Engine 9 scans global equity markets across four regions — US, Europe, Hong Kong, and Japan — using three distinct strategies that exploit different academic anomalies. From 13,000+ equities, IBKR scanners narrow the universe to 150-250 candidates per region.
The foundation is 12-minus-1 month cross-sectional momentum (Jegadeesh & Titman, 1993) — one of the most robust anomalies in finance. Stocks that performed well over the past 12 months (excluding the most recent month) tend to continue outperforming.
Our implementation uses volatility scaling (Barroso & Santa-Clara, 2015), which divides the momentum signal by recent realized volatility. This nearly doubles the Sharpe ratio from 0.53 to 0.97 and eliminates momentum crashes. Positions are sized inversely to volatility — calmer stocks get larger allocations.
Entry: top 10th percentile by momentum score. Exit: trailing stop at 2x ATR, rank collapse below 30th percentile, or 3-month time limit.
On US equities only, we run Connors RSI(3) — a short-term mean reversion strategy targeting oversold stocks in established uptrends.
Entry requires three conditions: RSI(3) below 15 (deeply oversold), price above the 200-day SMA (confirming long-term uptrend), and price below the lower Bollinger Band (confirming short-term extreme). This filters for temporary dips in strong stocks — not falling knives.
Exits are fast: price crosses above the 5-day SMA (typically 2-3 day hold). This strategy is validated on US equities but fails on non-US markets due to different market microstructure.
Japan is the one major market where momentum doesn’t work (Sharpe ~0.03 per AQR 2011). Instead, we apply a value tilt using fundamental data: P/E ratio, P/B ratio, return on equity, and dividend yield. Stocks scoring well on multiple value metrics are flagged as signals.
This strategy runs as signal only — no execution — because fundamental data validation requires additional verification.
| Region | Session | Strategy | Mode |
|---|---|---|---|
| US | 21:15 UTC | Momentum + MR | Traded |
| Europe | 16:45 UTC | Momentum | Traded |
| Hong Kong | 06:15 UTC | Momentum | Signal Only |
| Japan | 06:15 UTC | Value Tilt | Signal Only |
US and European signals are executed as paper trades. Hong Kong and Japan produce signals for subscribers but are not traded — expanding signal coverage across time zones.
With 13,000+ equities globally, direct scanning is impractical. Engine 9 uses IBKR’s reqScannerData API with 8 scan codes per region (most active, top gainers/losers, 52-week extremes, unusual volume, implied volatility). Each scan returns up to 50 contracts, yielding 150-250 unique candidates per region after deduplication by conId.
Candidates then pass through our gate system: liquidity filters (ADV, market cap), momentum ranking, and entry criteria checks via IBKR historical data. The result is a focused watchlist of 15-30 actionable signals per session.
All strategies active: momentum entries, MR longs, and value signals all fire normally.
Momentum paused (no new long entries). MR longs still active — oversold bounces remain profitable even in downtrends.
All entries paused. Existing positions maintain stops. Signals still generated for subscriber awareness.
GateSig is an information-only service. Engine 9 trades on a paper account and generates signals. No investment advice is provided. Subscribers receive signals; they decide what to do with them.