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Cross-Asset Momentum Engine

Factor Investing7 strategiesExpertHigh

Description

Python strategy acting as a momentum allocator across US equities, equity index futures, and a small bond/FX sleeve, with a deliberate tilt toward equities. Ranks assets on a blended 1/3/12-month momentum score, applies inverse-vol (risk-parity style) position sizing, and targets a fixed portfolio volatility. Uses a simple risk-on/risk-off regime filter based on SPX vs its 200-day MA plus realized vol to scale equity exposure dynamically.

Key Features

  • Blended 1/3/12-month momentum scoring
  • Risk-parity style inverse-vol sizing
  • SPX 200-day MA regime filter
  • Multi-asset universe with equity tilt

Strategy Details

Holding Period2.1 weeks
Min. Capital$100,000
Active Users1.1K
Market ConditionsTrending, Bull Market
Strategies Available7