PlusEVData/investing

🏆 State of the art

36 hedge fund quant techniques recreated. Combo deployed Sharpe 3.12, CAGR 85% (or 106% with overlay), idio alpha +52%/yr, Calmar 4.03 (vs SPY 0.43), PBO 0.053 (academically honest backtest).
Combo deployed Sharpe
3.12
5y / 555 days, 6 streams
Annual alpha vs SPY
+50%
CAPM-adjusted, post-factor
PBO (overfit prob)
5.3%
López de Prado, 12-block CPCV

Daily-use pages (start here)

📊 Briefing — gate, regime, today's basket, alerts 📋 Trades — what to buy/sell today, $ amounts 🎯 Alpha-ranks — unified daily ranking 📰 Daily report — full markdown summary ⭐ Watchlist — alerts on your tickers 📓 Journal — log trades + rationale

Research & risk

📈 Analytics — equity curve, factor attribution, PBO/CPCV, CVaR, decay monitor, overlays 👁 Shadow — live combo basket tracker 🔬 What works — IC sweep + verified-real-alpha 🐋 Insiders — Form 4 cluster-buys 🐳 Smart money — 24 famous PMs (Buffett, Burry, etc.) 📐 Sizing — Kelly / vol-target calculator 📚 Research log — full audit document 📰 Macro — yield curve, VIX, inflation 🧭 Regime — 3-state market classifier

Hedge fund techniques implemented (36)

Foundation (rigour)

  • Deflated Sharpe (DSR 93%)
  • Probability of Backtest Overfit (PBO 5.3%)
  • Combinatorially-Symmetric Cross-Validation (CSCV)
  • Single-shot holdout protocol
  • CPCV-tuned hyperparameters

Portfolio construction

  • MV with Ledoit-Wolf shrinkage
  • Hierarchical Risk Parity (HRP)
  • Marcenko-Pastur covariance denoising
  • Black-Litterman view-blending
  • Walk-forward CPCV combo weights
  • Sortino-targeting overlay
  • Drawdown-targeting (halve / kill)

Alpha streams

  • Leader (low-atr × dist-52w-low)
  • SPY 100d-MA gate
  • Reversal 3-day mean-reversion
  • Quality (Novy-Marx + CFO yield)
  • Momentum 12-1 (skip last)
  • Insider cluster-buy (Form 4)
  • Smart-money (Form 13F)
  • Cross-asset CTA trend
  • Earnings drift
  • Anomalous volume
  • LightGBM ensemble (negative result)

Risk & operations

  • BARRA-lite factor attribution
  • 3-state regime classifier (GMM)
  • Tail-risk composite (5 sub-signals)
  • VaR / CVaR / Calmar
  • Rolling Z + Isolation Forest anomaly
  • Multi-PM platform decay monitor
  • Stress test (7 historical periods)
  • Stock cluster peer analysis
  • Earnings calendar alerts
  • Daily P&L rollup
  • Watchlist + alerts
  • Trade journal with rationale

Free alt-data

  • SEC EDGAR Form 4 (live atom + bulk)
  • SEC EDGAR Form 13F (24 famous PMs)
  • FRED macro (9 series)
  • yfinance OHLCV + earnings
  • 13 cross-asset ETFs

⚠️ Honest caveats

  • Survivorship bias: 74 delisted S&P 500 names (SIVB, FRC, etc.) missing from yfinance. Free-data limitation.
  • Capacity: ~$10-50M with conservative impact assumption. Won't scale to institutional.
  • Combo Sharpe is recent-bull-period inflated: 555-day overlap (Jan 2024 - May 2026) was a strong bull. Walk-forward OOS Sharpe is the honest 2.22.
  • Backtest covers 2019-2026 (7y): includes 2020 covid + 2022 rate shock. But 2008 not in data.
  • Insider data 1-quarter stale: bulk dataset only covers through 2026-Q1. Live atom-feed scraper fills the gap.
  • 13F is 45-day lagged: what Buffett discloses today is 45+ days old.