SystemTrader

Updates

Changes to strategies, signals, and the platform.

New Strategy: Jupiter

Jupiter — Bullish Momentum

  • •Launched Jupiter, a long-only stock strategy that identifies stocks exhibiting bullish momentum characteristics: strong price bars, new high patterns, and low volatility.
  • •Each qualifying stock receives a composite score combining bar pattern analysis, new high detection, and volatility assessment to find stocks with the strongest upward momentum.
  • •Unlike sector rotation strategies, Jupiter evaluates each stock individually — every qualifying stock competes directly on its composite score with no sector grouping.
  • •Full methodology, portfolio, performance, trades, and stock universe pages are now live under the Jupiter section.

New Strategy: Vega

Vega — No-Rebalance Momentum

  • •Launched Vega, a new long-only momentum strategy that shares Gemini's stock universe and 7-factor scoring but never rebalances open positions.
  • •Positions enter at equal weight and are held at whatever size until they fall out of the top ranks. Winners are allowed to run freely, letting position drift work in your favor.
  • •Many subscribers requested a version of Gemini without daily rebalancing, as manually resizing positions each day can be impractical. Vega addresses that directly.
  • •Full methodology, portfolio, performance, trades, and stock universe pages are now live under the Vega section.

Mars & Gemini Strategy Updates

Mars — Universe & Parameter Refinements

  • •Removed GOOGL from the stock universe — GOOG (Class C) is already in the universe, so holding both share classes was redundant.
  • •Implemented a trade reduction optimization in the rebalancing engine. Positions within a tolerance band of their target weight are no longer trimmed and re-bought, significantly cutting unnecessary turnover.
  • •Adjusted strategy parameters (Skip 5→8, MinPrice $55→$60, MaxPrice $400→$380) following a full parameter sweep. The updated backtest shows a Calmar ratio of 4.62 with +1,104% total return and 26.2% max drawdown.
  • •Current portfolio positions have shifted slightly as a result of these changes.

Gemini — Weekend Data Bug Fix

  • •Fixed a bug where weekend momentum data files were being processed as trading days. 216 phantom Saturday/Sunday snapshots were included in the backtest, causing incorrect overnight change calculations.
  • •The symptom: on certain Mondays, the "Overnight" change would show the exact negative of the "Intraday" change, with "Daily Change" at $0 — a mathematical impossibility under normal conditions.
  • •Root cause: a Sunday momentum file created a snapshot with stale Friday prices, then Monday's overnight was calculated against that phantom Sunday entry instead of Friday's actual close.
  • •The fix filters weekend dates when loading momentum files. No portfolio changes — this was a display/calculation bug only.