Enhanced Momentum
momentum_enhancedCaptures short-term momentum effects, measured by a wide range of proprietary methods.
How the factor is constructed
Enhanced Momentum exploits cross-sectional price inefficiencies, measured by a collection of proprietary methods capturing short-term momentum-related effects. It blends Instantaneous Momentum, Polaris and Momentum.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Enhanced Momentum
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +0.48% | +24.10% | — | — | -2.4% |
| 3 months | +0.48% | +17.86% | — | — | -3.7% |
| Year to date | +8.13% | -11.92% | — | — | -6.6% |
| 1 year | +12.97% | -32.28% | 13% | 1.02 | -6.9% |
| Since inception (CAGR) | +25.92% | +42.73% | 15.2% | 1.59 | -15.2% |
Putting Enhanced Momentum to work
There are two ways to take Enhanced Momentum from factsheet to live book: overlay it as a sleeve on the portfolio you already run, or use it as a building block in a standalone multi-factor portfolio. Both paths are documented in short, runnable notebooks that work out of the box against the public demo key — no signup required.
Add Enhanced Momentum to an existing portfolio
Size a Enhanced Momentum sleeve alongside your current book and quantify what it changes: correlation to your existing returns, then CAGR, volatility, Sharpe and maximum drawdown before and after the blend. One parameterized notebook runs for any factor — swap in Enhanced Momentum, then bring your own daily returns as a CSV or start from the built-in demo book.
Build a portfolio from scratch
Construct a market-neutral multi-factor portfolio from the ground up: ensemble the raw signals, apply inverse-volatility weights with a per-asset cap, and backtest net of transaction costs. The default factor list reconstructs the 7 Factor Composite — Enhanced Momentum is one of its seven constituents, so its contribution is in the blend from the first run.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.