So yeah, basically the algorithm is going long a bunch of ETFs that internally employ long/short strategies. The hedge fund ETFs I selected exhibit between 0 and 0.3 beta, and the actively managed bond ETFs probably have negative beta (I assumed but didn't check), and then I threw in TLT as well, which is also negative beta. So that's how it evens out to 0 beta.
TLT is maybe a problem since it's so volatile, and people are speculating about a bond bubble.
I thought on a whim that this strategy might be useful to somebody who's really lazy -- you know, just take some Wall Street alpha instead of finding your own. But the expense ratios on these types of ETFs are terrible, especially considering their performance stats. So that eats away at your profit vs capital risked. Puts you at a disadvantage. But I guess you have to look at whether the expense ratios are better or worse than the transaction costs you'd be paying as a retail investor at IB with your own long-short strategy -- and that's even if you have a good long-short strategy that's dependable. I suspect a lot of people struggle finding something that continues to perform reliably out of sample.
Looking at the returns graph you can see that despite the bond hedge and 0 beta it was still hit pretty hard during the Oct 14, 2014. crash, so I'm super skeptical about how resilient these hedge fund-style ETFs are.