combo liquidity x meta hrp
What it checks
Mean-reversion plus regime consensus from a multi-signal composite - fires hardest in high-VIX environments where the edge is structurally compensated.
Mechanism
VIX-conditional short-term reversal (Nagel 2012) only fires hard when VIX is above its median. Meta-HRP (the K=5 canonical sub-signal composite) gives a multi-horizon view of where the stock sits in its own regime. When BOTH agree that the stock is mean-revertable AND in a vol regime where market-makers want compensation, the trade has structural support.
Signal rule
position = clip(1.5 * (z(vix_scaled_reversal_score) + z(k5_composite_score)), -1, +1)
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
vix_pricesWorker data table — see services/worker schema.
Expected edge
- Paper alpha
- lift=1.202x over either signal alone
- Paper window
- 10-day forward
Combined IC=0.222 vs 0.18/0.19 for either alone - lift 1.20x.
Related families
liquidity provision premiumMicrostructure5d reversal compensates liquidity providers; scales with VIX.
meta hrpMetaLopez de Prado 2016 introduces HRP as a quasi-optimal allocator that avoids the unstable matrix-inversion at the core of mean-variance. HRP delivers higher Sharpe out-of-sample than 1/N (DeMiguel-Garlappi-Uppal 2009) and minimum-variance, especially when asset count grows. Recipe: correlation matrix → distance matrix → single-linkage hierarchical clustering → quasi-diagonalization → recursive bisection inverse-variance allocation. Applied here over the K=5 canonical sub-signals (same set as meta_equal_weight) for head-to-head HRP-vs-1/N comparison on every ticker.
Explore combo liquidity x meta hrp on alphactor.ai
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