TieBreaker is a market neutral long/short strategy which employs Machine Learning algorithms to identify long positions and hedge them with anti-correlated long and/or short positions.
TieBreaker model has been running since April 28, 2014. However, the allocation methods have been substantially updated on September 1, 2014 and again on 10/1/2016.
TieBreaker has demonstrated low volatility and strong resilience against unexpected market moves. A market neutral strategy (Long/Short) lags the major indexes in a strong bull market but provide great protection and added Alpha when the market is flat or when it turns more volatile. Tiebreaker utilizes a multi-layered approach to scan for momentum stocks and then it applies Lucena's machine learning forecaster to further hone in on the most probable long positions. Hence, the positions with the highest projected market-relative returns coupled with the highest confidence scores.
An equal number of long and/or short positions are then selected as hedge using Lucena’s proprietary Hedge-Finder technology. The combined core and hedge portfolio is configured to achieve maximum Sharpe ratio.