Strategy catalogue
Live orders Paper onlyVirtual capital EUR 100,000Pricing IBKR delayed

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Execution modes matter

IBKR PAPER can submit orders to the Interactive Brokers paper account. FORWARD SIMULATION records simulated fills and marks a virtual portfolio without transmitting orders. BACKTEST is historical research only.

01

Probabilistic Pair

IBKR PAPER

Market-neutral mean reversion across historically related stock pairs.

Universee
V, MA, JPM, BAC, XOM, CVX, NVDA, KO and PEP
Entry
Correlation ≥ 0.75, absolute z-score ≥ 2.0 and estimated reversion probability ≥ 0.58.
Position
Long the relatively weak leg and short the relatively strong leg with balanced gross exposure.
Exit
Spread convergence to |z| ≤ 0.5, or risk stop when the spread reaches the configured extreme.
Cadence
Entry and open-position checks every 15 minutes; at most one new entry per UTC day.
Risk
Paper-account enforcement, pair and total notional caps, duplicate-order protection and persisted intent before submission.
02

Equal-weight Tech

IBKR PAPER MASTER

A simple diversified reference portfolio across six US technology leaders.

Universee
AAPL, MSFT, NVDA, GOOGL, AMZN and META
Allocation
Equal target weight for each stock, with a small cash reserve for simulated costs.
Rebalance
Monthly target review; no discretionary trading signal.
Valuation
Marked every 15 minutes using IBKR delayed quotes.
Purpose
Transparent benchmark for judging whether more complex ranking models add value.
Execution
USD positions submitted to the allowlisted IBKR Paper account, with a dedicated EUR 100,000 strategy ledger.
03

Monthly ML Ranking

IBKR PAPER MASTER

Cross-sectional stock selection using an expanding-window machine-learning ranking.

Universee
Common US equity universe with survivorship limitations documented in the research report.
Features
1/3/6/12-month returns, 12-to-1 momentum, volatility, drawdown, volume and dollar volume.
Selection
Top 15 XGBoost-ranked stocks, equally weighted after each completed month.
Validation
Expanding training window; hyperparameters use only historical months whose targets were already observable.
Valuation
Marked every 15 minutes using IBKR delayed quotes; targets change only after month-end.
Execution
Monthly targets execute in the IBKR Paper master account and retain strategy-level ownership in the internal ledger.
04

Minimum Variance

IBKR PAPER MASTER

Long-only portfolio designed to reduce total covariance risk rather than maximize expected return.

Universee
24 common US stocks with complete price coverage.
Model
252-session lookback and Ledoit–Wolf covariance shrinkage, requiring at least 126 observations.
Constraints
Fully invested long-only allocation, zero minimum weight and 10% maximum weight per stock.
Rebalance
Monthly, using information known at month-end and the next available session for simulated execution.
Valuation
Marked every 15 minutes from IBKR delayed quotes; allocation is not recalculated intraday.
Execution
Monthly targets execute in the IBKR Paper master account with an independent EUR 100,000 strategy ledger.
05

PCA Residual Statistical Arbitrage

FORWARD SIMULATION

Fully systematic market-neutral trading of mean-reverting idiosyncratic residuals.

Universee
63 liquid US equities selected mechanically from the existing historical database.
Factor model
Rolling 252-session PCA retaining 3–15 components and approximately 55% of common variance.
Signal
Ornstein–Uhlenbeck fit to 60-session cumulative residuals; entry at |z| ≥ 2 with a 2–20 session half-life.
Portfolio
Inverse residual-risk weights, 50% long and 50% short, approximately dollar-neutral.
Rebalance
Monthly with next-session execution, explicit costs and annual short-borrow assumption.
Execution
EUR 100,000 independent forward simulation. No IBKR orders until prospective validation succeeds.

Research-only models

Historical backtests — no forward orders
ModelMethodFrequencyRoleExecution
12-to-1 MomentumRanks trailing 12-month return while excluding the latest month.MonthlyInterpretable momentum baselineBacktest only
Ridge RankingRegularized linear cross-sectional return forecast with past-only preprocessing.MonthlyLinear ML benchmarkBacktest only
XGBoost RankingNon-linear tree ensemble using the same observable feature set.MonthlyModel behind the forward Monthly ML portfolioBacktest + virtual
Equal WeightAllocates equally across the eligible common universe.MonthlyDiversified baselineBacktest only
SPY BenchmarkPassive exposure to the S&P 500 ETF.Buy and holdMarket benchmarkBacktest only

Shared controls

Professional safeguards
Account isolationOnly the configured IBKR paper account is accepted.
Data provenanceQuotes and historical bars identify their IBKR source and freshness.
Cost treatmentVirtual portfolios include explicit slippage and commission assumptions.
AuditabilityDecisions, simulated fills and paper executions remain separately identifiable.