Ex-ante sleeve-level volatility-target overlay on crypto_tstrend (TrendRunner):
scale exposure DOWN in high-realized-vol regimes, never lever (cap=1.0). OOS
investigation (881 test days) shows +0.24 book Sharpe / -1.4pp maxDD, robust
net-of-cost to 40bp/turn and across L/floor params. Distinguished from the 3x
rejected reactive de-sizing (conditions on vol, not drawdown; improves DD).
Strict gates: net-book re-measure >=0.2 Sharpe, anti-pro-cyclical falsification,
per-year consistency. Shadow-first deploy (false-WAIT-safe).
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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