Composite Strategy

A cross-sectional long/short, market-neutral momentum book — the original automated K=10 variant. Each day it ranks the liquid single-stock universe by a within-day percentile-rank blend of three orthogonal signals (RSI, 20-day momentum acceleration, institutional block-volume activity), longs the top 10, shorts the bottom 10, and holds 60 trading days. The concentrated tradable variants (Neutral Mom 5F and K2) hit higher Sharpe at much lower turnover.

• Looks forstocks that simultaneously rank well on three orthogonal axes — RSI(14), 20-day momentum acceleration, and institutional block-volume share — within the liquid single-stock universe
• Universestock_close ≥ $5 and 20-day average dollar volume ≥ $20M; leveraged/inverse AND broad index/sector ETFs excluded (single-stock alpha thesis)
• Operateslong top-10 / short bottom-10 by the 3-factor rank-blend score every trading day; 60-day fixed hold; no scale-out, no trailing stop
• Tradable variantsresearch 181 found K=10 dilutes its own edge with mediocre #7-10 picks; K=3/5-factor (Neutral Mom 5F) and K=2/3-factor (Neutral Mom K2) hit raw Sharpe ~2.5 at 4-6 entries/day