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 | $9702.21 | Sharpe ratio | -1.67 | |
| Total return | -2.98% | Sortino ratio | -0.83 | |
| CAGR | -14.79% | Calmar ratio | -3.56 | |
| Volatility (annualised) | 7.33% | Profit factor | 0.47 | |
| Days live | 62 | Maximum drawdown | -4.16% |
Process consistency
| Positive months | 0.0% |
| Best month | 0.00% |
| Worst month | -1.28% |
| 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) | 0.26 | 0.00 | 0.16 |
| Bitcoin (BTC-USD) | 0.04 | 0.00 | 0.01 |
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 |
|---|---|
| USD | 9702.2101 |
Research & documentation
- Strategy deep-dive: SqueezeMomentumBot: strategy deep-dive & live performance
- Methodology write-up: SqueezeMomentumBot
- Reference implementation:
tradingbot/squeezemomentumbot.py - Framework: python_tradingbot_framework (open source, fully inspectable)
Related strategies
Other strategies in the Momentum & swing family:
- SwingTitaniumBot · research note- GoldenButterflyMomBot · 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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