0.25 | 1.00 | +30.7% | 1.51 | -25.1% |
| 0.25 | 1.25 | +38.5% | 1.51 | -30.7% |
| 0.25 | 1.50 | +46.3% | 1.51 | -36.1% |
| 0.25 | 2.00 | +61.6% | 1.51 | -45.9% |
| 0.50 | 1.00 | +50.0% | 1.99 | -22.1% |
| 0.50 | 1.25 | +64.1% | 1.99 | -27.0% |
| 0.50 | 1.50 | +78.7% | 1.99 | -31.9% |
| 0.50 | 2.00 | +109.2% | 1.99 | -41.2% |
| 0.75 | 1.00 | +69.6% | 2.09 | -31.6% |
| 0.75 | 1.25 | +90.1% | 2.09 | -38.2% |
| 0.75 | 1.50 | +111.5% | 2.09 | -44.2% |
| 0.75 | 2.00 | +156.1% | 2.09 | -54.9% |
| 1.00 | 1.00 | +89.2% | 2.05 | -40.2% |
| 1.00 | 1.25 | +115.5% | 2.05 | -48.0% |
| 1.00 | 1.50 | +142.5% | 2.05 | -54.9% |
| 1.00 | 2.00 | +196.2% | 2.05 | -66.7% |
Reading
- Low correlation (0.14) means the crypto leg genuinely diversifies the equity leg: a 50/50 book can be levered MORE for the same drawdown than 2x on equity alone. The combined book's Sharpe (1.5-2.1) exceeds either sleeve alone — that is the diversification benefit, and it is real in principle.
- BUT the crypto leg is UNVALIDATED: its data starts 2022-12 (post-FTX-bottom) and covers only ~3.5 bullish years (CAGR +22%, Sharpe 0.86). Gate60 is already a LIVE paper system, so its real track record will accumulate — do not trust the backtest CAGR yet.
- The equity leg's reliable full-history drawdown is -59% (2008). Any combined CAGR > ~40% implies a -30% to -55% drawdown in a real cycle; size for that, not for the bull window.
- Practical high-return recipe from this table (treating the diversification as real but the levels as optimistic): a 50/50 book at ~1.25-1.5x leverage targets ~60-80% CAGR with a diversification-reduced drawdown vs 2x equity alone. Paper-only, fail-closed — safe to experiment.