Methodology
AlphaGo US Momentum I Methodology
12-1 momentum selection across the three major index constituents; SAC ensemble sizing; SPY put-spread tail hedge.
Process
| 1 | PIT universe: S&P500∪NDX∪Dow30 historical members (no survivorship bias) |
| 2 | Signal: 12-1 momentum rank (252d return ex last 21d), Top10 |
| 3 | Sizing: SAC 3-seed ensemble, 25% single-name cap, explicit cash dimension |
| 4 | Execution: monthly VWAP batches; real IBKR fee model |
| 5 | Hedge: SPY 5%/15% put spread rolled monthly for gap-crash protection |
Parameters
| Param | Value |
|---|---|
| 宇宙 | S&P500∪NDX∪Dow30 PIT |
| 持仓数 | 10 |
| 调仓 | 月度 |
| 单票上限 | 25% |
| 对冲 | SPY put spread 5%/15% |
Risks & notes
· Momentum can suffer deep drawdowns in factor rotations (2025-01 -31.7% was a grind-down the put does not hedge)
· Backtest is simulated with cost assumptions; future returns are not guaranteed
Strategy Version — AGM-1.4 mom12-1 · top10 · sac-ens3 · cash · spy-put · 2025-10
| Strategy Version | When | Changelog |
|---|---|---|
| v1.0 | 2024 Q3 | 3-seed SAC ensemble + 12-1 momentum Top-10 + monthly rebalance finalized |
| v1.1 | 2024 Q4 | 25% single-name cap + explicit cash allocation dimension |
| v1.2 | 2025 Q2 | Monthly rolling 5% OTM SPY put tail hedge introduced |
| v1.3 | 2025 Q3 | PIT index universe rebuilt; survivorship-bias audit passed |
| v1.4 | 2025 Q4 | Cost model recalibrated ($0.005/sh + VWAP slippage); IBKR paper forward validation launched |
Full whitepaper and monthly reports available in the reports section. Paper track record — not a registered fund.