Strategies
Sleeves, not source code.
The paper book is a mix of uncorrelated sleeves across equities on Alpaca paper. Allocations below are of deployed notional at 1.5× paper equity and may change. Everything shown is paper / practice capital. Multi-year simulation of this mix is on Backtests.
Active
PEAD
alpaca · 45%
Post-earnings announcement drift. Long only.
Buys names where the earnings surprise clears a high bar, waits one session, then holds for a defined window. Size can scale with surprise magnitude. Aims at the slow digestion of earnings news, not the day-one spike.
Equity momentum
alpaca · 45%
Classic 12-1 quality momentum across large and mid caps.
Ranks a broad U.S. equity universe on intermediate-horizon momentum with quality filters and a correlation cap so the book does not collapse into one factor bet. Rebalances monthly.
Risk parity
alpaca · 10%
Multi-asset equal-risk ballast.
Balances risk across equities, bonds, gold, and REITs (SPY / TLT / GLD / VNQ), vol-targeted so no single sleeve dominates dollar risk. Diversifier inside the Alpaca account.
Parked
VIX reversion
parked · 0%Stays flat when markets are calm. When the VIX is elevated and starting to fall, rotates into a short-volatility vehicle (SVXY). Parked at 0% live; capital moved to PEAD and momentum.