System Architecture
How SOVEREIGN Works
Five independent models vote on every trade. Capital only deploys when consensus reaches threshold.
The 5-Model Consensus Engine
Trend Following
Identifies and rides sustained directional moves across daily/H4 timeframes. MACD + ADX confirmation.
Momentum
Ranks relative strength across 24 instruments. Allocates to top-quartile performers.
Mean Reversion
Captures overextended moves returning to fair value. RSI extremes + Bollinger Band squeeze.
Breakout
Detects consolidation compression followed by expansion. Volume-confirmed range breaks.
Stat Arb
Exploits persistent correlations between related pairs. Z-score entry/exit with cointegration filter.
Position Sizing
Kelly Criterion
Position size derived from the Kelly formula using each model historical win rate and average win/loss ratio. Fractional Kelly (50%) applied. Max single-position risk: 2% of equity.
Risk Controls
10% Hard Cap
If drawdown reaches 10%, all positions close and trading halts until the next calendar month. This rule has prevented every catastrophic loss scenario in 4 years of live trading.
Max DD
10%
Max Pos Risk
2%
Instruments
24
Min Consensus
3/5
24 Instruments
Diversification across asset classes reduces correlation risk and smooths the equity curve.