Portfolio optimization results from this weeks supernova results - follow up to prior post
🚀 Supernova Hunter: V33.4 Quantitative Report
Alpha vs QQQ (90d): +80.99%
📊 Optimized Holdings
SANM (19.5%) | AU (20.1%) | UAMY (20.1%) | MU (20.1%) | TX (20.1%)
🛡️ Risk & Stability (Defense-First Logic)
- Sharpe Ratio: 4.09 (Efficiency)
- Max Drawdown: -13.42% (Pain Tolerance)
- Diversification Ratio: 1.59 (Shield Proof)
- 95% VaR: -4.02% (Worst-Case Expectation)
🧠 Methodology Synopsis
- Kinematic Physics Engine: Candidates are scored using derivatives of momentum, specifically Acceleration and Jerk (the rate of change of acceleration). This targets structural trend shifts rather than temporary volume spikes.
- Monte Carlo Stress Testing: The engine executes 100 simultaneous simulations with 15% Gaussian noise injection to test the survivability of the momentum profile.
- The Covariance Shield: Using Quadratic Programming, the optimizer rejects assets that move in lockstep. Even the highest-scoring stock is discarded if it adds redundant risk to the portfolio.
- Institutional Stability Focus: The system optimizes for the Diversification Ratio (DR). A DR of 1.59 confirms that the portfolio's total volatility is significantly lower than the average of its individual components.
Disclaimer: Algorithmic backtest for educational research. This is not financial advice. This is for education and research only.
Posted Jan 25, 2026, 4:23 AM UTC
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