Institutional Strategy Research Specs
This directory is a permanent record of the institutional quant research / design
specs that feed the QGTM alpha and strategy build. Each document is a build
contract produced by a research pass — they are design inputs only and are not
yet implemented. No production code in qgtm_*/ is changed by these docs; the
implementing engineering work is tracked separately, and any sleeve must clear the
validation / promotion gate before it receives capital.
Index
| # | File | Strategy family | One-line summary |
|---|---|---|---|
| 01 | 01_trend_momentum.md |
Trend / Momentum | Diversified multi-horizon time-series + cross-sectional momentum (vol-targeted, long/short) as the book's low-correlation crisis-alpha diversifier; fixes the 3 quarantined single-asset trend names. |
| 02 | 02_carry.md |
Cross-asset Carry | Commodity roll/term-structure, rates yield-curve, and FX rate-differential carry — ranked by ETF-expression cleanliness (rates first, commodity second, FX paper-only). |
| 03 | 03_vol_premium.md |
Volatility Risk Premium | Systematic short-vol income sleeve on liquid optionable ETFs with a mandatory tail-hedge overlay, expressed in real Alpaca options (replacing today's delta-one proxy). |
| 04 | 04_macro_statarb.md |
Macro/Regime + Stat-Arb/Pairs | A proper growth×inflation×risk regime classifier + allocation overlay, plus cointegration-gated, beta-neutral pairs (GLD/SLV, GDX/GLD, GDXJ/GDX). |
| 05 | 05_portfolio_integration.md |
Portfolio Integration | The ensemble + risk layer: a two-stage allocator (vol-target each sleeve, then HRP/ERC across sleeves) with a smooth drawdown governor and turnover control. |
Status
- Research + design only — no
qgtm_*/code changes, no strategies promoted. - These specs are the inputs that the validated-strategy bundle is built against.
- Implementation, backtesting, and promotion are handled by separate workstreams.