BLACKSPECTER

STRATEGIES

Every strategy ever evaluated for Specter — live, monitoring, archived, or rejected — with the honest reasoning behind each call.

8 strategies on record · 1 LIVE · 3 MONITORING · 0 ARCHIVED · 4 REJECTED

LIVECurrently trading paper capital with public reporting on every fill.

  • Specter v1 — IBS Mean-Reversion

    mean-reversionLIVE since 2026-04-21

    Long-only IBS<0.20 entries on 9 liquid US ETFs. 1-day intraday hold (MOO → MOC).

    OOS SHARPE
    0.46 (own backtest 2021–2025, execution-realistic). 0.7–0.9 in academic Pagonidis paper on equity index ETFs.
    MAX DD
    −6.2% own backtest · ~−10–15% academic
    CAPACITY
    $1–5M per ticker before slippage erodes edge
    BROKER
    Alpaca (paper today; live ready)

    REASONINGSelected from r/algotrading research as the highest-P(profit)/effort starting point. Daily bars, no infra drama, Alpaca-tradeable. The honest 0.46 Sharpe is below the academic figure — that is the realistic decay that publishing in public forces us to confront.

    SOURCE:Pagonidis 2013 (NAAIM) ↗CREDIBILITY 3/3
MONITORINGCandidate identified from research. Will be backtested in-house before any promotion to live.

  • Mean-Reversion + Momentum Regime Switch

    metaMONITORING since 2026-04-22

    Daily regime gate: mean-reversion when below 200-SMA, momentum follow when above. Universe SPY/QQQ/TLT/GLD.

    OOS SHARPE
    1.15 over 2003–2025 per priceactionlab.com (proprietary detector — not yet replicated by us).
    MAX DD
    −16.8%
    CAPACITY
    $100M+
    BROKER
    Alpaca (daily bars)

    REASONINGMost promising replacement candidate. Same family as Specter v1 but adds a regime gate that should fix IBS's known weakness in strong trends. Must be reverse-engineered + own walk-forward backtest before going live — published number is not actionable until we reproduce it.

    SOURCE:PriceActionLab 2024 ↗CREDIBILITY 3/3

  • Connors RSI2 Multi-Strategy Portfolio

    mean-reversionMONITORING since 2026-04-22

    Ensemble of 6 RSI2 thresholds on Nasdaq-100 stocks, 2–5 day hold, monthly Sharpe-optimal allocation.

    OOS SHARPE
    1.14 (1998–2024, 2.5bp transaction cost modeled)
    MAX DD
    −28%
    CAPACITY
    $20–50M
    BROKER
    Alpaca

    REASONINGHigher Sharpe than IBS but 4.5× the drawdown — different pain tolerance regime. Worth backtesting on stock-level data, but rejected as a Specter v1 replacement because the −28% MaxDD is incompatible with the disciplined-volatility public-stream framing.

    SOURCE:Quantitativo ↗CREDIBILITY 2/3

  • Volatility-Scaled Cross-Sectional Stock Momentum

    momentumMONITORING since 2026-04-22

    Long top-decile / short bottom-decile US stocks on 12-1 momentum, scaled by realized vol.

    OOS SHARPE
    ~1.0 vol-scaled (vs 0.5 raw, vs −0.23 raw OOS 2005–2024 per recent SSRN paper)
    MAX DD
    ~−25% (vs −60% unscaled)
    CAPACITY
    $500M+
    BROKER
    IBKR (needs short selling)

    REASONINGStrongest academic edge in the candidate set, BUT requires IBKR + short-selling infra we do not currently have. Also: raw 12-1 momentum has been decaying since 2005 — works only with the AQR-style vol overlay. On the long-term roadmap if/when we move to IBKR.

    SOURCE:AlphaArchitect 2024 ↗CREDIBILITY 3/3
REJECTEDEvaluated and explicitly not pursued, with the reason on the record.

