Documentation
v1.0
Documentation
v1.0
ARANEA Whitepaper
ARANEA's whitepaper presents a tactical long-short equity strategy, combining systematic signals and risk discipline.
ARANEA Whitepaper
ARANEA's whitepaper presents a tactical long-short equity strategy, combining systematic signals and risk discipline.
Introduction
This whitepaper presents ARANEA, a proprietary tactical trading strategy that applies an active long-short investment approach to liquid US large-cap equities. ARANEA is designed as a disciplined, research-driven equity strategy with a strong rule-based foundation, complemented by a discretionary sentiment component to enhance decision quality and market phase identification.
Introduction
This whitepaper presents ARANEA, a proprietary tactical trading strategy that applies an active long-short investment approach to liquid US large-cap equities. ARANEA is designed as a disciplined, research-driven equity strategy with a strong rule-based foundation, complemented by a discretionary sentiment component to enhance decision quality and market phase identification.
Introduction
This whitepaper presents ARANEA, a proprietary tactical trading strategy that applies an active long-short investment approach to liquid US large-cap equities. ARANEA is designed as a disciplined, research-driven equity strategy with a strong rule-based foundation, complemented by a discretionary sentiment component to enhance decision quality and market phase identification.
Investment Objective and Strategy Overview
ARANEA is designed to exploit tactical opportunities in highly liquid equity markets by combining long and short exposures across individual securities. The strategy seeks to benefit from both relative value and directional price movements, with a focus on capturing volatility-driven inefficiencies and recurring behavioral patterns in large-cap equities. Its active long-short structure aims to support a more resilient return profile by reducing reliance on broad market direction and by allowing the portfolio to adapt to changing market regimes. The strategy’s investment universe is deliberately centered on large, highly traded equities to support efficient execution and robust risk management. The primary focus remains US large caps due to liquidity, transparency, and capacity, while the selective inclusion of other developed markets broadens the opportunity set without diluting the strategy’s implementation discipline. ARANEA remains strictly equity-based, does not utilize derivative instruments, and does not pursue active currency hedging as part of its investment process.
Investment Objective and Strategy Overview
ARANEA is designed to exploit tactical opportunities in highly liquid equity markets by combining long and short exposures across individual securities. The strategy seeks to benefit from both relative value and directional price movements, with a focus on capturing volatility-driven inefficiencies and recurring behavioral patterns in large-cap equities. Its active long-short structure aims to support a more resilient return profile by reducing reliance on broad market direction and by allowing the portfolio to adapt to changing market regimes. The strategy’s investment universe is deliberately centered on large, highly traded equities to support efficient execution and robust risk management. The primary focus remains US large caps due to liquidity, transparency, and capacity, while the selective inclusion of other developed markets broadens the opportunity set without diluting the strategy’s implementation discipline. ARANEA remains strictly equity-based, does not utilize derivative instruments, and does not pursue active currency hedging as part of its investment process.
Investment Objective and Strategy Overview
ARANEA is designed to exploit tactical opportunities in highly liquid equity markets by combining long and short exposures across individual securities. The strategy seeks to benefit from both relative value and directional price movements, with a focus on capturing volatility-driven inefficiencies and recurring behavioral patterns in large-cap equities. Its active long-short structure aims to support a more resilient return profile by reducing reliance on broad market direction and by allowing the portfolio to adapt to changing market regimes. The strategy’s investment universe is deliberately centered on large, highly traded equities to support efficient execution and robust risk management. The primary focus remains US large caps due to liquidity, transparency, and capacity, while the selective inclusion of other developed markets broadens the opportunity set without diluting the strategy’s implementation discipline. ARANEA remains strictly equity-based, does not utilize derivative instruments, and does not pursue active currency hedging as part of its investment process.
Signal Framework and Implementation Process
The ARANEA process combines systematic signal generation with discretionary validation. Trading candidates are identified through a rule-based model that evaluates recurring price behavior and volatility structures, with elevated standard deviation levels serving as a core indicator for potential tactical opportunity. These quantitative signals are then filtered by sentiment-based assessment, supporting the identification of market phases and enhancing the robustness of trade selection. Once validated, positions are implemented through a semi-automated workflow. The system produces trade proposals and order logic, while final execution remains manual in order to preserve oversight, ensure adherence to internal risk parameters, and incorporate discretionary judgment where appropriate. Tape reading and market microstructure interpretation can additionally be used as supporting tools to refine entry and exit timing, particularly during periods of heightened volatility or dislocated pricing.
