PureGamma ResearchFrom research to allocation
PG Composite Strategy connects signal research to portfolio construction and execution. The framework gives each layer a distinct role, then evaluates their interactions through portfolio and post-trade review.
Observe & model
RESEARCH INPUTSPrice, volume, order flow, and market context inform higher-timeframe, CTA, multi-factor, and machine-learning research.
Fuse signals
WEIGHTS / FILTERSThe published model framework studies dynamic LSTM–ARIMA weighting and 14-period RSI thresholds to combine signals across horizons.
Construct the portfolio
ALLOCATION / EXPOSUREPortfolio relationships, allocation constraints, and hedge research are examined together. Published BTC–BNB research uses Johansen cointegration filtering.
Execute & review
TWAP / VWAPTime- and volume-weighted approaches connect target allocation to execution. Post-trade review examines liquidity, slippage, funding, and portfolio outcomes.
Validation & feedback
Observation, hypothesis, validation, and review form a continuing research process. Model outputs are assessed in the context of regime changes, parameter uncertainty, and execution conditions.
Signal validation
Examine the signal construction, sampling basis, and historical assumptions.
Portfolio review
Review drawdowns, exposure, concentration, and the interaction of portfolio inputs.
Execution evidence
Assess the reporting basis, fees, funding, and account or venue dependencies.
Model iteration
Use findings to refine the next hypothesis and validation agenda.
Operating boundaries
An institutional relationship begins with a defined mandate. Custody, API permissions, responsibilities, leverage and allocation constraints, and reporting are reviewed before an account or integration is considered.
| Review area | Questions to establish |
|---|---|
| Account structure | Custody, account ownership, permissions, and access limits. |
| Mandate | Eligible markets, allocation, exposure, and execution responsibilities. |
| Reporting | NAV calculation, fee treatment, reconciliation, and review cadence. |
Institutional materials
Team, strategy & research materials
Background, process, portfolio construction, and access pathways.
Reported composite performance
Updated NAV, annual and monthly returns, and calculation methodology.
Let’s discuss your mandate.
Tell us your account structure, research interests, and reporting needs.