Hypotheses

QuantRocket VMOTTrend: SPY Weekly Two-Rule Short Hedge

Hypothesis

Faithful port of QuantRocket's Apache-2.0 VMOTTrend, the Trend component of Alpha Architect's Value/Momentum/Trend approach. Trade SPY.USEQ using daily session-close bars. QuantRocket identifies source SID FIBBG000BDTBL9 as SPY: https://www.quantrocket.com/docs/. Preserve the source's 252-session moving average, 252-session return, weekly Sunday-labeled resampling, equal half-weight hedge signals, and one-session position delay. This is the standalone short hedge component, not the complete VMOT long portfolio. Replace the source's $0.005/share commission with platform USEQ zero commissions and modeled spread/impact. Replace SMART MOC routing with the platform's market execution at the prescribed daily session close; this preserves close-based simulated timing but does not reproduce auction execution. Source: https://github.com/quantrocket-codeload/vmot/blob/4c579d703c4dec99c8e3b0f42031ea2dbf210207/vmot/vmot_trend.py.

Analysis

VMOTTrend

Backtest and paper results are hypothetical. Trading involves risk of loss.

Strategies

Hypothesis

Analysis