IEF
iShares 7-10 Year Treasury Bond ETF
stock NASDAQ ETF

I’ve reviewed Government Bond Funds at various durations, SHy, IEI, IEF, TLT six months to 20 years. They have one thing in common - they ALL provided lower total return than cash for YTD, 1, 3,5 and 10 years periods. With more volatility than cash. Less return in each period. All of them. Just awful.

Congrats on grinding through the ML dead-end — low IC after realistic costs is a rite of passage, glad you caught it in paper rather than live.
On the 4-sleeve book: the piece I'd stress-test hardest is the crypto carry sleeve specifically, since it's the newest and least battle-tested component (2019+ only per your note). Funding carry has blown up before in ways that don't show up in a normal backtest — sudden funding flips, basis blowouts during high vol, exchange/counterparty risk. LUNA (May 2022) and FTX (Nov 2022) are crypto's version of a crash window — I'd walk the strategy through both specifically if you haven't, since a clean Sharpe doesn't tell you much if the tail event hasn't happened in-sample yet.
Second thing worth checking: correlation across your 4 sleeves \*conditional on stress\*, not full-sample. Equal-risk blending looks great when everything's uncorrelated in calm markets, but trend and crypto carry can both get hit in the same liquidity event (March 2020-style), and full-sample correlation numbers usually hide that. Worth pulling correlations specifically during your worst drawdown weeks rather than across the whole window.
On the Faber 200dma sleeve — that rule is simple and generally works, but it's also known to whipsaw in choppy sideways markets (lots of small losing switches between SPY/IEF). Worth checking how much of your -4-5% cost drag is coming from tactical switching frequency specifically vs. the other sleeves — that's the one lever you could probably tune (e.g. a small band/hysteresis around the 200dma) without touching the core edge.
Given you're only 40 days into paper trading, I'd frame the question less as "is this worth pursuing" and more as "which sleeve has the least evidence behind it" — and that's clearly the crypto carry piece. I'd isolate and crash-test that one specifically before trusting the blended Sharpe.

I've been active in developing trading algorithms and strategies for over 7 months now. I started it when I was looking for a dissertation project idea, which led me to develop my initial strategy using machine learning, feature engineering, regime detection, and my own unique approach to the architecture to allow my strategy to trade well on US liquid stocks. Long story short, it was achieving 2-3 Sharpe, did great on paper trading, but my modeling of more realistic costs made me learn the harsh way + I discovered the data and features themselves barely had any edge with a low Information Coefficient (IC).
Following that, I looked into Crypto funding carry strategies, which essentially is the main highlight of my main system, a 4-sleeve systematic book, blended equal-risk, and using 2× Leverage comprised of:
1) Trend: long/short 3-6-12-month momentum across 9 liquid ETFs (inverse-vol weighted, vol-targeted).
2) Tactical equity: holds SPY above its 200-day average (Faber 200dma rule) or IEF otherwise.
3) Gold as a permanent diversifier.
4) Crypto funding carry: long-spot/short-perp on 8 majors won't go too much into detail on this one.

Cost Rundown is as follows:
perp 1.5 + spot 4.0 bps/turn for the Crypto strategy. Derived and tested from a selected UK venue.
Trend turnover: 5bps per unit of
Tactical switch: 5bps between SPY and IEF
I also accounted for the borrowing rate on the platform, which is around 5%. Although it's not reflected in the stats below, it essentaily lead to -4 to 5% for the full window CAGR and around -2% post 2019
Full stats are below. My question is whether this is worth pursuing, improving upon (although I'm unsure of where at this moment), or if some specific avenues or strategies are more suitable for my expertise, or if there is something I'm overlooking.
PS: Crypto carry edge did not start until 2019, so the strategy was only using the 3 other components beforehand. OOS and the recent window are probably the most important/informative.
Paper trading is underway, but only 40 days in.
https://preview.redd.it/i0flb0iedlhh1.png?width=850&format=png&auto=webp&s=e6beab2ba09acae5348b78c97af2a12ee2c892f7
https://preview.redd.it/po0upeehdlhh1.png?width=1049&format=png&auto=webp&s=5964c15354ef63d380217bc294f209152d699974
https://preview.redd.it/jja7g52kdlhh1.png?width=1071&format=png&auto=webp&s=4afa7679e2f8d6ecf3a07c25a7545ce299fa3dac
https://preview.redd.it/0yxirsxmdlhh1.png?width=1047&format=png&auto=webp&s=649cbfdd9fe877b28ef1266f6484fa712ecb7cfc
https://preview.redd.it/d4lizzaydlhh1.png?width=1221&format=png&auto=webp&s=4ca9c91b56691d0061b6f548caf174b247d89d7b
https://preview.redd.it/0byb9va2elhh1.png?width=1221&format=png&auto=webp&s=2721e435c9f3429e053b73cc66eee59b9bdc3491
Ignore my artistic front-end choices

I’ve reviewed Government Bond Funds at various durations, SHy, IEI, IEF, TLT six months to 20 years. They have one thing in common - they ALL provided lower total return than cash for YTD, 1, 3,5 and 10 years periods. With more volatility than cash. Less return in each period. All of them. Just awful.

