Gahow Wang 8845f31b3b research: risk-budgeted book of five return streams (REJECT) ...

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>

2026-10-08 21:17:12 -07:00

..

lab

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

2026-10-08 21:17:12 -07:00

__init__.py

Add point-in-time S&P 500 backtest to expose survivorship bias

2026-04-17 16:26:02 +08:00

alpha_factors.py

research: add US alpha exploration scripts

2026-05-14 12:53:50 +08:00

alpha_research.py

research: add US alpha exploration scripts

2026-05-14 12:53:50 +08:00

dca_simulation.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

event_factors.py

feat: add regime and breakout alpha modules

2026-04-18 00:31:16 +08:00

factor_optimize.py

research: add US alpha exploration scripts

2026-05-14 12:53:50 +08:00

factor_panel_check.py

feat(research): Tiingo backfill of delisted names; honest PIT panels

2026-10-08 09:48:05 -07:00

fetch_historical.py

feat: add PIT OHLCV runner and fetch support

2026-04-18 14:59:48 +08:00

interaction_alpha.py

research: add US alpha exploration scripts

2026-05-14 12:53:50 +08:00

ls_momentum_eval.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

midsmall_rebuild.py

feat(research): Tiingo backfill of delisted names; honest PIT panels

2026-10-08 09:48:05 -07:00

midsmall_scan.py

feat(research): Tiingo backfill of delisted names; honest PIT panels

2026-10-08 09:48:05 -07:00

new_frameworks_eval.py

research: individual stock swing, new frameworks, literature alpha, DCA

2026-05-23 00:45:44 +08:00

optimize.py

Add point-in-time S&P 500 backtest to expose survivorship bias

2026-04-17 16:26:02 +08:00

permanent_yearly.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

pit_backtest.py

Add point-in-time S&P 500 backtest to expose survivorship bias

2026-04-17 16:26:02 +08:00

pit_comparison.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

pit_optimization.py

research: add strategy evaluation and exploration scripts

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prod_impact.py

feat(research): Tiingo backfill of delisted names; honest PIT panels

2026-10-08 09:48:05 -07:00

regime_filters.py

feat: improve US alpha pipeline and regime filters

2026-05-14 12:54:00 +08:00

regime_stock_picker_eval.py

research: extensive V7 optimization and V8 (TMF) evaluation

2026-05-21 20:57:34 +08:00

run_interaction.py

research: add US alpha exploration scripts

2026-05-14 12:53:50 +08:00

sharpe_blend.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

single_stock_swing.py

research: individual stock swing, new frameworks, literature alpha, DCA

2026-05-23 00:45:44 +08:00

smart_dca_eval.py

research: individual stock swing, new frameworks, literature alpha, DCA

2026-05-23 00:45:44 +08:00

sota_ranking.py

research: extensive V7 optimization and V8 (TMF) evaluation

2026-05-21 20:57:34 +08:00

strategies_plus.py

Add point-in-time S&P 500 backtest to expose survivorship bias

2026-04-17 16:26:02 +08:00

strategy_final_report.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_improvement_eval.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_improvement_r2.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_improvement_r3.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_improvement_r4.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_risk_managed_eval.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_risk_managed_r2.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_sharpe_boost_v2.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_sharpe_boost_v3.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_sharpe_boost_v4.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_sharpe_boost_v5.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_sharpe_boost.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

strategy_sweep.py

research: add US alpha exploration scripts

2026-05-14 12:53:50 +08:00

trade_analysis.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

trend_rider_p0.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

trend_rider_robustness.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

trend_rider_v5_eval.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

trend_rider_v6_eval.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

us_alpha_pipeline.py

feat: improve US alpha pipeline and regime filters

2026-05-14 12:54:00 +08:00

us_alpha_report.py

feat: add PIT OHLCV runner and fetch support

2026-04-18 14:59:48 +08:00

us_combo_sweep.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

us_fundamentals.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

us_universe.py

feat: add PIT-aware tradable universe mask

2026-04-18 00:23:07 +08:00

v5_drawdown_trace.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

v5_p0_validate.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

v6_voltarget.py

research: add strategy evaluation and exploration scripts

2026-05-14 12:54:08 +08:00

v7_breakthrough_eval.py

research: extensive V7 optimization and V8 (TMF) evaluation

2026-05-21 20:57:34 +08:00

v7_breakthrough_fixed.py

research: extensive V7 optimization and V8 (TMF) evaluation

2026-05-21 20:57:34 +08:00

v7_literature_alpha.py

research: individual stock swing, new frameworks, literature alpha, DCA

2026-05-23 00:45:44 +08:00

v7_parameter_sweep.py

research: extensive V7 optimization and V8 (TMF) evaluation

2026-05-21 20:57:34 +08:00

v7_synthetic_leverage_eval.py

research: extensive V7 optimization and V8 (TMF) evaluation

2026-05-21 20:57:34 +08:00

v7_three_ideas_eval.py

research: extensive V7 optimization and V8 (TMF) evaluation

2026-05-21 20:57:34 +08:00

v7_trade_audit.py

research: extensive V7 optimization and V8 (TMF) evaluation

2026-05-21 20:57:34 +08:00