Cross-sectional value factor with quality overlay
Earnings revision momentum across large-cap equities
Short interest reversal signal for US mid-caps
Volatility surface arbitrage across term structure
Option skew-derived sentiment for single stocks
Macro regime detection for tactical allocation
Statistical arbitrage pairs trading in tech sector
NLP-driven news sentiment scoring for event trades
Fund flow momentum with declining efficacy
Sector rotation model v2 — performance decaying
Orchestrating discovery campaign, allocating compute budget across research threads
→ Dispatched 4 parallel research tracks. Budget: 142 hypotheses across 3 categories.
Scanned 2,847 features across 503 securities. Identified 89 high-information-ratio candidates.
→ Top features: earnings revision breadth, option skew delta, institutional flow momentum
Generated 47 momentum-class hypotheses from price, flow, and revision signals
→ 12 hypotheses passed initial IC screen (>0.03)
Testing 38 reversion hypotheses — cross-sectional residual momentum decomposition
Exploring cointegration pairs and basket residuals across sectors
Backtesting top 23 candidates with transaction costs and slippage
Cross-validating on 5 non-overlapping out-of-sample periods
Will check new alphas against existing book for factor crowding
Will assess marginal contribution to portfolio Sharpe and optimal sizing