Long Term + Intraday

A capital-split ensemble that combines a long-term equity momentum strategy with an intraday futures breakout strategy. The two components are structurally uncorrelated: one holds positions for days to weeks based on equity momentum, the other enters and exits within a single session based on intraday volatility. The combination targets lower portfolio drawdown than either component alone.

The ensemble allocates capital 50/50 between the long-term and intraday components. Each component runs its own position sizing and risk management independently. The diversification benefit comes from the near-zero correlation between the two return streams: when one is in drawdown, the other is often flat or positive.

Backtested from 2018 to present on $100k starting capital. The combined result shows a Sharpe of 2.09 with 33.2% max drawdown, meaningfully better risk-adjusted returns than either component in isolation.

The compounding is driven by leverage, up to roughly 2x held overnight and up to 4x intraday. That is a lot of leverage, and it is what makes the curve as steep as it is. It is shown as an example of what the ensemble can do at the aggressive end, not as a recommendation: returns of this magnitude are inseparable from the leverage behind them and from the much deeper drawdowns it can produce. Most allocators should run it at far lower exposure than this.