Asset Selection

Baseline Universe Screen

symbol rows start_date end_date recent_return_63d annualized_volatility avg_dollar_volume_63d selection_score selection_status
XLE 1256 2021-04-26 2026-04-24 0.1554 0.2606 2857863583.7270 0.5965 eligible
QQQ 1256 2021-04-26 2026-04-24 0.0614 0.2240 28998442776.0514 0.2742 eligible
IWM 1256 2021-04-26 2026-04-24 0.0480 0.2256 6503583266.0440 0.2127 eligible
SPY 1256 2021-04-26 2026-04-24 0.0306 0.1713 40954871322.0518 0.1787 eligible
TLT 1256 2021-04-26 2026-04-24 -0.0186 0.1584 2590969369.6263 -0.1172 eligible
GLD 1256 2021-04-26 2026-04-24 -0.0677 0.1784 5274605788.8946 -0.3793 eligible

Planned Universe

The initial research universe is:

  • SPY
  • QQQ
  • IWM
  • XLE
  • GLD
  • TLT

These ETFs are liquid, broad enough to produce different regimes, and realistic to source through Interactive Brokers with shinybroker.

Why Asset Selection Matters

Breakout behavior is not equally strong in every instrument. Some assets trend after volatility expansion, while others mean-revert quickly. This page is intended to show which assets have the most promising historical breakout profile before the final strategy is selected or ranked.

Current Status

The screening table above is the live universe-level breakout screen. The project evaluates the same baseline rules across the ETF universe, then chooses the symbol with the strongest strategy-level risk-adjusted profile. That is why QQQ is the current showcase asset rather than simply the ETF with the highest raw momentum.

The screening exports are saved in:

  • data/asset_screening.csv
  • data/selected_asset.json