Product 2

Momentum + Reversal + Market-Neutral Portfolio

Overview

An iteration of Product 1 that adds a market-neutral portfolio component. The product combines a momentum component, a reversal component and a market-neutral portfolio component.

 

How it works

Momentum component

• Inherits the adaptive momentum framework introduced in Product 1

• Continues to capture directional trends and sustained ranges using probabilistic techniques

Reversal component

• Inherits the mean-reversion framework from Product 1, combining probabilistic modeling with classical reversal setups

• Utilizes a machine learning model to estimate bullish and bearish condition probabilities from diverse market features

• Maintains robustness through multiple reversal signals and disciplined model validation

Market-neutral portfolio component

• Introduces a cross-sectional market-neutral portfolio with daily rebalancing

• Constructs systematic long/short positions to maintain market-neutral exposure

• Allocates across instruments based on a combination of factors, including momentum, carry, order book imbalance, and open interest

• Applies portfolio-level constraints and sizing to translate signals into a diversified allocation