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

..

__init__.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

alpha.py

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

2026-09-29 13:40:15 +08:00

attention.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

baselines.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

beat_qqq.py

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

2026-09-29 13:40:15 +08:00

concentration.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

construction.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

diversifiers.py

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

2026-09-29 13:40:15 +08:00

earnings.py

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

2026-09-29 13:40:15 +08:00

engine.py

feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness

2026-09-29 01:03:50 +08:00

evaluate.py

fix: unify backtest execution and add forward validation candidates

2026-10-01 02:24:01 -07:00

export_curves.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

factor_scan.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

factors.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

fetch_cn_yahoo.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

fetch_cn.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

fetch_insider.py

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

2026-09-29 13:40:15 +08:00

fetch_lazy_prices.py

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

2026-09-29 13:40:15 +08:00

fetch_long_history.py

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

2026-09-29 13:40:15 +08:00

fetch_supply_links.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

fetch_tiingo.py

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

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

fetch_us_fundamentals.py

research: S&P 600 replication of mid-cap quality sleeves (all REJECT)

2026-10-08 18:46:45 -07:00

fetch_us_mid.py

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

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

fetch_us_sectors.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

fetch_us.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

fetch_wiki_attention.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

fund_eval.py

feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness

2026-09-29 01:03:50 +08:00

fundamentals.py

research: S&P 600 replication of mid-cap quality sleeves (all REJECT)

2026-10-08 18:46:45 -07:00

industry.py

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

2026-09-29 13:40:15 +08:00

insider.py

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

2026-09-29 13:40:15 +08:00

lazy_prices.py

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

2026-09-29 13:40:15 +08:00

lead_lag_small.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

lead_lag.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

letf_history.py

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

2026-09-29 13:40:15 +08:00

levered_book.py

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

2026-09-29 13:40:15 +08:00

midcap_sleeve.py

research: S&P 600 replication of mid-cap quality sleeves (all REJECT)

2026-10-08 18:46:45 -07:00

ml.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

momentum_fundamentals.py

chore: untrack generated data; add momentum + fundamentals experiment

2026-09-29 14:42:49 +08:00

overlays.py

feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness

2026-09-29 01:03:50 +08:00

panel_gaps.py

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

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

panel_mid.py

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

2026-09-29 13:40:15 +08:00

panel.py

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

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

persistence.py

feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness

2026-09-29 01:03:50 +08:00

qqq_scan.py

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

2026-09-29 13:40:15 +08:00

registered.py

fix: unify backtest execution and add forward validation candidates

2026-10-01 02:24:01 -07:00

report.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

review_live_us.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

rotation.py

feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness

2026-09-29 01:03:50 +08:00

run_ml.py

research: point-in-time factor research harness (research/lab)

2026-09-25 19:11:59 +08:00

sector_cycle.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

short_horizon.py

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

2026-09-29 13:40:15 +08:00

stepwise.py

fix: unify backtest execution and add forward validation candidates

2026-10-01 02:24:01 -07:00

stream_portfolio.py

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

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

theme_propagation.py

feat(research): supply-chain links, theme propagation, cycles, attention, small caps

2026-09-30 20:25:08 +08:00

tiingo_merge.py

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

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

trend_rider_long.py

feat: US 3-sleeve portfolio and lowrisk_top20; US portfolio research harness

2026-09-29 01:03:50 +08:00

trials.py

fix: unify backtest execution and add forward validation candidates

2026-10-01 02:24:01 -07:00

universe_midcap.py

research: S&P 500 ∪ S&P 400 universe for overnight_recovery_top10 (FAIL)

2026-10-08 08:43:50 -07:00

us_final.py

fix: unify backtest execution and add forward validation candidates

2026-10-01 02:24:01 -07:00

us_sweep.py

fix: unify backtest execution and add forward validation candidates

2026-10-01 02:24:01 -07:00

us_target50.py

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

2026-09-29 13:40:15 +08:00

vol_trend.py

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

2026-09-29 13:40:15 +08:00