Neutral Momentum 5F
5-FACTOR L/S · K=3 · 60D HOLD▶About this strategy — what it is, what it looks for, how it operates
Concentrated long/short, market-neutral, 5-factor blend — the tradable retail variant of Neutral Momentum, optimized for manual execution at 6 entries/day. Built 2026-05-24 after research 181-184 showed the K=10 automated book was diluting its own top-picks edge; this version takes only K=3 per side and adds two near-orthogonal volume/accumulation signals (vol_z_5d_vs_60d, stealth_accumulation). The lift survives a strict tune-on-2024 / test-on-2025-2026 holdout.
- Looks forstocks ranking well on FIVE orthogonal axes: RSI(14), 20-day momentum acceleration, institutional block-volume share, 5d-vs-60d volume regime change, and stealth-accumulation (price drift on quiet volume)
- Universesame as Neutral Mom — ADV ≥ $20M, price ≥ $5, broad ETFs excluded
- Operateslong top-3 / short bottom-3 each trading day (6 entries/day); 60-day fixed hold; no scale-out, no trailing stop
- Holdouttrained on 2024 only, locked, tested on 2025-2026 → hedged Sharpe 2.31, DD -3.6%, β +0.06 — the lift over the 1.78-Sharpe deployed book is real, not curve-fit
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
2.50
Win rate
55%
CAGR
+34.1%
Max DD
-4.0%
Backtest numbers, not live results — measured on honest true-daily marks across a 5-fold walk-forward with 10bps costs. Past performance does not guarantee future returns.
TOTAL P&L
+$67
+1.38% on $4,844 deployed
REGIME PAUSED
VIX 17.2
PERFORMANCE
RETURN
+1.38%
+$67 on capital deployed
SHARPE
1.67
annualized
WIN RATE
58.77%
67W / 47L
MAX DD
-11.43%
worst drawdown
REALIZED P&L
+$22
114 closed trades
UNREALIZED P&L
+$45
232 open positions
LONG EXPOSURE
$1,769
net +$157
SHORT EXPOSURE
$1,612
gross $3,382
Last scan: 9/16/2026, 10:17:54 AM
Next scan: in 50h 58m (22:00 UTC weekday)
Open Positions232 held · live MTM
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Recent Closed Tradeslast 100 closed · most recent first
| SIDE | TICKER | ENTRY | EXIT | PROFIT | |
|---|---|---|---|---|---|
| LONG | MRVL | $292.89 | $237.04 | $-3 -19.07% | |
| SHORT | AXTI | $96.34 | $70.74 | +$4 +26.57% | |
| LONG | HOOD | $95.89 | $108.13 | +$2 +12.76% | |
| LONG | LRCX | $382.00 | $314.00 | $-2 -17.80% | |
| SHORT | CLS | $389.23 | $296.55 | +$3 +23.81% | |
| SHORT | ENPH | $50.40 | $38.61 | +$3 +23.39% | |
| SHORT | LITE | $879.08 | $866.71 | +$0 +1.41% | |
| LONG | HOOD | $107.82 | $108.13 | +$0 +0.28% | |
| LONG | SOFI | $17.83 | $18.91 | +$1 +6.09% | |
| LONG | MRVL | $305.50 | $237.04 | $-3 -22.41% | |
| SHORT | AXTI | $96.36 | $70.74 | +$4 +26.59% | |
| SHORT | COST | $962.70 | $947.74 | +$0 +1.55% | |
| SHORT | NEE | $86.25 | $83.65 | +$0 +3.01% | |
| LONG | MRVL | $296.71 | $237.04 | $-3 -20.11% | |
| LONG | HOOD | $98.76 | $108.13 | +$1 +9.48% | |
| LONG | MRK | $118.71 | $152.55 | +$4 +28.51% | |
| SHORT | CLS | $408.00 | $296.55 | +$4 +27.32% | |
| SHORT | CRCL | $82.89 | $87.98 | $-1 -6.14% | |
| SHORT | AXTI | $107.30 | $70.74 | +$5 +34.07% | |
| LONG | MRVL | $299.13 | $237.04 | $-3 -20.76% | |
| LONG | HOOD | $100.27 | $108.13 | +$1 +7.84% | |
| LONG | STM | $77.44 | $50.56 | $-5 -34.71% | |
| SHORT | CLS | $403.00 | $296.55 | +$4 +26.41% | |
| SHORT | COST | $980.39 | $947.74 | +$0 +3.33% | |
| LONG | MRVL | $260.54 | $237.04 | $-1 -9.02% | |
| LONG | STM | $74.03 | $50.56 | $-4 -31.70% | |
| LONG | BAC | $54.72 | $61.69 | +$2 +12.75% | |
| SHORT | AXTI | $90.33 | $70.74 | +$3 +21.69% | |
| SHORT | GEV | $888.07 | $956.85 | $-1 -7.74% | |
| SHORT | VRT | $284.25 | $261.95 | +$1 +7.85% | |
