Taming the Black Swan: A Momentum-Gated Hierarchical Optimisation Framework for Asymmetric Alpha Generation
“Empirical validation via a comprehensive 20-year walk-forward backtest (2006-2025), which covers significant stress events like the 2008 Global Financial Crisis, confirms that the framework produces substantial excess alpha relative to the standard S&P 500 benchmark.”
AssetEquitiesindices
StrategyMomentum
GeographyGlobalUS
Sample window2006–2025
Also stated: Information ratio, Alpha, Drawdown, benchmark, out-of-sample test
Missing from abstract: costs, multiple testing, universe
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