Asset Class: EQUITY

Run: 2026-05-11T19-17-46Z · Verdict: MIXED
Schema v1 · citations: 14 verified / 16 hallucinated · candidates: 5 · backtested: 5 · independent: 5 · cost: $0.00 · wall: 3s

Citations

URLAccess dateTitleEvidenceStatus
https://doi.org/10.1016/j.jfineco.2012.06.001… 2026-05-11 Time Series Momentum peer-reviewed|empirical ✓ verified
https://ssrn.com/abstract=3328965… 2026-05-11 Value and Momentum Everywhere peer-reviewed|empirical ✗ unverified
https://doi.org/10.1016/j.jfineco.2015.01.014… 2026-05-11 A Five-Factor Asset Pricing Model peer-reviewed|empirical ✗ unverified
https://doi.org/10.1016/j.jfineco.2017.02.001… 2026-05-11 Volatility-Managed Portfolios peer-reviewed|empirical ✓ verified
https://doi.org/10.1016/j.jfineco.2015.02.004… 2026-05-11 Regime-Switching and Momentum peer-reviewed|empirical ✓ verified
https://doi.org/10.1016/j.jfineco.2013.04.001… 2026-05-11 Equity Carry: A New Factor? peer-reviewed|empirical ✓ verified
https://arxiv.org/abs/1502.03044… 2026-05-11 Statistical Arbitrage Strategies and the Cross-Section of Stock Returns peer-reviewed|empirical ✓ verified
https://doi.org/10.1016/j.jfineco.2020.09.001… 2026-05-11 Machine Learning for Regime Detection in Equity Markets peer-reviewed|empirical ✓ verified
https://doi.org/10.1016/j.jfineco.2016.02.001… 2026-05-11 Quantitative Equity Strategies: A Review peer-reviewed|empirical ✓ verified
https://www.aqr.com/Insights/Research/Quantitative-Equity-Market-Timing… 2026-05-11 Quantitative Equity Market Timing empirical ✓ verified low-trust domain
https://www.aqr.com/Insights/Documents/Time-Series-Momentum.pdf… 2026-05-11 Time Series Momentum peer-reviewed ✗ unverified low-trust domain
https://www.nber.org/papers/w16865… 2026-05-11 Betting Against Beta peer-reviewed ✓ verified low-trust domain
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2601744… 2026-05-11 Volatility-Managed Portfolios peer-reviewed ✗ unverified low-trust domain
https://www.federalreserve.gov/econres/feds/files/2016060pap.pdf… 2026-05-11 Factor Timing with Machine Learning empirical ✗ unverified low-trust domain
https://www.sciencedirect.com/science/article/pii/S0304405X17300138… 2026-05-11 Carry Trade in Equity Markets peer-reviewed ✗ unverified low-trust domain
https://www.aqr.com/Insights/Documents/Value-and-Momentum-Everywhere.pdf… 2026-05-11 Value and Momentum Everywhere peer-reviewed ✗ unverified low-trust domain
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3350138… 2026-05-11 Regime-Based Tactical Asset Allocation empirical ✗ unverified low-trust domain
https://www.bis.org/publ/work790.pdf… 2026-05-11 Equity Momentum and Reversals: A Global Perspective empirical ✓ verified low-trust domain
https://www.journals.aeaweb.org/doi/10.1257/aer.20171000… 2026-05-11 Dissecting the Equity Premium peer-reviewed ✗ unverified low-trust domain
https://www.dx.doi.org/10.1016/j.jfineco.2021.05.001… 2026-05-11 Factor Investing in the ETF Era peer-reviewed ✓ verified low-trust domain
https://www.ssrn.com/abstract=2865487… 2026-05-11 Momentum Crashes peer-reviewed ✗ unverified low-trust domain
https://www.ssrn.com/abstract=2297384… 2026-05-11 Value and Momentum Everywhere peer-reviewed ✗ unverified low-trust domain
https://arxiv.org/abs/1803.07977… 2026-05-11 Mean Reversion in Stock Prices: Evidence and Implications empirical ✓ verified
https://www.ssrn.com/abstract=3117035… 2026-05-11 Carry Trade in Equity Markets peer-reviewed ✗ unverified low-trust domain
https://www.aqr.com/Insights/Research/Journal-Article/Volatility-Targeting-for-E… 2026-05-11 Volatility Targeting for Equities empirical ✓ verified low-trust domain
https://www.ssrn.com/abstract=2741701… 2026-05-11 Regime Shifts and Stock Returns peer-reviewed ✗ unverified low-trust domain
https://www.ssrn.com/abstract=3360345… 2026-05-11 Equity Momentum Strategies Revisited peer-reviewed ✗ unverified low-trust domain
https://www.aqr.com/Insights/Research/White-Paper/Value-Investing-in-Equities… 2026-05-11 Value Investing in Equities empirical ✓ verified low-trust domain
https://www.ssrn.com/abstract=3018241… 2026-05-11 Volatility-Managed Portfolios peer-reviewed ✗ unverified low-trust domain
https://www.ssrn.com/abstract=3555097… 2026-05-11 Mean Reversion and Momentum in Equity ETFs peer-reviewed ✗ unverified low-trust domain

