Systematic Equity Strategy

Live Dashboard: lixijack-cpu.github.io/momentum-portfolio

A systematic, point-in-time US equity strategy combining fundamental and market signals with dynamic regime-based risk management. Long-only, rebalanced monthly.

Backtested Performance (Dec 2005 – Jun 2026, 247 out-of-sample months, net of costs)

	Strategy	S&P 500
CAGR	14.00%	11.04%
Sharpe Ratio	0.942	0.642
Max Drawdown (month-end)	−19.51%	—
Max Drawdown (daily marks)	−26.70%	−55.19%

Drawdown is quoted on both bases because month-end sampling structurally understates it, and both legs of the excess-return figure are measured over the same window.

Live Paper Trading: July 2026 → Present

Method

Point-in-time data with no look-ahead and no survivorship bias. Every figure on the dashboard is computed from a certified walk-forward run — the equity curve, crash windows, sector history, and monthly returns are all measured, none are illustrative.

The 2011 EU debt crisis is reported even though the strategy underperformed the S&P 500 in that window. A stress table in which every row wins is not a stress table.

Portfolio-level figures (NAV, returns, drawdowns, sector weights) are published after each close. Individual positions entered within the last 7 days are embargoed to protect live execution and are revealed once that window passes or the position is closed.

Files

File	Purpose
index.html	The dashboard — a single self-contained file
*_snapshot.json	Data feeds, published from the private research pipeline
.github/workflows/pages.yml	Validates the feeds and deploys the site to GitHub Pages

Personal research project. Not investment advice.