Signal Framework and Implementation Process
The ARANEA process combines systematic signal generation with discretionary validation. Trading candidates are identified through a rule-based model that evaluates recurring price behavior and volatility structures, with elevated standard deviation levels serving as a core indicator for potential tactical opportunity. These quantitative signals are then filtered by sentiment-based assessment, supporting the identification of market phases and enhancing the robustness of trade selection. Once validated, positions are implemented through a semi-automated workflow. The system produces trade proposals and order logic, while final execution remains manual in order to preserve oversight, ensure adherence to internal risk parameters, and incorporate discretionary judgment where appropriate. Tape reading and market microstructure interpretation can additionally be used as supporting tools to refine entry and exit timing, particularly during periods of heightened volatility or dislocated pricing.
Signal Framework and Implementation Process
The ARANEA process combines systematic signal generation with discretionary validation. Trading candidates are identified through a rule-based model that evaluates recurring price behavior and volatility structures, with elevated standard deviation levels serving as a core indicator for potential tactical opportunity. These quantitative signals are then filtered by sentiment-based assessment, supporting the identification of market phases and enhancing the robustness of trade selection. Once validated, positions are implemented through a semi-automated workflow. The system produces trade proposals and order logic, while final execution remains manual in order to preserve oversight, ensure adherence to internal risk parameters, and incorporate discretionary judgment where appropriate. Tape reading and market microstructure interpretation can additionally be used as supporting tools to refine entry and exit timing, particularly during periods of heightened volatility or dislocated pricing.
Portfolio Construction and Risk Framework
ARANEA typically holds between 20 and 70 individual equity positions. Position sizing follows an exponential scaling function, such that allocations are increased only when the realized price path develops in line with the forecast trajectory. This approach supports efficient capital deployment by allowing the strategy to scale into trades that confirm the expected development while limiting capital allocation to trades that fail to validate early.
Portfolio Construction and Risk Framework
ARANEA typically holds between 20 and 70 individual equity positions. Position sizing follows an exponential scaling function, such that allocations are increased only when the realized price path develops in line with the forecast trajectory. This approach supports efficient capital deployment by allowing the strategy to scale into trades that confirm the expected development while limiting capital allocation to trades that fail to validate early.
Portfolio Construction and Risk Framework
ARANEA typically holds between 20 and 70 individual equity positions. Position sizing follows an exponential scaling function, such that allocations are increased only when the realized price path develops in line with the forecast trajectory. This approach supports efficient capital deployment by allowing the strategy to scale into trades that confirm the expected development while limiting capital allocation to trades that fail to validate early.
Discipline: Predefined holding periods and time-based exit rules aligned with the forecast horizon.
Discipline:
Discipline: Predefined holding periods and time-based exit rules aligned with the forecast horizon.
Discipline:
Diversification: Concentration limits across single names, industries, sectors, and correlated groups.
Diversification:
Diversification: Concentration limits across single names, industries, sectors, and correlated groups.
Diversification:
Execution: Liquidity-aware sizing and order handling to reduce market impact and preserve signal integrity.
Execution:
Execution: Liquidity-aware sizing and order handling to reduce market impact and preserve signal integrity.
Execution:
Through the consistent trading of high-volatility equities around their average price levels, combined with the simultaneous use of long and short exposures across different securities, correlated groups, industries, and sectors, the strategy frequently results in portfolio allocations that are close to market neutral. It is important to note that this near-neutrality can arise as a structural outcome of the investment process rather than as an explicit target constraint. In environments where an insufficient number of opportunities meet the required risk-return profile, or where the prevailing market phase cannot be determined with adequate confidence, ARANEA may increase its cash allocation significantly, potentially up to a full cash position.
Although ARANEA includes discretionary sentiment filtering and market phase determination, the overall process remains strongly rule-based. The strategy is governed by defined risk parameters, predetermined position sizing, specified holding periods, and a forecasting model that aligns executed and expected transactions to ensure coherent portfolio construction and disciplined capital allocation.
Purpose and Scope of This Whitepaper
This document serves as a structured guide to the ARANEA strategy. It outlines the investment logic, portfolio construction methodology, and risk framework in a manner intended for professional investors and professional clients within the meaning of MiFID. The information herein is provided solely for informational purposes and does not constitute financial, legal, tax, or investment advice.
Purpose and Scope of This Whitepaper
This document serves as a structured guide to the ARANEA strategy. It outlines the investment logic, portfolio construction methodology, and risk framework in a manner intended for professional investors and professional clients within the meaning of MiFID. The information herein is provided solely for informational purposes and does not constitute financial, legal, tax, or investment advice.
Purpose and Scope of This Whitepaper
This document serves as a structured guide to the ARANEA strategy. It outlines the investment logic, portfolio construction methodology, and risk framework in a manner intended for professional investors and professional clients within the meaning of MiFID. The information herein is provided solely for informational purposes and does not constitute financial, legal, tax, or investment advice.
The information presented in this whitepaper is for informational purposes only and does not constitute financial or investment advice.
The information presented in this whitepaper is for informational purposes only and does not constitute financial or investment advice.
The information presented in this whitepaper is for informational purposes only and does not constitute financial or investment advice.
