RESEARCH FRAMEWORK
Volatility-targeted momentum
Scales a simple momentum signal so higher-volatility pairs do not dominate risk.
Only the measurements the rule needs
Rate of ChangeRolling volatilityPortfolio exposure
Conditions before an entry exists
- Lookback and rebalance schedule are fixed
- Volatility estimate uses only available data
- Currency and gross exposure caps are active
ENTRY
At the scheduled rebalance when momentum state is eligible.
STOP
Portfolio volatility and instrument risk limits rather than ad-hoc chart changes.
EXIT
Signal reversal, rebalance rule or risk limit.
DO NOT TRADE
Leverage spikes when estimated volatility becomes artificially low.
What has to happen before capital is at risk
1Cap inverse-volatility weights
2Include transaction costs
3Use walk-forward evaluation
4Stress correlation jumps
Report gross and net results, the full eligible sample, maximum drawdown, trade distribution and any rule changes. Then repeat on data that did not influence the design.
Use the same protocol every time.
The CSV test plan records eligibility, costs, execution, outcome and rule adherence without turning an example into a promise.
Download test-plan CSV ↓