Hypotheses
QuantRocket UpMinusDown: Fixed 252/22-Day Stock Momentum, Monthly Equal-Weight Long/Short
Faithful translation of QuantRocket LLC's Apache-2.0 UpMinusDown signal and allocation rules, with explicitly declared platform instruments and costs. Source:…
Hypothesis
Faithful translation of QuantRocket LLC's Apache-2.0 UpMinusDown signal and allocation rules, with explicitly declared platform instruments and costs. Source: https://github.com/quantrocket-codeload/moonshot-intro/blob/8717e87e279e3615bdd4c7787ce746b92d0713d7/intro_moonshot/umd.py. Preserve MOMENTUM_WINDOW=252, RANKING_PERIOD_GAP=22, TOP_N_PCT=50 and REBALANCE_INTERVAL='M'. Use synchronized USEQ daily session bars. The base UpMinusDown class does not specify a universe; this experiment declares a fixed ten-stock platform universe and does not claim to reproduce the demo's unspecified usstock-free membership. UpMinusDownDemo additionally sets CODE='umd-demo', DB='usstock-free-1d', UNIVERSES='usstock-free', TOP_N_PCT=50 and COMMISSION_CLASS=USStockCommission; that commission class specifies $0.005 per share. Our experiment uses USEQ's zero commissions with modeled spread and impact instead. No optimization, additional filter, stop-loss or signal-strength sizing is permitted.
Analysis
UpMinusDown
Backtest and paper results are hypothetical. Trading involves risk of loss.