Meta#43tier 1live in production
meta regime router
cadence: Dailydata: lowlong onlyshort onlylong short
JFE
2016
J. of Financial Economics
Daniel-Moskowitz (2016, JFE) "Momentum Crashes" + Asness-Frazzini-
Citation only — paper link pending.
Mechanism
Daniel-Moskowitz (2016, JFE) "Momentum Crashes" + Asness-Frazzini- Israel-Moskowitz "Factor Timing" research: different alpha sleeves work in different
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
Expected edge
See referenced paper for original effect size; modern out-of-sample replication may be weaker.
Illustrative pattern only
NOT a backtestIllustrative pattern only — see /app for live backtests and the actual current equity curve.
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