Investment thesis
Momentum & swing — economic intuition. Cross-sectional and time-series momentum are among the most documented anomalies in empirical asset pricing (Jegadeesh-Titman, Asness et al.). The thesis: investors under-react to gradual information and over-react late, leaving a multi-day window where recent winners continue. Squeeze and volatility-compression variants add a regime filter to reduce drawdowns in choppy markets.
Risk-adjusted performance — live track record
Forward-tested daily against live market data. Metrics derived from end-of-day portfolio marks; methodology documented on the Due Diligence and About pages.
| Return | Value | Risk-adjusted | Value | |
|---|---|---|---|---|
| Current portfolio worth | $10161.09 | Sharpe ratio | 0.92 | |
| Total return | 1.61% | Sortino ratio | 0.98 | |
| CAGR | 6.55% | Calmar ratio | 2.72 | |
| Volatility (annualised) | 6.50% | Profit factor | 1.20 | |
| Days live | 71 | Maximum drawdown | -2.41% |
Process consistency
| Positive months | 66.7% |
| Best month | 1.93% |
| Worst month | -1.20% |
| Recovery from max drawdown | still underwater |
Market independence
Correlation and beta versus passive benchmarks, computed over the full live series.
| Benchmark | Correlation | 90-day rolling correlation | Beta |
|---|---|---|---|
| S&P 500 (SPY) | 0.81 | 0.00 | 0.47 |
| Bitcoin (BTC-USD) | 0.31 | 0.00 | 0.06 |
A correlation materially below 1.0 to both benchmarks indicates the strategy’s returns are not a simple re-expression of long equity or long crypto beta.
Equity curve
Live track record — forward-tested performance from the strategy's production start date.
Drawdown profile
Underwater curve — percentage below the running high-water mark. Institutional allocators read this before the equity curve.
Current holdings
| Symbol | Quantity |
|---|---|
| IAU | 20.9289 |
| IJS | 14.1342 |
| USD | 4791.4950 |
| VTI | 4.9926 |
Research & documentation
- Strategy deep-dive: GoldenButterflyMomBot: strategy deep-dive & live performance
- Reference implementation:
tradingbot/goldenbutterflymombot.py - Framework: python_tradingbot_framework (open source, fully inspectable)
Related strategies
Other strategies in the Momentum & swing family:
- SqueezeMomentumBot · research note- SwingTitaniumBot · research note Or view the full strategy roster.
For professional investors
Request the investor deck, DDQ, and extended analytics. Firm-gated and reviewed manually.
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