TideAlphaTheme Money Flow + volatility brake
Three themes where dollar volume expanded most, with a weekly brake that halves the book when its own volatility jumps.
What it holds
For each theme the book adds up the dollar volume of the holdable members, then divides the 21-day average by the 252-day average. A theme qualifies when it also sits in the top 40% of themes by median six-month member return and at least half its members trade above 1.2 times their own year of dollar volume. The book holds the three highest flow ratios, a third each, split evenly over the members. Price says a theme moved; dollar volume says how many people took part. Every Friday the book compares its own 21-day volatility with its 126-day volatility, and runs at half weight for the next week when the ratio is above 1.5. On 2026-08-21 the live book held T:PSYCHEDE, T:MEMORY and T:HYDROGEN over 9 stocks, with the brake at 1.16 against the 1.5 trigger, so at full weight.
The numbers
CAGR and worst loss on month-end values, so the worst loss is a drawdown and not one month. Sharpe on monthly returns at 0% risk-free. One basis for every row: members holdable after 126 sessions and $1M of daily dollar volume, decisions at the close, fills at the next close, 10 bps a side, idle cash at the 3-month bill.
| Book | CAGR | Sharpe | Worst loss | Window | Basis |
|---|---|---|---|---|---|
| Theme Money Flow + volatility brake this book | 38.4% | 0.98 | -40% | 2003-12 to 2026-08 | 150 themes, three sleeves, 0.96x mean exposure |
| SPY buy and hold | 11.1% | 0.80 | -51% | 2003-12 to 2026-08 | SPY, one position |
| Equal-weight theme basket | 17.5% | 0.89 | -51% | 2003-12 to 2026-08 | 150 themes, every holdable member |
- Worst loss without rounding: -39.6%. Annual volatility 41.6% and Calmar 0.97 on the same basis.
- The brake beats the same book without it by 0.043 Sharpe and 10.5 drawdown points at 0.96x mean exposure (results/themestrat_limitdd_brakes.json). The book without the brake sits at the 100th percentile for CAGR and Sharpe against 500 random three-theme books, whose median is 12.9% a year (results/themestrat_more_a.json).
- Source: results/themestrat_limitdd_brakes.json, read through crashdash/results/oracle_audit.json (rule_books, generated 2026-08-27), which carries the row of each source file named below.
- Every row is in sample. The rules were chosen with the full history in view, and the theme list is the 2026 list, so themes that died without a surviving member are missing. Live results from 2026-08-31 are the only holdout.
What it means for an investor
- In a bad year the loss comes from the themes, not the market. It lost 13% in 2008, 32% in 2011 and 1% in 2022. Its two worst months are -27.5% (2026-07) and -23.2% (2025-02), and the worst loss on month-end values is -39.6%, the deepest of the two rule books.
- Turnover is 15.6x a year plus a brake decision every Friday. It needs daily dollar volume for every member, so it is the most data-hungry of the five rows.
- The brake does not predict. It reads the book's own volatility, so it is late by design and it costs return in a fast recovery. It is one rule declared before the test, not a fitted stack.
- Sharpe 0.98 sits below Theme Index Breakout at 1.00 although CAGR is 2.0 points higher, because volatility is 41.6% against 38.2%.
- The row is in sample. The rule was chosen with the full history in view and the theme list is the 2026 list. The live weeks are the only holdout.
Live record
The rule books run on the production server every Saturday at 08:00 New York. Each run writes a dated report with the holdings of every book, the rankings and a scorecard against the equal-weight basket. The brake reading of that Friday is in the report, with every earlier reading in the ledger.
Newest run: report_rules_2026-08-21.html. The run reports need an account.
Read more
- Forward test design. Why this book was picked to run forward, and on what basis.
- Theme rotation study. The theme rotation study: the universe, the basket and the first engines.
- Theme rotation, more strategies. The study that built the money-flow rank (results/themestrat_more_a.json).
- Limit-drawdown study. The limit-drawdown study that tested the weekly brake.
- Oracle audit. The Oracle rule set on the same basis, for comparison.
- The Oracle: rules, evidence and research. The technical page: the stage model, the rules and the papers.
The research reports need an account. The Oracle page at /oracle is public.