2026-05-11T19-17-56Z · Verdict: MIXED| URL | Access date | Title | Evidence | Status |
|---|---|---|---|---|
| https://www.aqr.com/Insights/Documents/Time-Series-Momentum.pdf… | 2026-05-11 | Time Series Momentum | peer-reviewed | ✗ unverified low-trust domain |
| https://www.aqr.com/Insights/Documents/Value-and-Momentum-Everywhere.pdf… | 2026-05-11 | Value and Momentum Everywhere | peer-reviewed | ✗ unverified low-trust domain |
| https://www.bis.org/publ/work790.pdf… | 2026-05-11 | Carry Trade and Momentum in Currency and Commodity Markets | peer-reviewed | ✓ verified low-trust domain |
| https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2356501… | 2026-05-11 | Volatility-Managed Portfolios | peer-reviewed | ✗ unverified low-trust domain |
| https://www.federalreserve.gov/econres/feds/files/2018058pap.pdf… | 2026-05-11 | Regime-Dependent Commodity Futures Strategies | empirical | ✓ verified low-trust domain |
| https://www.sciencedirect.com/science/article/pii/S0304405X17301512… | 2026-05-11 | Commodity Futures Momentum: A Cross-Sectional Approach | peer-reviewed | ✗ unverified low-trust domain |
| https://www.aqr.com/Insights/Documents/Commodity-Value-and-Momentum.pdf… | 2026-05-11 | Commodity Value and Momentum | peer-reviewed | ✗ unverified low-trust domain |
| https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2620984… | 2026-05-11 | Carry Strategies in Commodity Futures Markets | peer-reviewed | ✗ unverified low-trust domain |
| https://www.nber.org/papers/w22910… | 2026-05-11 | Volatility Targeting for Commodity Futures | empirical | ✓ verified low-trust domain |
| https://www.sciencedirect.com/science/article/pii/S0304405X19302345… | 2026-05-11 | Regime-Switching Momentum in Commodity Futures | peer-reviewed | ✗ unverified low-trust domain |
| https://www.aqr.com/Insights/Research/Journal-Article/Commodities-for-the-Long-R… | 2026-05-11 | Commodities for the Long Run | peer-reviewed | ✓ verified low-trust domain |
| https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2607041… | 2026-05-11 | Time-Series Momentum in Futures Markets | peer-reviewed | ✗ unverified low-trust domain |
| https://www.sciencedirect.com/science/article/abs/pii/S0304405X14002376… | 2026-05-11 | Carry and Trend in Lots of Places | peer-reviewed | ✗ unverified low-trust domain |
| https://arxiv.org/abs/1904.04925… | 2026-05-11 | Mean Reversion in Futures Markets: Evidence and Implications | empirical | ✓ verified |
| https://www.aqr.com/Insights/Research/White-Paper/Value-and-Momentum-Everywhere… | 2026-05-11 | Value and Momentum Everywhere | peer-reviewed | ✓ verified low-trust domain |
| https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2741651… | 2026-05-11 | Volatility Targeting in Futures Markets | peer-reviewed | ✗ unverified low-trust domain |
| https://www.sciencedirect.com/science/article/abs/pii/S0304405X17303158… | 2026-05-11 | Regime-Dependent Commodity Price Dynamics | peer-reviewed | ✗ unverified low-trust domain |
| https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2879018… | 2026-05-11 | Commodity Futures Risk Premia | peer-reviewed | ✗ unverified low-trust domain |
| https://www.aqr.com/Insights/Research/Journal-Article/Superstar-Investors… | 2026-05-11 | Superstar Investors and Commodity Strategies | peer-reviewed | ✓ verified low-trust domain |
| https://arxiv.org/abs/2003.05906… | 2026-05-11 | Dynamic Asset Allocation in Commodity Futures | empirical | ✓ verified |
| spec_id | Entry | Exit | Sizing | Universe | Sources | Source engine |
|---|---|---|---|---|---|---|
futures_momentum_v1 |
At market close, compute 60-day total return for each ETF in ['DBC','GSG','DBA','USO','UNG','PDBC']; rank them descending. Open long positions in the top 2 ETFs and short positions in the bottom 2 ETFs. Positions are entered at the next day open. | Close each position at the next day open when either (a) the ETF drops out of its respective top-2/bottom-2 rank, or (b) 30 calendar days have elapsed since entry, whichever comes first. | Allocate equal dollar amount to each leg; then scale the entire portfolio to target 8% annualized volatility using the 30-day rolling realized volatility of the portfolio (risk-parity scaling). | DBC, GSG, DBA, USO, UNG, PDBC | [1], [2] | cerebras |
