# Quant Master Strategy Document - v2.0 (Final Exam Ready)

**Date Compiled:** March 29, 2026
**Status:** Pre-Exam Finalized Ruleset
**Foundation:** Extracted from Batch 1 & 2 (RSI2 Mean Reversion, AmiBroker, Alera Automation) + "The Board" Multi-Timeframe Synthesis

## Core Philosophy
- **Asset Agnostic:** We trade the numbers, not the asset.
- **Slow and Methodical:** High-probability, low-frequency setups. No emotional override.
- **Top-Down Context Cascade:** Never trade against the Monthly and Weekly bias on lower timeframes unless capturing a localized mean-reversion extreme.

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## 1. Multi-Timeframe Architecture & Edges

### A. HOURLY (H1) - Micro-Swing & Intraday Execution
- **The Setup:** Extreme Mean-Reversion. Long when RSI(2) < 5 AND price is > 200 SMA on the 1H. (Short is inverse).
- **Microstructure:** Driven by London/NY open liquidity pools and VWAP standard deviation bands (±2σ).
- **Execution:** Wait for a 5-min candle to close confirming reversal. Stop Loss at 1.0–1.5x H1 ATR.
- **Holding Period:** 2–8 hours. If the trade hasn't moved meaningfully within 4 hours, it is structurally dead. Exit at market.
- **Strict Rule:** Zero trading within 15 minutes of major economic releases (FOMC, CPI, NFP). 

### B. DAILY (D1) - Short Swing Momentum
- **The Setup:** Cross-Sectional Momentum & Relative Volume (RVOL). Rank assets by 12-month return and go long the top performers when daily RVOL > 2.0 on breakouts.
- **Microstructure:** Daily gaps, Options Gamma Exposure (GEX) pinning, and Dark Pool block prints at key S/R zones.
- **Execution:** Stop Loss at 1.5–2.5x D1 ATR. 
- **Holding Period:** 3–10 days. 
- **Strict Rule (The Earnings Blackout):** No new entries within 3 days of scheduled earnings. Existing positions are cut by 50% at the 3-day mark. **Time Stop:** If the trade isn't at breakeven or better within 5 days, exit.

### C. WEEKLY (W1) - Intermediate Trend Following
- **The Setup:** 12-Week Momentum. Go long when the weekly close is > 12-week SMA.
- **Microstructure:** This is the primary operating level of institutional CTA funds. Driven by Monthly OPEX cycles and macro seasonality.
- **Execution (Scale-In):** W1 positions use a 3-tranche scale-in: 50% on initial signal, 30% on the first pullback, 20% added only when the position is +1 ATR in profit. Stop Loss at 2.0–3.0x W1 ATR.
- **Holding Period:** 3–12 weeks. 

### D. MONTHLY (MN) - Macro Tactical Asset Allocation
- **The Setup:** 10-Month SMA Crossover (Faber Model). Hold the asset (Equities/Bonds/Commodities) when monthly close > 10-month SMA. Switch to Cash/T-Bills when below.
- **Microstructure:** Exploits the "Payday Anomaly" (mid-month institutional inflows) and turn-of-the-month rebalancing.
- **Execution:** Portfolio-level risk parity. Equal risk contribution across asset classes. 
- **Holding Period:** Months to Years. Rebalancing occurs strictly on the last trading day of the month.

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## 2. Universal Position Sizing & Ironclad Risk Management

- **The 1% Circuit Breaker:** Risk is strictly capped at **0.5% to 1%** of Account Net Liquidation Value (NLV) per trade. Maximum concurrent risk across all open positions is 4%.
- **Normalization:** Position sizing must be mathematically normalized to the specific timeframe's volatility.
  `Shares = (Account × Risk %) / (Entry – Stop Distance)`
- **Asymmetric Exits:** The exit rules must protect capital immediately. A 20% drawdown requires a 25% gain to recover; a 50% drawdown requires a 100% gain. Preservation of capital IS the strategy.
- **Stop Loss Execution:** Stops are placed at structural invalidation points. **Never** widen a stop after entry. Move stop to breakeven once the trade reaches 1R (1x risk) in profit.
- **Hard Daily/Weekly Stops:** 
  - **Daily Loss Limit:** 2% to 3% of account. Hit it → trading is disabled for the day.
  - **Weekly Loss Limit:** 5% to 6% of account. Hit it → size is cut in half for the remainder of the week.

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## 3. Automation & Execution (AmiBroker / Alera)

- **Metrics Tracking:** All trades must strictly measure **MAE** (Maximum Adverse Excursion) and **MFE** (Maximum Favorable Excursion) to continually grade entry/exit efficiency.
- **Execution Workflow:** Signals generated in AmiBroker will be passed to the Alera Automation layer for broker execution without human intervention.
- **Technology Stack:**
  - **Target Broker:** Interactive Brokers (IBKR).
  - **Execution Wrapper:** `ib_insync` (Python). Ensures flawlessly stable, low-latency trade entries and exits.

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## Next Steps: The Final Exam

- The Board must run a backtest simulation of this exact logic against historical data (e.g., SPY, QQQ, or BTC). 
- If the risk-adjusted return (Sharpe/Sortino) meets the "Hawaii Engine" threshold, we proceed to Phase 3 (Exchange API connection).