Trading Logic
How Quant Lucid generates signals, when trades are authorized, and how risk controls interact with execution.
Design principles
- No day trading — all signals use end-of-day closes; no intraday or same-session round trips.
- Backtest-aligned execution — no minimum holding period by default; optional
MIN_HOLDING_DAYSapplies to weekly/monthly allocator drift trims only. Pulse, Flip, and daily crypto ignore it. Signal exits and risk halts always bypass min hold. - Trend exits are daily; entries follow schedule— MA below-trend redirects happen every session; full rebalances execute on each portfolio's rebalance day.
- Dual webhook gates — scheduled rebalances plus conditional defensive risk alerts.
- Venue isolation — Coinbase rebalances overnight; Alpaca / E*TRADE only while the US market is open (weekdays 14:45 UTC).
Trend filter (exit logic)
Applies to Growth, Quant Lucid Momentum, Factor, and Alpha portfolios.
| Rule | Detail |
|---|---|
| Filter | 200-day simple moving average per holding |
| Below MA | Weight redirects to SHY (1–3 yr Treasuries) |
| Re-entry | Next weekly Monday rebalance when drift exceeds 5% |
Rebalance schedule
| Setting | Default |
|---|---|
| Schedule | Every Monday (UTC) |
| Drift gate | 5% from target weight |
| Min holding | 0 days default. Optional MIN_HOLDING_DAYS applies to weekly/monthly allocator books only — not Pulse, Flip, or daily crypto. |
Set REBALANCE_SCHEDULE=monthly to use first-Monday-monthly instead.
Webhook dispatch
06:00 UTC compute-scores (Coinbase + demo/paper) Weekdays 14:45 UTC live-equity-rebalance (Alpaca / E*TRADE, market open only)
Defensive triggers include VIX spike (>30), elevated portfolio drawdown, high average risk score, or projected volatility above threshold.
Backtest metrics on portfolio pages
Trend-filter portfolios show MA200-filtered Sharpe, return, and max drawdown — matching live signal behavior rather than static buy-and-hold. Template portfolios (Conservative, Balanced, Dividend) use buy-and-hold at optimized weights.
Research only. Not financial advice. For educational and informational purposes only. Past performance does not indicate future results.