volatility-targeting

Deterministic, drawdown-controlled ETF allocation framework (Convex Core) — reproducibility companion to the research paper: model engine, report code, tests, and computed result artifacts. Hypothetical/backtested; not investment advice.

When does risk-managed momentum add value? A reproducible, out-of-sample, bootstrap-tested study - independent research, 2026.

Pre-registered out-of-sample test of volatility targeting on the S&P 500: rules frozen and pushed before a single 2010-2026 run; Sharpe 0.779 vs 0.780 for buy-and-hold.

Adaptive multi-asset allocation in MATLAB using momentum, risk parity, maximum diversification, minimum variance and volatility targeting.

Synthetic-data public demo of a master portfolio governor and multi-sleeve risk controller.

Daily market-on-close bot: market-neutral statistical arbitrage across 45 US industry groups plus a volatility-targeted S&P 500 (SPY) core. Python, pandas.

Daily market-on-close bot: market-neutral statistical arbitrage across 45 US industry groups plus a volatility-targeted Nasdaq-100 (QQQ) core. Python, pandas, Pine Script.

Walk-forward study of inverse-vol multi-asset books and a vol-targeted futures overlay, with robustness tests

Patent Moat Index: a 130/30 long-short equity strategy ranking U.S. stocks by patent value intensity, with sector-neutral ranking, 12% target-vol scaling, and a 10-month SMA macro filter. 45-year backtest (1980-2024) cuts max drawdown from -49% to -13% with significant FF5 alpha. UNC Kenan-Flagler Alpha Competition 2026.

Synthetic defensive multi-asset allocation and volatility targeting demo.

Quantitative trading strategy leveraging a GARCH(1,1) model for dynamic volatility targeting on the Nasdaq-100 (QQQ)

策略公开仓（私有 vault 的公开子集）= 美股 K3 策略 + 空调文档 + 量化脚本。由 D:\Knowledge 经 .sync_strategy.py 自动同步，私有库是唯一事实源，请勿手工改本仓。

Gold Allocation Research | Quantitative Research & Risk Management. Reproducible GLD trend, volatility-targeting and walk-forward comparisons.

Time-series momentum + vol-targeting lifts Sharpe and halves max DD.