| LONG | MRVL | $269.88 | $237.04 | $-2 -12.17% | |
| LONG | BAC | $55.36 | $61.69 | +$2 +11.43% | |
| LONG | STM | $76.50 | $50.56 | $-5 -33.90% | |
| SHORT | AXTI | $90.37 | $70.74 | +$3 +21.72% | |
| SHORT | NEM | $98.73 | $131.58 | $-5 -33.27% | |
| SHORT | VRT | $303.48 | $261.95 | +$2 +13.68% | |
| LONG | MRVL | $288.69 | $237.04 | $-3 -17.89% | |
| LONG | CSCO | $123.57 | $111.04 | $-1 -10.14% | |
| LONG | IBM | $286.44 | $235.68 | $-2 -17.72% | |
| SHORT | AXTI | $93.00 | $70.74 | +$3 +23.94% | |
| SHORT | VST | $148.31 | $136.21 | +$1 +8.16% | |
| SHORT | VRT | $309.25 | $261.95 | +$2 +15.30% | |
| LONG | MRVL | $299.76 | $237.04 | $-3 -20.92% | |
| LONG | STM | $75.82 | $50.56 | $-5 -33.31% | |
| LONG | AAPL | $300.27 | $309.35 | +$0 +3.02% | |
| SHORT | VRT | $300.43 | $261.95 | +$2 +12.81% | |
| SHORT | AXTI | $95.58 | $70.74 | +$4 +25.99% | |
| SHORT | GEV | $927.99 | $956.85 | $-0 -3.11% | |
| LONG | MRVL | $263.26 | $237.04 | $-1 -9.96% | |
| LONG | STM | $72.36 | $50.56 | $-4 -30.13% | |
| LONG | BAC | $54.54 | $61.69 | +$2 +13.11% | |
| SHORT | AXTI | $81.50 | $70.74 | +$2 +13.20% | |
| SHORT | GEV | $897.51 | $956.85 | $-1 -6.61% | |
| SHORT | VRT | $284.52 | $261.95 | +$1 +7.93% | |
| LONG | MRVL | $299.42 | $237.04 | $-3 -20.83% | |
| LONG | SMCI | $45.00 | $37.24 | $-2 -17.24% | |
| LONG | IBM | $300.00 | $235.68 | $-3 -21.44% | |
| SHORT | AXTI | $100.66 | $70.74 | +$4 +29.72% | |
| SHORT | VRT | $313.76 | $261.95 | +$2 +16.51% | |
| SHORT | LITE | $914.24 | $866.71 | +$1 +5.20% | |
| LONG | MRVL | $282.95 | $237.04 | $-2 -16.23% | |
| LONG | HPE | $53.00 | $53.45 | +$0 +0.85% | |
| LONG | IBM | $307.42 | $235.68 | $-3 -23.34% | |
| SHORT | AXTI | $103.88 | $70.74 | +$4 +31.90% | |
| SHORT | VRT | $321.10 | $261.95 | +$3 +18.42% | |
| SHORT | SBUX | $97.79 | $107.08 | $-1 -9.50% | |
| LONG | NOW | $127.99 | $128.48 | +$0 +0.38% | |
| LONG | IBM | $318.30 | $235.68 | $-4 -25.96% | |
| LONG | SNOW | $261.81 | $332.78 | +$4 +27.11% | |
| SHORT | AXTI | $109.86 | $70.74 | +$5 +35.61% | |
| SHORT | LITE | $1029.20 | $866.71 | +$2 +15.79% | |
| SHORT | VRT | $340.86 | $261.95 | +$3 +23.15% | |
| LONG | SNOW | $259.97 | $332.78 | +$4 +28.01% | |
| LONG | FSLR | $301.75 | $214.28 | $-4 -28.99% | |
| LONG | SMCI | $45.74 | $37.24 | $-3 -18.58% | |
| SHORT | AXTI | $95.00 | $70.74 | +$4 +25.54% | |
| SHORT | GEV | $959.97 | $956.85 | +$0 +0.33% | |
| SHORT | LITE | $825.63 | $866.71 | $-1 -4.98% | |
| LONG | F | $16.57 | $14.41 | $-2 -13.04% | |
| LONG | SNOW | $265.45 | $332.78 | +$4 +25.36% | |
| LONG | SMCI | $48.70 | $37.24 | $-3 -23.53% | |
| SHORT | LITE | $937.46 | $866.71 | +$1 +7.55% | |
| SHORT | CIEN | $583.58 | $395.79 | +$5 +32.18% | |
| SHORT | AXTI | $115.50 | $70.74 | +$5 +38.75% | |
| LONG | MU | $956.47 | $966.78 | +$0 +1.08% | |
| LONG | AAPL | $311.77 | $309.35 | $-0 -0.78% | |
| LONG | SNOW | $240.69 | $332.78 | +$5 +38.26% | |
| SHORT | GEV | $996.01 | $956.85 | +$1 +3.93% | |
| SHORT | LITE | $860.93 | $866.71 | $-0 -0.67% | |
| SHORT | CLS | $357.84 | $296.55 | +$2 +17.13% | |
| LONG | MU | $930.22 | $966.78 | +$1 +3.93% | |
| LONG | QCOM | $236.10 | $160.75 | $-4 -31.91% | |
| LONG | FSLR | $275.60 | $214.28 | $-3 -22.25% | |
| SHORT | GEV | $1025.40 | $956.85 | +$1 +6.69% | |
| SHORT | CLS | $356.11 | $296.55 | +$2 +16.73% | |
| LONG | MU | $956.47 | $966.78 | +$0 +1.08% | |
| LONG | QCOM | $250.20 | $160.75 | $-5 -35.75% | |
| LONG | FSLR | $300.19 | $214.28 | $-4 -28.62% | |
| SHORT | LITE | $860.93 | $866.71 | $-0 -0.67% | |
| SHORT | GEV | $996.01 | $956.85 | +$1 +3.93% |