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research: risk-budgeted book of five return streams (REJECT)

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Preregistered: inverse-vol shares of momentum, lowrisk, TrendRider V10
(synthetic 3x ETFs, lag fills), 8-ETF TSMOM and BTC trend, 2006-10..2026-09.
invvol5 1x: 12.6%/yr, Sharpe 1.07, MaxDD -18% (halves 0.82/1.38) beats the
three-sleeve book (0.97, -38%) but not TrendRider V10 in 2017-26 (1.65);
levered to 25% vol it drops to 0.98. Inverse vol over-weights the weakest
streams; the bottleneck is stream Sharpe, not weighting.

Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
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Gahow Wang
2026-10-08 21:17:12 -07:00
parent 0f9554e77f
commit 8845f31b3b
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@@ -81,6 +81,7 @@ PYTHONPATH=. uv run python -m research.lab.sector_cycle # busin
uv run python -m research.lab.fetch_wiki_attention && PYTHONPATH=. uv run --with numba python -m research.lab.attention # Wikipedia-pageview attention
PYTHONPATH=. uv run --with numba python -m research.lab.concentration # industry caps on the momentum sleeve
PYTHONPATH=. uv run python -m research.lab.universe_midcap # overnight_recovery_top10 on S&P 500 ∪ S&P 400 (preregistered; FAIL 2026-10-08)
PYTHONPATH=. uv run --with numba python -m research.lab.stream_portfolio # risk-budgeted book of momentum/lowrisk/TrendRider/ETF TSMOM/BTC streams, 2006-26 (preregistered; REJECT 2026-10-08)
uv run python -m research.lab.fetch_us_fundamentals --universe mid # EDGAR PIT facts for S&P 400 ever-members (name-checked CIKs)
uv run python -m research.lab.fetch_us_fundamentals --universe small # the same for S&P 600 (IJR)
PYTHONPATH=. uv run python -m research.lab.midcap_sleeve [--only h1..h4] [--universe small] # S&P 400 sleeves vs IJH; S&P 600 replication vs IJR (all REJECT 2026-10-08)