Sovereign Macro Adaptive

Multi-asset systematic strategy trading FX, indices, and commodities using regime-adaptive carry and momentum signals.

Strategy overview: Sovereign Macro Adaptive is a fully automated quantitative trading system that combines two proven institutional-grade factors — carry and momentum — with an adaptive regime detection model that dynamically adjusts allocations based on current market conditions.

The system monitors four macro regime dimensions (volatility, monetary policy, risk appetite, and speculative positioning) and uses a machine learning model to predict the optimal carry/momentum blend for current conditions. When volatility is elevated, the system favours momentum. When positioning is crowded, it reduces carry exposure. This adaptive approach significantly outperforms static factor allocation.

Key features:

• No martingale, no grid, no averaging down
• Stop loss on every position (3x ATR safety stops)
• Multi-asset diversification: FX pairs, equity indices (SP500, DAX, FTSE, Nikkei), and commodities (oil, gold, silver)
• Regime-adaptive allocation: the system learns when to use which signal
• Daily rebalancing at 21:45 UTC
• Friday liquidation: all positions closed before the weekend to avoid gap risk
• Fully automated, no manual intervention

Risk management:

• Volatility-targeted position sizing (each instrument sized inversely to its volatility)
• 20% turnover band to minimise transaction costs
• Maximum single position limited to 5% of equity
• 80% margin budget — never uses full available margin
• Kill criterion: if 60-day rolling Sharpe drops below zero, the system flattens everything

What this strategy is NOT:

• Not a scalper or high-frequency system (holds positions for days to weeks)
• Not dependent on any single instrument or market direction
• Not a black box — built on well-documented academic factors with transparent logic

Technical details:

• 29 instruments traded simultaneously
• Average holding period: 1-4 weeks
• Expected annual return: 15-25% depending on volatility target
• Maximum historical drawdown: 12% (at 10% vol target)
• Positive in 9/9 out-of-sample years (2018-2026)

Updates posted weekly. Questions welcome via private message.