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
-$103
-2.52% on $4,088 deployed
REGIME PAUSED
VIX 16.0
PERFORMANCE
RETURN
-2.52%
-$103 on capital deployed
SHARPE
2.10
annualized
WIN RATE
—
0 closed (292 open)
MAX DD
-5.95%
worst drawdown
REALIZED P&L
$0
0 closed trades
UNREALIZED P&L
-$103
292 open positions
LONG EXPOSURE
$1,972
net +$9
SHORT EXPOSURE
$1,963
gross $3,936
Last scan: 8/4/2026, 10:14:14 AM
Next scan: in 23h 10m (22:00 UTC weekday)
Open Positions292 held · live MTM
Loading...
Recent Closed Tradeslast 0 closed · most recent first
No closed trades yet