Sunstone
Persistent momentum with liquidity and consistency screensSunstone favors liquid stocks whose advances have been steady and persistent. It gives more weight to the path of a move than to one isolated jump.
Signal from the 2026-08-21 close, filled at the next session’s open.
Core idea
Two stocks can reach the same return by very different paths. Sunstone prefers liquid stocks that climbed steadily across many sessions and maintained consistent participation, rather than names lifted by one isolated jump.
What the model evaluates
The model combines several related observations rather than relying on a single price move. The exact weights and measurement windows remain private.
- Persistence of gains across many trading sessions
- Repeated participation in the prevailing trend
- Consistency of day-to-day liquidity
- Price behavior suitable for systematic position sizing
Portfolio process
Selection is systematic. The same process is applied to the eligible universe each day, with no manual override of individual stocks.
- Eligible stocks are ranked against one another after each close.
- Candidates must satisfy both momentum and liquidity-consistency screens.
- Position sizes account for differences in how stocks move.
- Exposure can fall when the market environment turns less favorable.
Research process
Historical simulations apply the same systematic approach across different market environments. Signals use only information available by each close, and any resulting trade is priced at the following open.
The public Performance page shows the complete historical record and its main risk statistics. These simulations remain estimates, and future market conditions can produce a different outcome.
Execution
The model reviews the market after each close, ranks eligible stocks, and sets the next target portfolio. Orders are assumed to fill at the next market open. Real fills can differ as trading conditions change and order size varies.
Risks and limits
- A smooth trend can still end in an overnight gap that historical consistency did not anticipate.
- Momentum portfolios can overlap more than their individual stock lists suggest.
- Past liquidity does not guarantee that a position will remain easy to trade during stress.
- Historical membership and delisting coverage are incomplete, so the simulated universe cannot perfectly reconstruct every past opportunity.
- Backtests describe one historical path. Changes in market structure or crowding can produce materially different results.