Strategy Overview:

Objective: The NCSU_Strategy_2024_Q3 implements a sophisticated trend-following approach using SPY ETF constituents, combining momentum analysis with comprehensive risk management. The strategy aims to generate alpha through systematic security selection while maintaining strict risk controls and leverage limits.

Alpha Model (CalculateTrendIndicators):

- Analyzes 63-day historical price data to calculate compound returns

- Selects top 10% of securities based on positive momentum

- Implements momentum factor strategy with focus on consistent performers - Filters for only positive-returning securities to maintain quality

Risk Model (CalculateRiskParameters):

- Calculates individual security volatilities and historical returns - Annualizes volatility metrics using 252 trading days

- Monitors volatility extremes and average levels - Implements comprehensive data validation and quality checks Portfolio Construction (OptimizePortfolio):

- Uses return-to-volatility ratios for position sizing

- Implements maximum leverage constraint of 2.0x

- Applies position size limits and concentration constraints

- Normalizes weights to meet portfolio constraints - Monitors allocation statistics and position concentration Trade Execution (Execute_Trades):

- Prioritizes position reductions before increases

- Orders increases by size (smallest first)

- Optimizes capital utilization

- Implements smart order routing via SetHoldings

- Manages complete position exits efficiently

Rebalancing:

- Triggered by 4% deviation from equity high-water mark

- Implements complete portfolio reoptimization

- Updates risk parameters and position targets

- Executes trades efficiently to minimize impact

Investment Thesis: Trend Following:

- Focuses on momentum in large-cap, liquid stocks

- Uses 63-day lookback period for trend identification

- Selects securities showing positive compound returns

- Emphasizes consistent performers over volatile gainers Risk Management: - Implements strict position sizing limits

- Monitors drawdown via high-water mark -

 Uses volatility-adjusted position sizing

- Applies leverage cap of 2.0x - Implements transaction cost consideration (0.1% per trade)

Quantitative Approach:

- Fully systematic trading strategy

- Uses compound returns for momentum calculation

- Implements risk-adjusted optimization

- Employs smart order routing and execution

- Maintains comprehensive performance monitoring Portfolio Monitoring:

- Tracks portfolio value against high-water mark

- Monitors individual position performance

- Implements automatic rebalancing triggers

- Maintains detailed logging of portfolio metrics

Universe Selection:

- Uses SPY ETF constituents

- Focuses on liquid, large-cap stocks

- Implements dynamic universe management - Handles security additions and removals systematically

Key Parameters:

- Lookback Period: 63 days

- Rebalance Threshold: 4%

- Maximum Leverage: 2.0x

- Initial Capital: $1,000,000

- Transaction Cost: 0.1% per trade 

- Top Selection: 10% of universe