Momentum
ELEVATEDHolds instruments whose total return over the lookback window exceeds a threshold, and stands aside otherwise.
- Identifier
- id: momentum
- Version
- v1.0.0
- Minimum bars
- min bars: 40
- Parameters
- params: lookback, threshold
These are the approved strategy modules the allocation engine may use. Each one is an independent, versioned module that emits a direction and a conviction — it never sizes or places a trade itself.
Holds instruments whose total return over the lookback window exceeds a threshold, and stands aside otherwise.
Follows an established trend while the fast average leads the slow average, and exits when the trend breaks.
Buys statistically stretched declines back toward the mean, only while price remains within a defined band.
Participates only while realised volatility sits inside an acceptable range, and steps aside when it spikes.
Holds while price sits above its moving average by a buffer that filters out marginal crossings.
The risk engine is deterministic and holds veto authority. A proposed trade that breaches a hard limit is reduced or rejected — the AI engine cannot override it.
| Limit | Conservative | Balanced | Growth |
|---|---|---|---|
| Maximum trade risk | 0.5% | 1.0% | 2% |
| Maximum position size | 5% | 10% | 15% |
| Maximum strategy exposure | 20% | 30% | 40% |
| Maximum asset exposure | 40% | 60% | 75% |
| Maximum portfolio exposure | 60% | 85% | 95% |
| Maximum daily loss | 1.0% | 2% | 4% |
| Maximum strategy drawdown | 8% | 12% | 20% |
| Maximum portfolio drawdown | 10% | 18% | 28% |
| Maximum volatility | 12% | 20% | 30% |
| Concentration limit | 8% | 12% | 18% |
| Liquidity participation limit | 1.0% | 2% | 3% |
Capital at risk. Risk limits constrain exposure; they do not guarantee that losses will be avoided.