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feat: us_momentum_qqq_trend; alpha-vs-QQQ research across new data sources

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Register us_momentum_qqq_trend: half overnight_recovery_top10, half a QQQ
trend sleeve (strategies/qqq_trend.py: 200-day switch times a 30% vol target,
held as TQQQ + SHY). Mixed stock+ETF, US only (extra tickers QQQ, SHY, TQQQ).

Research (research/lab/): alpha against QQQ with a 2006-16 design / 2017-26
holdout split (alpha.py, qqq_scan.py, beat_qqq.py); leverage and drawdown
frontier (levered_book.py, us_target50.py); synthetic 3x ETFs from 1990 and
TrendRider/QQQ-trend stress tests (fetch_long_history.py, letf_history.py,
vol_trend.py); short-horizon sleeves, diversifiers, industry momentum,
earnings-announcement returns; new point-in-time data sources: SEC Form 4
insider trades (fetch_insider.py, insider.py), 10-K/10-Q text similarity,
8-K earnings dates and SIC codes (fetch_lazy_prices.py, lazy_prices.py), and
an S&P 400/600 universe from iShares holdings (fetch_us_mid.py, panel_mid.py).

Co-Authored-By: Claude Opus 5.5 (1M context) <noreply@anthropic.com>
This commit is contained in:
Gahow Wang
2026-09-29 13:40:15 +08:00
parent 2c19e5efe5
commit ad569f1cea
24 changed files with 4086 additions and 4 deletions
Download Patch File Download Diff File Expand all files Collapse all files

6
trader.py
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@@ -58,7 +58,8 @@ from strategies.permanent import (
)
from strategies.recovery_momentum import RecoveryMomentumStrategy
from strategies.robust_momentum import RobustMomentumStrategy
from strategies.sleeve_portfolio import us_three_sleeve
from strategies.sleeve_portfolio import (MOMENTUM_QQQ_TREND_ETFS, us_momentum_qqq_trend,
us_three_sleeve)
from strategies.trend_following import TrendFollowingStrategy
from strategies.trend_rider_v5 import TrendRiderV5
from strategies.trend_rider_voltgt import (
@@ -298,6 +299,8 @@ STRATEGY_REGISTRY = {
# 1/3 each of overnight_recovery_top10, lowrisk_top20 and trend_rider_v7_vt24
# in one account (strategies/sleeve_portfolio.py)
"us_three_sleeve": lambda **kw: us_three_sleeve(),
# half overnight_recovery_top10, half QQQ 200-day trend with a 30% vol target (TQQQ + SHY)
"us_momentum_qqq_trend": lambda **kw: us_momentum_qqq_trend(),
# --- TrendRiderV6: stock-picking + V5 regime engine ---
"trend_rider_v6": lambda **kw: TrendRiderV6(),
"trend_rider_v6_top10": lambda **kw: TrendRiderV6(top_n=10),
@@ -328,6 +331,7 @@ MIXED_STRATEGY_EXTRA_TICKERS = {
"trend_rider_v6": sorted(set(ETF_UNIVERSE)),
"trend_rider_v6_top10": sorted(set(ETF_UNIVERSE)),
"us_three_sleeve": sorted(set(ETF_UNIVERSE)),
"us_momentum_qqq_trend": MOMENTUM_QQQ_TREND_ETFS,
}
# Registered strategies the live monitor does not run, with the reason.