Methodology
AlphaGo US Balanced I Methodology
50% momentum + 50% permanent defensive sleeve (TLT/GLD/SHY) to cushion momentum crash days.
Process
| 1 | Momentum leg: same PIT 12-1 Top10, equal-weighted (shares the signal, no SAC sizing) |
| 2 | Defensive sleeve: TLT/GLD/SHY ~1/3 each, always on |
| 3 | Monthly rebalance back to 50/50 — auto trims momentum rallies, buys dips |
| 4 | Independently audited on LEAN engine incl. IBKR fees and daily-drawdown accounting |
Parameters
| Param | Value |
|---|---|
| 动量/防守 | 50/50 |
| 动量腿 | 12-1 Top10 等权 |
| 防守层 | TLT+GLD+SHY |
| 再平衡 | 月度 |
Risks & notes
· Same momentum signal as Momentum I — drawdowns align but halve
· Defensive sleeve can also draw down in stock-bond selloffs (2022)
Full whitepaper and monthly reports available in the reports section. Paper track record — not a registered fund.