Core Alpha Research · Nº 004 · Studies HYPOTHETICAL
Why the strategy behaves the way it does.
Core Alpha Research. These are educational studies of why the Core Alpha (momentum) strategy
behaves as it does — not the deployed, tax-managed Structural Alpha book. Hypothetical
backtests, not a client account. See the current book →
Signal system — research only, not investment advice.
Backtests are walk-forward and net of modeled transaction cost. The
continuation coefficient is an unvalidated default; momentum is a
public, partly-arbitraged anomaly. Treat in-sample figures as engineering
validation, not expected returns.