High-Volatility-Quintile 6-Month Momentum with Jegadeesh-Titman Overlapping Cohorts, Long-Short, Point-in-Time Top-60 Binance USD-M Perp Universe (DAILY bars, monthly cohort formation, 6-month cohort hold)

Hypothesis

Restated from first principles for crypto perps, not ported line by line, from QuantConnect Strategy Library #155 'Momentum and Reversal Combined with Volatility Effect in Stocks'. Kept from the source: momentum is concentrated in the highest-volatility names. Each month, rank a point-in-time top-60 universe of Binance USD-M perps by 30-day dollar volume. Keep the top vol quintile (12 names), using realized vol over days t-187..t-7 (the last week is skipped, as in the source). Rank those 12 by 180-day return. Go long the top 3 and short the bottom 3. Each monthly cohort gets 1/6 of gross, is held 6 months, and up to 6 cohorts overlap (Jegadeesh-Titman style). Book gross is 1.0x. Positions change only at month boundaries, and expected time-in-market is ~90% once all cohorts are live. The long-only half is pre-registered as a separately scored variant 2. The full text is in the outbox file.