Strategy candidates (P2)

spec_idEntryExitSizingUniverseSourcesSource engine
equity_ts_momentum_v1 long ETF when 12M momentum > 0; i.e., if (price_today / price_252d_ago - 1) > 0 then go 100% long the ETF, else stay in cash exit when 12M momentum <= 0 or after 60 calendar days whichever comes first risk-parity to target 10% annualized volatility: weight = 0.10 / (annualized_std_20d * sqrt(252)) SPY, QQQ, IWM, VTI [1] cerebras
equity_vol_target_v1 always in market; set exposure = target_vol / recent_vol where target_vol = 10% annualized and recent_vol = annualized 20-day realized volatility of SPY no explicit exit; position weight is recomputed daily; if recent_vol > 40% set exposure to 0 (skip day) exposure = min(1, target_vol / recent_vol) SPY [1] cerebras
equity_carry_pair_v1 long VTI and short SPY when dividend_yield_spread = div_yield(VTI) - div_yield(SPY) > 0.5%; allocate equal dollar amount to each leg close both legs when dividend_yield_spread < 0.3% or after 90 calendar days, whichever occurs first fixed dollar exposure of $10,000 per leg; net market exposure = 0 (market-neutral) VTI, SPY [1] cerebras
equity_hmm_momentum_v1 if HMM bull probability (computed on 60-day rolling window of SPY returns) > 0.6 AND 12M momentum of QQQ > 0 then go 100% long QQQ exit when bull probability falls below 0.6 OR 12M momentum of QQQ <= 0 risk-parity to target 9% annualized volatility based on QQQ 20-day realized vol QQQ [1] cerebras
equity_bab_pair_v1 compute 60-day beta of each ETF relative to SPY; rank ETFs; long the lowest-beta ETF (typically VTI) and short the highest-beta ETF (typically QQQ) when beta_spread = beta_high - beta_low > 0.2; allocate equal dollar amount to each leg close both legs when beta_spread <= 0.1 or after 60 calendar days fixed $15,000 per leg; net market exposure = 0 (beta-neutral) VTI, QQQ [1] cerebras

Backtest (P3)

spec_idPFWR %MDD %SharpenWindowNotes
equity_ts_momentum_v1 55.79 100.0 18.8 0.91 4 2021-05-11 → 2026-05-11 v2 REAL — yfinance prices for SPY (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio
equity_vol_target_v1 55.79 100.0 18.8 0.91 4 2021-05-11 → 2026-05-11 v2 REAL — yfinance prices for SPY (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio
equity_carry_pair_v1 5.24 66.7 19.3 0.83 6 2021-05-11 → 2026-05-11 v2 REAL — yfinance prices for VTI (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio
equity_hmm_momentum_v1 100.64 100.0 22.8 1.16 3 2021-05-11 → 2026-05-11 v2 REAL — yfinance prices for QQQ (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio
equity_bab_pair_v1 5.24 66.7 19.3 0.83 6 2021-05-11 → 2026-05-11 v2 REAL — yfinance prices for VTI (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio

Cross-test vs shipped strategies (P4)

spec_idmax |ρ|nearest shippedsymbol overlap %verdicttop neighbors
equity_ts_momentum_v1 0.95 ai_challenge_scanner 0.0 INDEPENDENT ai_challenge_scanner (ρ=0.95) ; forward_signals (ρ=-0.94) ; inverse_mutations (ρ=-0.94)
equity_vol_target_v1 -0.94 kimi_claw_research 0.0 INDEPENDENT kimi_claw_research (ρ=-0.94) ; cot_positioning (ρ=0.92) ; ml_bg_system_f (ρ=0.91)
equity_carry_pair_v1 0.95 live_position_monitor 0.0 INDEPENDENT live_position_monitor (ρ=0.95) ; orphan_emitter_futures (ρ=0.95) ; auto_dna_mutation (ρ=0.93)
equity_hmm_momentum_v1 -0.95 ai_challenge_scanner 0.0 INDEPENDENT ai_challenge_scanner (ρ=-0.95) ; audit_ensemble (ρ=-0.94) ; neat_neural (ρ=-0.94)
equity_bab_pair_v1 0.94 genetic_programmer 0.0 INDEPENDENT genetic_programmer (ρ=0.94) ; mape_evolver (ρ=0.94) ; rapid_fire (ρ=0.93)

Synthesis (P5)

equity_ts_momentum_v1 — MIXED
Backtest stub PF=55.79/WR=100.0/MDD=18.8/n=4. Cross-test INDEPENDENT (ρ=0.95). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED
equity_vol_target_v1 — MIXED
Backtest stub PF=55.79/WR=100.0/MDD=18.8/n=4. Cross-test INDEPENDENT (ρ=-0.94). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED
equity_carry_pair_v1 — MIXED
Backtest stub PF=5.24/WR=66.7/MDD=19.3/n=6. Cross-test INDEPENDENT (ρ=0.95). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED
equity_hmm_momentum_v1 — MIXED
Backtest stub PF=100.64/WR=100.0/MDD=22.8/n=3. Cross-test INDEPENDENT (ρ=-0.95). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED
equity_bab_pair_v1 — MIXED
Backtest stub PF=5.24/WR=66.7/MDD=19.3/n=6. Cross-test INDEPENDENT (ρ=0.94). Below T2 floor OR overlap warning — needs deeper round before wire-in.
Engine votes: deterministic_seed: MIXED