Sector Momentum Rotation with Volatility-Weighted Equity Perpetual Baskets

Summary

This strategy ranks configured equity sectors by the average lookback return of their valid constituents, using closed four-hour bars. It buys every member of the strongest sector and shorts every member of the weakest, with equal total notional on each side. Trading requires a minimum gap between sector averages; if the gap is too small, the strategy stays flat or exits managed positions. Within each basket, it reserves enough for exchange minimum quantities and distributes the remaining budget inversely to constituent volatility.

The document describes scheduled rotation, checks for missing or unexpected legs and long/short exposure imbalance, and a portfolio loss stop that halts trading until manually resumed. It reports syntax, configuration, consistency checks and 28 offline tests using synthetic data and interface stubs. Those checks do not establish execution performance: platform import verification, backtesting, paper operation and live validation are still pending. Perpetual contract funding, tracking error, liquidity, forced liquidation, turnover, and sequential leg fills are material limitations.

Key ideas

• Sector strength is measured as the arithmetic mean of constituent returns over a shared lookback.
• The strategy buys the strongest eligible sector and shorts the weakest, with equal target notional per side.
• Within each sector basket, remaining notional is allocated inversely to constituent volatility.
• A minimum momentum gap, basket integrity checks, exposure limits and a portfolio loss stop govern trading and exits.
• Offline tests cover selected logic but do not demonstrate live execution quality.

Tags

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