Hypotheses
OKX Correlation-Adjusted Yang-Zhang Time-Series Momentum
A monthly-rebalanced long-short portfolio of BTCUSDT.OKX, ETHUSDT.OKX, and SOLUSDT.OKX perpetuals using continuous t-statistic trend signals, 21-day Yang-Zhang volatility, and signed-correlation exposure adjustment.…
Hypothesis
A monthly-rebalanced long-short portfolio of BTCUSDT.OKX, ETHUSDT.OKX, and SOLUSDT.OKX perpetuals using continuous t-statistic trend signals, 21-day Yang-Zhang volatility, and signed-correlation exposure adjustment. Each leg may be long, short, or flat. Target 12% annualized portfolio volatility, cap gross leverage at 1.5x and each leg at 0.5x, risk at most 1.5% of equity per leg, and maintain a 20% liquidity buffer.
Analysis
Improved Momentum Strategy on Commodities Futures
Backtest and paper results are hypothetical. Trading involves risk of loss.