[nv-vn]

I mentioned the idea of adjusting for risk in the GP post, though you are correct that I didn't call out any specific measure like the Sharpe ratio by name. If your risk-adjusted returns are worse than S&P 500 then obviously leverage isn't going to fix that problem. Simply put, I don't think OP's strategy really has any of these desirable features like a good sharpe, market neutrality, low exposure, etc. I think OP is just naively building a portfolio based on price predictions extrapolated from price data, and it happens to work in a bull market. Since OP probably doesn't have the resources to really evaluate risk (good simulation tools, good historical data sets, & even the industry know-how of how to look at risk) it seems rather meaningless to hear "I used to have very good returns."

Apologies if I misinterpreted your comment, just my thoughts when reading it.

[smabie]

I guess all I'm saying is that a strategy that has a worse Sharpe ratio than the market but zero correlation could still be valuable to a lot of investors for the same reason that sometimes it makes sense to add a asset to your portfolio that lowers your expected return. It's possible that that one strategy with the worse Sharpe ratio when combined with your pure beta investments would yield a portfolio with a better Sharpe ratio than either allocation alone.

[nv-vn]

That's an interesting point that I didn't really consider. Thanks!