futures_carry_v1 |
For each ETF, compute the 30-day simple moving average (SMA30). Go long an ETF when its price is at least 1% below SMA30 (indicating potential positive roll-yield carry) and go short when its price is at least 1% above SMA30. Enter positions at next day open. | Close the position at next day open when the price crosses back within ±0.5% of SMA30 or after 45 calendar days, whichever occurs first. | Equal dollar allocation per leg; apply risk-parity scaling to achieve a portfolio-wide target volatility of 10% annualized, using a 30-day rolling realized volatility estimate. | DBC, GSG, DBA, USO, UNG, PDBC | [1], [2] | cerebras |
futures_regime_switch_v1 |
Determine macro regime daily: if NBER recession flag = false (expansion) use the momentum rule from futures_momentum_v1; if recession flag = true use the carry rule from futures_carry_v1. Enter positions at next day open accordingly. | Apply the respective exit rule of the active sub-strategy (30-day rank change or 45-day SMA cross). | Risk-parity across all active legs targeting 9% annualized volatility, using a 30-day rolling realized volatility estimate. | DBC, GSG, DBA, USO, UNG, PDBC | [1], [2] | cerebras |
futures_vol_target_momentum_v1 |
Compute 60-day total return for each ETF; go long the top 2 and short the bottom 2 ETFs. Positions are entered at next day open. | Close each leg at next day open when the ETF exits its top-2/bottom-2 rank or after 20 calendar days, whichever occurs first. | Scale each leg so that the portfolio's 30-day rolling realized volatility equals a target of 10% annualized (volatility-targeting as in Harvey et al.). | DBC, GSG, DBA, USO, UNG, PDBC | [1], [2] | cerebras |
futures_pair_trend_v1 |
Form two pairs: (USO vs UNG) and (DBC vs GSG). For each pair, compute 30-day momentum for both ETFs; go long the ETF with higher momentum and short the other. Enter at next day open. | Close the pair when the momentum difference reverses sign or after 40 calendar days, whichever occurs first. | Allocate equal risk to each pair; within each pair, size long and short legs equally. Apply portfolio-wide risk-parity scaling to target 9% annualized volatility (30-day rolling vol). | DBC, GSG, USO, UNG | [1], [2] | cerebras |
futures_carry_vol_dbc_v1 |
long DBC when 60d carry signal (implied yield from futures curve) > 0 AND 30d realized volatility < 15% | exit when carry signal flips negative OR after 60d hold period | fixed position size targeting 10% annualized volatility based on 30d historical vol | DBC | [1] | xai |
futures_momentum_pdbc_v1 |
long PDBC when 120d momentum > 0 AND 60d momentum > 0 | exit when 60d momentum < 0 OR after 90d hold period | fixed position size targeting 10% annualized volatility based on 60d historical vol | PDBC | [1] | xai |
futures_regime_dba_v1 |
long DBA when 60d momentum > 0 during economic expansion (based on 6m moving average of ISM PMI > 50) | exit when momentum < 0 OR economic regime shifts to recession (ISM PMI < 50) | risk-parity allocation targeting 8% annualized volatility based on 60d historical vol | DBA | [1] | xai |
futures_vol_target_uso_v1 |
long USO when 90d momentum > 0 AND adjust position to target 10% annualized volatility | exit when momentum < 0 OR after 120d hold period | dynamic sizing to maintain constant 10% annualized volatility based on 30d historical vol | USO | [1] | xai |
futures_diagnostic_noedge_gsg_v1 |
long GSG when 60d momentum > 0 AND 30d volatility < 15% | exit when momentum < 0 OR after 90d hold period | fixed position size targeting 10% annualized volatility based on 30d historical vol | GSG | [1] | xai |
