Quant Strategy Live Hub Guide
Low-turnover daily CTA momentum and sector rotation models with transparent NAV tracking and 15:00 CST physical market close alignment.
1. Strategy Design Philosophy & Daily Low-Turnover Logic
High-frequency trading suffers from severe execution friction: exchange commissions, bid-ask spreads, slippage, and server co-location costs. MarketSightAI intentionally focuses on daily timeframe (D1) macro trend harvesting:
Daily bar closing signals minimize bid-ask churn and commission drag.
Diversifies across Index, Ferrous, Energy, Non-Ferrous, and Ags.
Daily signals locked strictly at 15:00:00 CST with zero mid-session overrides.
2. Core Quant Models Breakdown
Combines Time-Series Momentum (absolute trend filter) with Cross-Sectional Momentum (relative strength ranking). It dynamically allocates capital into top 20% strongest performing commodity contracts while sizing each position inversely proportional to historical ATR volatility.
Tailored for industrial commodities (Ferrous & Energy). Identifies Bollinger Band / Keltner Channel squeeze regimes and enters aggressively when volatility expands past historical thresholds, riding rapid directional runs with trailing structural stops.
3. Understanding Live Portfolio Metrics
Normalized to 1.0000 at inception. Reinvests compounding profits over multi-year empirical cycles.
Measures risk-adjusted excess return over the risk-free rate. Target baseline > 1.2.
Peak-to-trough drop depth. Monitored strictly to prevent portfolio blowup.
The trading days required for the portfolio to recover and reach a new all-time high.