Neutral Momentum Positions
Long top-10 / short bottom-10 of liquid universe (ADV ≥ $20M) ranked by an RSI + mom_accel_20d percentile-rank blend. 60-day fixed hold, no scale-out. Backtest: hedged Sharpe 1.70, beta −0.02, max DD −6%.
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Long top-10 / short bottom-10 of liquid universe (ADV ≥ $20M) ranked by an RSI + mom_accel_20d percentile-rank blend. 60-day fixed hold, no scale-out. Backtest: hedged Sharpe 1.70, beta −0.02, max DD −6%.