Congrats on grinding through the ML dead-end — low IC after realistic costs is a rite of passage, glad you caught it in paper rather than live.
On the 4-sleeve book: the piece I'd stress-test hardest is the crypto carry sleeve specifically, since it's the newest and least battle-tested component (2019+ only per your note). Funding carry has blown up before in ways that don't show up in a normal backtest — sudden funding flips, basis blowouts during high vol, exchange/counterparty risk. LUNA (May 2022) and FTX (Nov 2022) are crypto's version of a crash window — I'd walk the strategy through both specifically if you haven't, since a clean Sharpe doesn't tell you much if the tail event hasn't happened in-sample yet.
Second thing worth checking: correlation across your 4 sleeves \*conditional on stress\*, not full-sample. Equal-risk blending looks great when everything's uncorrelated in calm markets, but trend and crypto carry can both get hit in the same liquidity event (March 2020-style), and full-sample correlation numbers usually hide that. Worth pulling correlations specifically during your worst drawdown weeks rather than across the whole window.
On the Faber 200dma sleeve — that rule is simple and generally works, but it's also known to whipsaw in choppy sideways markets (lots of small losing switches between SPY/IEF). Worth checking how much of your -4-5% cost drag is coming from tactical switching frequency specifically vs. the other sleeves — that's the one lever you could probably tune (e.g. a small band/hysteresis around the 200dma) without touching the core edge.
Given you're only 40 days into paper trading, I'd frame the question less as "is this worth pursuing" and more as "which sleeve has the least evidence behind it" — and that's clearly the crypto carry piece. I'd isolate and crash-test that one specifically before trusting the blended Sharpe.

I've been active in developing trading algorithms and strategies for over 7 months now. I started it when I was looking for a dissertation project idea, which led me to develop my initial strategy using machine learning, feature engineering, regime detection, and my own unique approach to the architecture to allow my strategy to trade well on US liquid stocks. Long story short, it was achieving 2-3 Sharpe, did great on paper trading, but my modeling of more realistic costs made me learn the harsh way + I discovered the data and features themselves barely had any edge with a low Information Coefficient (IC).
Following that, I looked into Crypto funding carry strategies, which essentially is the main highlight of my main system, a 4-sleeve systematic book, blended equal-risk, and using 2× Leverage comprised of:
1) Trend: long/short 3-6-12-month momentum across 9 liquid ETFs (inverse-vol weighted, vol-targeted).
2) Tactical equity: holds SPY above its 200-day average (Faber 200dma rule) or IEF otherwise.
3) Gold as a permanent diversifier.
4) Crypto funding carry: long-spot/short-perp on 8 majors won't go too much into detail on this one.

Cost Rundown is as follows:
perp 1.5 + spot 4.0 bps/turn for the Crypto strategy. Derived and tested from a selected UK venue.
Trend turnover: 5bps per unit of
Tactical switch: 5bps between SPY and IEF
I also accounted for the borrowing rate on the platform, which is around 5%. Although it's not reflected in the stats below, it essentaily lead to -4 to 5% for the full window CAGR and around -2% post 2019
Full stats are below. My question is whether this is worth pursuing, improving upon (although I'm unsure of where at this moment), or if some specific avenues or strategies are more suitable for my expertise, or if there is something I'm overlooking.
PS: Crypto carry edge did not start until 2019, so the strategy was only using the 3 other components beforehand. OOS and the recent window are probably the most important/informative.
Paper trading is underway, but only 40 days in.
https://preview.redd.it/i0flb0iedlhh1.png?width=850&format=png&auto=webp&s=e6beab2ba09acae5348b78c97af2a12ee2c892f7
https://preview.redd.it/po0upeehdlhh1.png?width=1049&format=png&auto=webp&s=5964c15354ef63d380217bc294f209152d699974
https://preview.redd.it/jja7g52kdlhh1.png?width=1071&format=png&auto=webp&s=4afa7679e2f8d6ecf3a07c25a7545ce299fa3dac
https://preview.redd.it/0yxirsxmdlhh1.png?width=1047&format=png&auto=webp&s=649cbfdd9fe877b28ef1266f6484fa712ecb7cfc
https://preview.redd.it/d4lizzaydlhh1.png?width=1221&format=png&auto=webp&s=4ca9c91b56691d0061b6f548caf174b247d89d7b
https://preview.redd.it/0byb9va2elhh1.png?width=1221&format=png&auto=webp&s=2721e435c9f3429e053b73cc66eee59b9bdc3491
Ignore my artistic front-end choices