Momentum

A systematic momentum strategy with an active drawdown-risk overlay.

Objective

Systematic exposure to cross-sectional price momentum with active drawdown control.

Methodology

Ranks a broad, diversified equity universe on trailing price momentum, builds a long-only target-weight portfolio from the top-ranked names, and rebalances monthly. A daily risk overlay reduces target exposure during periods of elevated drawdown risk.

Rebalance frequency

Monthly, with a daily risk overlay

Implementation status

Backtested and paper-traded (Alpaca). No live-trading track record yet.