  • Bybit Crypto CVD/Liquidation/Absorption Divergence

    divergenceREJECTED since 2026-04-22

    Multi-signal microstructure scanner on Bybit crypto perps: CVD divergence, liquidation cascade, OI shifts, funding extremes.

    OOS SHARPE
    Negative live PnL (−$159 across 19 trades)
    MAX DD
    small but consistent bleed; WS reconnects 202×
    CAPACITY
    unknowable, but retail-disadvantaged
    BROKER
    Bybit (live paper)

    REASONINGr/algotrading community consensus is explicit: retail cannot beat Citadel/Virtu on millisecond microstructure. After ~3 weeks of paper trading the live PnL confirmed the consensus. Archived in `_archive/trader_bybit_2026-04-22/` with full code + data for forensic re-analysis if we ever want it.

    SOURCE:Internal — `quant/trader/` archived 2026-04-22CREDIBILITY 0/3

  • 12-1 Cross-Sectional Stock Momentum (un-vol-scaled)

    momentumREJECTED since 2026-04-22

    Classic Jegadeesh-Titman 12-month-minus-1-month momentum, monthly rebalance, equal-weighted.

    OOS SHARPE
    −0.23 over 2005–2024 (independently verified)
    MAX DD
    −81%
    CAPACITY
    irrelevant — strategy is dead
    BROKER
    any

    REASONINGThe original Jegadeesh-Titman edge has decayed to negative since the mid-2000s. Documented here so we never accidentally rebuild it — the only useful descendant is the vol-scaled variant above.

    SOURCE:SSRN 5367656 ↗CREDIBILITY 3/3

  • Overnight ETF Drift (Buy MOC / Sell MOO)

    patternREJECTED since 2026-04-22

    Buy SPY/QQQ at close, sell at next open. Captures the documented overnight return premium.

    OOS SHARPE
    7.75 pre-cost / ~0.0 post realistic spreads + slippage
    MAX DD
    n/a once costs included
    CAPACITY
    dead at retail size
    BROKER
    any

    REASONINGFamous backtest seduction: huge Sharpe pre-cost, zero post-cost. AlphaArchitect explicitly demonstrates trading costs eat the entire premium. Permanent reminder that any strategy whose Sharpe collapses past a 1bp cost model is a fictional edge.

    SOURCE:AlphaArchitect ↗CREDIBILITY 3/3

  • 0DTE SPX Iron Condor

    vol-premiumREJECTED since 2026-04-22

    Daily short iron condors on SPX expiring same day. Harvest variance risk premium.

    OOS SHARPE
    0.8–1.4 if tail-disciplined per published practitioners; left-skew distribution
    MAX DD
    severe in tail events (theoretically −800% on a single 1987-style gap)
    CAPACITY
    large but volatile
    BROKER
    IBKR (options)

    REASONINGHigh Sharpe in benign regimes, catastrophic loss in tail events. One 1987/2020-style gap day = 2–3 months of profit erased. Only acceptable with separate tail-budget capital — not as a primary live strategy.

    SOURCE:Sandvand 16-month live trade journal (cited in r/algotrading research)CREDIBILITY 2/3

Research Method

Every strategy here was discovered through a published source — r/algotrading community references, academic papers (NAAIM, SSRN), or independent quant blogs (AlphaArchitect, Quantitativo, AllocateSmartly, PriceActionLab, ReSolve). When reddit was inaccessible, we relied on the third-party publications that the community cites; we did not invent numbers. Every Sharpe figure links back to its primary source. A monitoring entry is a candidate; promotion to LIVE requires our own walk-forward backtest with a published methodology.

Why MONITORING and not "deploy now"

Several MONITORING entries report higher Sharpe than the current LIVE strategy. They are not auto-promoted because (a) the published Sharpe is from a third party with proprietary parameter choices we have not yet replicated, (b) some require infrastructure we don't have (short selling, options, futures), or (c) the drawdown profile is incompatible with the "disciplined volatility, public stream" constraint. The same discipline that publishes our −1.6% trade losses publishes our refusal to chase a 1.15 Sharpe we can't verify.

See the changelog for promotions and demotions over time.