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一分鐘完成驗證Systematic long-only equity strategy | Multi-factor | Monthly rebalance
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取自儲存庫 README
正在載入完整 README。
檢視完整 README ↗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
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.
| 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.
