A production-grade autonomous algorithmic trading system built on the Alpaca API. Designed for consistent returns over big wins, targeting 0.3-0.8% per trade with a 65-75% win rate across 6 diversified strategies.
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Ornstein-Uhlenbeck process z-scores on 2-minute bars for statistical mean reversion trades.
Kalman filter on cointegrated pairs for spread trading with dynamic hedge ratios.
Post-earnings announcement drift with FinBERT sentiment scoring for directional trades.
VWAP combined with OU dual confirmation for high-probability entries on liquid names.
Opening range breakout with quality filters for capturing early momentum moves.
SPY volume spike detection for short-term momentum scalps on high activity.
Risk Management
ML confidence gating with sector enforcement capped at 30% maximum allocation per sector.
Unified exit system with a 10-priority cascade handling stops, targets, and time-based exits.
4-tier system activating from -1% to -4% drawdown to protect capital during adverse conditions.
Parametric, historical, and Monte Carlo Value-at-Risk calculations for continuous risk assessment.
Automatically hedges portfolio exposure with SPY when absolute beta exceeds 0.3 threshold.
Eigenvalue-based effective bet calculation prevents over-concentration in correlated positions.
Intelligence
4-model averaging system achieving 0.947 AUC with 50 core features for high-confidence trade signals.
Local NLP model scoring earnings sentiment without paid API dependencies for the PEAD strategy.
Dynamic scan intervals that adjust frequency based on real-time market activity levels.
Infrastructure
Explore
Velox is open-source and available on GitHub.