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Adaptive Factor Scoring and Execution in a Multi-Asset Perpetual Strategy

Article FMZ live strategies
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Summary

This live strategy dashboard describes a multi-asset perpetual futures system that combines factor signals, assigns target exposures across contracts, and submits passive limit orders. The listed seed factors cover reversal, momentum, premium, funding, and open interest; additional candidate factors are observed while samples mature. Reported evidence includes factor-level information coefficients, net returns, stability measures, portfolio targets, positions, and execution events.

The snapshot reports a 30-contract universe and gives performance and risk figures for a live run, but it does not explain the factor formulas, signal normalization, weighting rules, or evaluation design in enough detail to reproduce the system. Some factor evidence is based on few mature samples, and execution records include unconfirmed order states and API issues. Dashboard metrics describe this particular run and do not establish durable out-of-sample performance or general profitability.

Key ideas

  • The system combines reversal, momentum, premium, funding, and open-interest factors for perpetual contracts.
  • It reports factor evidence and portfolio targets across a stated 30-contract universe.
  • The dashboard shows passive limit-order execution alongside positions, fills, and risk metrics.
  • Some candidate factors have limited mature samples, and the snapshot includes unresolved order and API issues.
  • The displayed live-run results do not establish reproducibility or future performance.

Tags

CryptoPerpetual futuresMachine learningPortfolio constructionExecution

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.