5. Parameter Tier Strategy Sweeps
Evaluating five distinct lookback horizon tiers across every strategy family to ensure parameter stability and eliminate curve-fitting.
Key Takeaways for Investors & Traders
Rejects candidates that trigger in only one hyperparameter setting but disappear in neighboring tiers.
Spans Tier 1 (12M secular trend) down to Tier 5 (tactical short-term momentum).
Candidates with high trigger counts across multiple tiers demonstrate robust structural alpha.
Combines 7 liquidity tranches with 5 parameter tiers to produce a complete 35-scenario grid.
Executive Summary
The Selected Stocks engine evaluates five discrete parameter tiers for each strategy on every run. By sweeping across short-term, intermediate, and secular lookback horizons, the platform identifies trade candidates whose quantitative edge is robust across parameter variations rather than an artifact of single-parameter curve fitting.
Multi-Horizon Strategy Sweeps: Short-Term, Intermediate, and Secular Trends
To ensure that generated trade ideas are not overfitted to arbitrary lookback numbers, the pipeline sweeps five standardized parameter tiers:
- Tier 1 (12-Month Secular Horizon): Captures major macro trends and fundamental business cycle shifts ($N \approx 252$ trading days).
- Tier 2 (9-Month Intermediate Horizon): Tracks multi-quarter earnings drift and institutional rotation ($N \approx 189$ trading days).
- Tier 3 (6-Month Medium Horizon): Focuses on semi-annual momentum and intermediate trend continuation ($N \approx 126$ trading days).
- Tier 4 (3-Month Short-Intermediate Horizon): Evaluates quarterly earnings response and post-announcement drift ($N \approx 63$ trading days).
- Tier 5 (Tactical Horizon): Focuses on short-term mean reversion, volatility bursts, and swing momentum ($N \approx 20\text{--}21$ trading days).
Cross-Strategy Parameter Grid Matrix
| Parameter Tier | Mean Reversion ($N, Z_{\text{entry}}$) | Momentum ($N$) | Momentum Omega ($N_L, N_S, W_{\text{vol}}$) | Trend Following ($N_{\text{fast}}, N_{\text{slow}}$) | Volatility Breakout ($N, k$) |
|---|---|---|---|---|---|
| Tier 1 (12M Secular) | $N=40, Z=2.2$ | $N=252$ (12M) | $N_L=252, N_S=21, W=126$ | $50\text{d} / 200\text{d}$ SMA | $N=40, k=2.5$ |
| Tier 2 (9M Intermediate) | $N=30, Z=2.0$ | $N=189$ (9M) | $N_L=189, N_S=21, W=94$ | $40\text{d} / 160\text{d}$ SMA | $N=30, k=2.2$ |
| Tier 3 (6M Medium) | $N=20, Z=2.0$ | $N=126$ (6M) | $N_L=126, N_S=15, W=63$ | $30\text{d} / 120\text{d}$ SMA | $N=20, k=2.0$ |
| Tier 4 (3M Short-Int.) | $N=15, Z=1.8$ | $N=63$ (3M) | $N_L=63, N_S=10, W=42$ | $20\text{d} / 80\text{d}$ SMA | $N=15, k=1.8$ |
| Tier 5 (Tactical) | $N=10, Z=1.5$ | $N=21$ (1M) | $N_L=21, N_S=5, W=21$ | $10\text{d} / 40\text{d}$ SMA | $N=10, k=1.5$ |