An intraday book with almost no exposure to the market's direction
Backtest results · hypothetical, not live
2020–today, blended intraday signals
Performance
Detail
Results from a single backtest on QuantConnect. Costs and slippage modeled per the strategy's deployment specification.
About
An ensemble of several intraday signals on a single liquid Nasdaq instrument, blended into one book that trades during the regular session and is flat by the close. The variants are combined so their individual quirks average out into a steadier whole.
Its standout property is that its returns barely move with the broad market; sensitivity to the index is close to zero. That makes it a genuinely independent return stream, valuable less for its standalone numbers than for what it does to a portfolio when combined with directional strategies.
Backtested from 2020 to present. The near-market-neutral profile pairs a Sharpe above 1.1 with a moderate drawdown. Included as a diversifying building block.