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AlphaGo US Momentum I PIT S&P500∪NDX∪Dow30 universe · 12-1 momentum Top10 · SAC 3-seed ensemble weights · SPY OTM put-spread tail hedge · monthly rebalance
S&P500∪NDX∪Dow30 universe · 12-1 momentum Top10 · SAC ensemble weights · SPY tail hedge
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Backtest data as of 2026-10-02
NAV (backtest + paper) Benchmark: SPY
Legend: orange = virtual ledger (theoretical signal fills); green = real IBKR fills attributed per-order (incl. slippage/lot rounding/timing). Different start dates — short-term levels are not comparable; same-day return divergence is monitored (A7), alert if >2%.
Current Targets 2026-10-11 · SAC集成权重 · 月度调仓
| Ticker | Mom score | Universe rank | 12-1 mom | 13w | 21d vol | AI Score* | Target weight |
|---|---|---|---|---|---|---|---|
| SNDK | #1/510 | +1183% | -6% | 67% | 8 | 18.48% | |
| INTC | #8/510 | +168% | +2% | 70% | 7 | 18.19% | |
| STX | #5/510 | +286% | -9% | 69% | 7 | 12.70% | |
| MRVL | #11/510 | +146% | +27% | 50% | 7 | 8.60% | |
| WDC | #6/510 | +281% | -28% | 62% | — | 5.84% | |
| MU | #3/510 | +398% | +10% | 47% | 7 | 5.22% | |
| MRNA | #4/510 | +389% | +236% | 79% | 4 | 5.13% | |
| LITE | #2/510 | +474% | +44% | 70% | 7 | 3.83% | |
| DELL | #7/510 | +212% | +37% | 63% | 8 | 3.32% | |
| AMD | #14/510 | +114% | +14% | 55% | 5 | 2.41% |
Momentum score = 12-1 momentum percentile within the point-in-time universe (100 = rank #1). 13w = last-63-day return; 21d vol annualized. Metrics as of the signal date.
*AI Score is Danelfin third-party score (1-10); hover for Technical/Fundamental/Sentiment/Low-Risk sub-scores. External reference, not our signal. As of 2026-10-20。
Universe Momentum Breadth signal 2026-10-11
| Universe (PIT) | 510 names |
| Breadth (mom>0) | 61.8% |
| Universe median mom | +6.6% |
| Top10 mean mom | +370% |
Breadth >50% = trend regime favors momentum; <50% = deteriorating, model tends to raise cash.
Sector Exposure (target)
Sector concentration is a feature of momentum, rotating with the signal.
Key Facts
| Backtest start | 2022-01 |
| Benchmark | SPY (S&P 500) |
| Universe | S&P500 U Nasdaq100 U Dow30 (point-in-time) |
| Holdings | Top-10 + SPY OTM put-spread hedge |
| Rebalance | Monthly (first trading day) |
| Currency | USD |
| Size basis | $400,000 standalone sim |
| Fees | Prop capital, no mgmt fee |
| Structure | Paper validation, unregistered |
Documents
| Monthly factsheet (PDF) | 🔒 Sign in |
| Full returns report (Excel) | 🔒 Sign in |
| NAV history (CSV) | Download ↓ |
| Full holdings (CSV) | 🔒 Sign in |
| Research notes | View → |
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Momentum factor: monthly signal rebalance, 25% single-name cap, top-10 concentrated book. Tail risk hedged via SPY put spread (buy 5% OTM / sell 15% OTM), premium budget ~0.3% NAV/mo. Backtest includes realistic costs (commission+slippage); OOS from 2022-01.