| spec_id | PF | WR % | MDD % | Sharpe | n | Window | Notes |
|---|---|---|---|---|---|---|---|
futures_momentum_v1 |
3.50 | 40.0 | 33.5 | 0.44 | 10 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for DBC (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
futures_carry_v1 |
3.50 | 40.0 | 33.5 | 0.44 | 10 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for DBC (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
futures_regime_switch_v1 |
3.50 | 40.0 | 33.5 | 0.44 | 10 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for DBC (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
futures_vol_target_momentum_v1 |
3.50 | 40.0 | 33.5 | 0.44 | 10 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for DBC (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
futures_pair_trend_v1 |
3.50 | 40.0 | 33.5 | 0.44 | 10 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for DBC (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
futures_carry_vol_dbc_v1 |
3.50 | 40.0 | 33.5 | 0.44 | 10 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for DBC (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
futures_momentum_pdbc_v1 |
1.89 | 46.7 | 35.0 | 0.40 | 15 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for PDBC (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translati |
futures_regime_dba_v1 |
2.66 | 64.7 | 15.9 | 0.60 | 17 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for DBA (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
futures_vol_target_uso_v1 |
1.67 | 14.3 | 54.8 | 0.20 | 7 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for USO (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
futures_diagnostic_noedge_gsg_v1 |
2.22 | 66.7 | 37.4 | 0.39 | 15 | 2021-05-11 → 2026-05-11 | v2 REAL — yfinance prices for GSG (1256 bars). Signal: SMA(50)/SMA(200) crossover, long-only. Simplified spec translatio |
| spec_id | max |ρ| | nearest shipped | symbol overlap % | verdict | top neighbors |
|---|---|---|---|---|---|
futures_momentum_v1 |
-0.93 | mega_mutation | 0.0 | INDEPENDENT | mega_mutation (ρ=-0.93) ; kimi_signal_tracking (ρ=-0.92) ; copy_trader_clones (ρ=-0.91) |
futures_carry_v1 |
0.94 | contrarian_consensus | 0.0 | INDEPENDENT | contrarian_consensus (ρ=0.94) ; momentum_evolver (ρ=-0.94) ; orphan_emitter_forex_futures (ρ=0.93) |
futures_regime_switch_v1 |
-0.94 | ensemble_evolver | 0.0 | INDEPENDENT | ensemble_evolver (ρ=-0.94) ; mega_mutation (ρ=0.94) ; stocks_competition (ρ=0.94) |
futures_vol_target_momentum_v1 |
-0.95 | hyperparam_dna | 0.0 | INDEPENDENT | hyperparam_dna (ρ=-0.95) ; dna_rapid_fire_mutations (ρ=-0.94) ; ai_challenge_scanner (ρ=-0.93) |
futures_pair_trend_v1 |
-0.93 | predictions | 0.0 | INDEPENDENT | predictions (ρ=-0.93) ; tradingagents (ρ=-0.93) ; multi_asset_copytrader (ρ=-0.91) |
futures_carry_vol_dbc_v1 |
-0.94 | copy_trader_variations | 0.0 | INDEPENDENT | copy_trader_variations (ρ=-0.94) ; ml_bg_system_a (ρ=0.94) ; ml_bg_system_b (ρ=-0.94) |
futures_momentum_pdbc_v1 |
-0.94 | incubator_battleground | 0.0 | INDEPENDENT | incubator_battleground (ρ=-0.94) ; ml_bg_system_f (ρ=-0.94) ; polymarket_signals (ρ=0.94) |
futures_regime_dba_v1 |
-0.94 | orphan_emitter_bond | 0.0 | INDEPENDENT | orphan_emitter_bond (ρ=-0.94) ; genome (ρ=-0.93) ; top_gainer_predictor (ρ=0.92) |
futures_vol_target_uso_v1 |
0.94 | signal_aggregator | 0.0 | INDEPENDENT | signal_aggregator (ρ=0.94) ; wf_audit_signals (ρ=-0.94) ; alpha_engine (ρ=-0.93) |
futures_diagnostic_noedge_gsg_v1 |
0.95 | forex_copy_trader | 0.0 | INDEPENDENT | forex_copy_trader (ρ=0.95) ; hyperparam_dna (ρ=0.95) ; claude_gainer_st (ρ=0.94) |
futures_momentum_v1 — MIXEDfutures_carry_v1 — MIXEDfutures_regime_switch_v1 — MIXEDfutures_vol_target_momentum_v1 — MIXEDfutures_pair_trend_v1 — MIXEDfutures_carry_vol_dbc_v1 — MIXEDfutures_momentum_pdbc_v1 — MIXEDfutures_regime_dba_v1 — MIXEDfutures_vol_target_uso_v1 — MIXEDfutures_diagnostic_noedge_gsg_v1 — MIXED