Tactical Margin Overlay

I recently posted to try to improve on my probit model by tactically adjusting margin, but it appears that there was an error in my calculation and the results are not as good as I had posted.

However, if you fade my previous results, that will tend to be have a stronger Sharpe ratio. In other words, my previous results were that you could increase your Sharpe ratio by increasing leverage when the model is in more assets. The new results are that you can increase the Sharpe ratio relative to what you would have had otherwise by increasing leverage when you're supposed to be in few assets. In the original results, the risk-parity portfolio underperformed since you were using more leverage on assets like bonds, but in this case the risk-parity portfolio performs much better. The 50% margin portfolio that uses 0 leverage when in 4 or 5 asset classes and 100% leverage in 1 or 2 asset classes has a .0364 better Sharpe ratio in the risk parity portfolio (.012 for equal weighting). Some of the cost of leverage can be made up, but the excellent returns I originally posted are not the case. Unless I combine the probit model with this model and the results are impressive, I would prefer to stick with the original model without leverage rather than these.