Momentum Alpha v3
Rule-Basedrunningby Sarah Chen · v3 · daily
Cumulative Return
+18.00%
Sharpe
2.85
Sortino
3.40
Max Drawdown
-2.22%
Ann Return
+18.00%
Ann Vol
+12.00%
Calmar
1.50
Days Active
150
Cumulative Returns (%)
Drawdown (%)
Risk Limits
Max Drawdown
20%
Max Position
10%
Daily Loss Limit
5%
Max Orders/Tick
50
Current Positions (5 held)
META
20.0% weight
NVDA
12.2% weight
MSFT
10.6% weight