Insider Conviction

Overview

Current Portfolio

3-Way Comparison

Methodology

Portfolio performance

+208.3%

Since Aug 2020 · vs SPY +107.9%

All

Insider Conviction

SPY

3 differentiators from 13F Conviction & Monthly Momentum

Insider Buy Signal

C-suite & director open-market purchases (Form-4, code P). 64.3% win rate when insider active vs 56.6% overall. 13F and Monthly Momentum have zero insider signal.

Volatility Filter

Excludes stocks with annualized monthly vol above threshold. Monthly Momentum picks explosive stocks that also crash hard. This systematically removes fragile positions.

Regime Filter

Full cash when SPY < 200-day MA. Avoided 8 months of bear market (mostly 2022). Max DD drops from 36% → 28.8%. Neither 13F nor Monthly Momentum has this protection.

Key statistics

Walk-forward validation

First half 2020–2023 (includes 2022 bear market), second half 2023–2026. The regime filter successfully avoided the 2022 drawdown in the train period — max DD is identical at 28.8% in both halves.

Insider signal effectiveness

Current holdings

8 positions, equal weight (~12.5% each). Selected from 13F top-50 universe by clean momentum + insider bonus. ★ = insider buying confirmed in past 90 days.

Stock	6M Momentum	Annual Vol	Price

Best performers (avg monthly return)

Ticker	Avg return / month	Appearances

3-way comparison: Insider Conviction vs Monthly Momentum vs 13F

Bold = winner per metric. Insider Conviction wins on Sharpe and Max Drawdown — the two most important risk-adjusted metrics for live trading.

Insider Conviction

Monthly Momentum

SPY

Signal pipeline

Regime Check (monthly)
Before any stock selection: check if SPY is above its 200-day moving average. If below → go 100% cash for the month. This avoids prolonged bear markets (8 months in cash historically, mostly 2022).

13F Universe
Same as trado-13f: top 50 stocks by institutional conviction score from quarterly 13F filings. This ensures all picks have hedge fund backing. Universe updates each quarter with 45-day filing lag.

Volatility Filter
Exclude any universe stock with annualized monthly volatility above the threshold (grid-searched). This removes high-volatility candidates that might have good momentum but are fragile to gaps/crashes.

Clean Momentum Rank
Rank remaining stocks by: 6M price return (skip 1 month) minus 0.5× max-drawdown over the same period. This penalizes "whipsaw momentum" — stocks with big 6M gains but large intra-period crashes. Assign rank score 0–100.

Insider Buy Bonus
Check Form-4 filings for open-market purchases (code 'P', >$10k) in past 90 days. If present: +15 rank points (senior officers = +22 pts). This is additive-only — zero insider activity doesn't penalize.

Pick Top 8 by Composite Score
Select 8 stocks with highest composite = clean momentum rank + insider bonus + small conviction rank bonus. Hold equal weight (~12.5% each) until next monthly rebalance.

Optimized parameters

Why insider signal is a bonus, not a weight

In the S&P 500, ~150-200 companies have insider open-market buys in any given year. In any 90-day window, most stocks in the top-50 13F universe have zero insider activity. Treating insider score as a portfolio weight (40%) would mean most picks get penalized for something they didn't do.

Instead, the insider signal acts as a tiebreaker and rank booster. The result: insider-active stocks have a 64.3% win rate vs 56.6% for the full portfolio. The bonus is real, but it doesn't crowd out the primary momentum signal.