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 2021-05-03 2026-05-01 0.1758 0.2599 2814457689.3773 0.6765 eligible
QQQ 1256 2021-05-03 2026-05-01 0.0767 0.2241 28246499190.9786 0.3421 eligible
IWM 1256 2021-05-03 2026-05-01 0.0652 0.2258 6342934214.7254 0.2889 eligible
SPY 1256 2021-05-03 2026-05-01 0.0363 0.1713 39569174366.4936 0.2118 eligible
GLD 1256 2021-05-03 2026-05-01 -0.0092 0.1787 3976240440.2829 -0.0517 eligible
TLT 1256 2021-05-03 2026-05-01 -0.0109 0.1584 2483315703.2349 -0.0686 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