Blaque Baux Broad

Broad-market and thematic ETF exposure — including leverage — steered by rule, bounded by governance.

Broad is a member of the Blaque Baux family. The core repo is the engine and blueprint. Broad points that engine at index and thematic ETFs — IVES (AI), GRNY (Granny Shots), QQQ (Nasdaq-100), and TQQQ (3x Nasdaq-100) — trading broad exposures and the occasional leveraged wrapper, with the engine's governance on the order path. Leverage here is a sizing choice the safety gate bounds, never a bypass.

Not investment advice. Educational/research software. Leveraged/decay products (e.g. TQQQ) can lose value even in a flat market and compound losses in chop. Nothing here is validated. See LICENSE.

git clone --recursive https://github.com/blaquebaux/broad.git
julia --project=engine -e 'using Pkg; Pkg.instantiate()'   # one-time engine setup

The thesis

Broad ETFs are the cleanest place to express a trend/vol-target rule (deep liquidity, tight spreads). The catch is leverage: the base's leverage work is explicit that levering a book past its Kelly point lowers growth while deepening drawdown, and daily-reset products like TQQQ add volatility drag on top. So Broad's job is to hold broad/thematic exposure with a vol-target that treats a 3x product as 3x risk, not 3x free return.

Research plan (Path A — not yet built)

• Trend / vol-target on broad ETFs — QQQ/broad indices, each vol-targeted; the honest baseline.
• Leverage decay, measured — quantify TQQQ's path-dependence vs 3× QQQ (the base's leverage_decision analysis applied to a daily-reset product); when is the wrapper worth it?
• Thematic rotation — IVES / GRNY and peers: cross-thematic momentum, tested beta-neutral so it is real rotation and not just market beta (and mindful of their short live histories).

Research — first pass done

Full detail in research/README.md. The scorecard:

#	Question	Verdict
1	Is the TQQQ leverage wrapper worth it?	❌ no — at equal vol it costs ~3% CAGR / 0.12 Sharpe; buy&hold triples the drawdown, not the Sharpe
2	The keeper?	✅ trend+vol-target on unlevered QQQ: +0.95 Sharpe, −16% DD (vs −35% buy&hold)
3	Thematic ETFs (IVES/GRNY)?	❌ weak — IVES lagged QQQ (+0.32 vs +1.00); GRNY too short

The synthesis: the distinctive Broad finding is that TQQQ is not free leverage. Decay is regime-dependent (it compounded in the bull, beating naive 3×), but its Sharpe is lower (0.82 vs 0.93) and its drawdown catastrophic (−82%); and the decisive equal-vol test shows the wrapper costs ~3% CAGR / 0.12 Sharpe at matched risk. The value in broad ETFs is managing exposure, not the wrapper: trend + vol-target on unlevered QQQ gets Sharpe +0.95 at −16% DD, and routing it through TQQQ is worse everywhere. Actionable law (extending the base's leverage_decision): for a governed book, size the unlevered index; never buy-and-hold the daily-reset wrapper. Caveat: the keeper is a managed-equity-beta sleeve (~corr 1 to equities), not a diversifier.

Status

Research: first pass complete; managed-exposure keeper — standalone driver built (research/ + live/). live/broad_live.jl runs it standalone through the engine's governed order path + Layer-3 safety gate: multi-horizon trend (30/60/120d, long-only) × vol-target on unlevered QQQ, capped at 1× (the leverage law). Dry-run by default; graduates to paper with its own isolated keys. A managed-equity-beta sleeve; not validated to the spine's bar.

BB_DRYRUN=1 julia --project=engine live/broad_live.jl

About Blaque Baux

Blaque Baux is a quantitative research initiative and a subsidiary of Carter Warrens. BlaqueBaux.com is the home for the work; the code lives here on GitHub — open to study, test, and build bespoke strategies on top of.

Anyone can point an AI at a market. The edge is understanding what the data actually says — and turning it into something you can act on. We test relentlessly and put most of it on the record as rejected, with the reason; what survives is built, governed, and validated before it is ever called real. That combination — honest research, reproducible evidence, and execution you can trust — is why Carter Warrens leads on strategy and implementation, not merely uses the tools everyone now has.

The Blaque Baux family

This repo is one sleeve of the Blaque Baux family — a single governed engine steered in many directions. The core repo is the base/blueprint and holds the full family roster.

Layout

engine/     the Blaque Baux platform (git submodule → blaquebaux/base)
research/   three Path-A sketches (leverage decay, managed-leverage keeper, thematic) + scorecard
live/       governed live drivers (once a sleeve graduates to paper A/B)

License

MIT. © 2026 Carter Warrens.