Product 2

Overview

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

How it works

Momentum breakout component

• Inherits the adaptive momentum framework introduced in Product 1, applied as a breakout strategy
• Defines a breakout level from a smoothed estimate of each instrument’s recent range, and opens a position when price closes beyond it
• Trades both directions and follows trends rather than predicting them, holding no position when nothing has broken out
• Sizes each position from the risk it carries rather than its notional, with a stop in place from the moment it opens

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

Active Period

01-09-2025 — Present