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THIS WEEK’S BREAKDOWN

The Alpha Blueprint: Secrets to Finding and Using Investment Strategies That Work

There’s a huge difference between “a strategy” and a strategy that works at scale.

If you’ve ever run a backtest that crushed the S&P, only to realize real-world performance fell flat, you’ve already learned this the hard way.

This issue? Most investing “strategies” circulating online are:

• Overfit to past data

• Built with unrealistic assumptions (zero slippage, infinite liquidity)

• Blind to capacity constraints

• And offer zero real alpha once scaled

This isn’t about getting lucky once. This is about identifying repeatable, scalable alpha—and putting it to work automatically, inside your real brokerage account.

Let’s get into it.

A quiet bull market you’re probably not watching.

🇦🇷 Why One of Our Top-Performing Strategies is Betting Big on Argentina

Most investors are busy arguing over whether Nvidia is overpriced or if the Fed’s gonna cut rates in June. Meanwhile, one of the best-performing strategies on Surmount is quietly stacking wins from an unexpected region: Argentina.

This strategy doesn’t chase tech headlines or meme stocks. Instead, it takes a disciplined, sector-diversified approach, allocating evenly across 11 handpicked Argentinian equities with exposure to:

• Financials (37%)

• Utilities (18%)

• Basic Materials (18%)

• Energy, Cyclical, and Comms (27% combined)

📈 The results? A 445.64% all-time return, crushing the SPY’s 136% over the same time frame.

What Makes It Work?

This isn’t just blind regional exposure. It’s smart portfolio construction:

• Equal-weighted allocation across 11 stocks = true diversification

• Monthly rebalancing keeps it adaptive without overtrading

• Low daily turnover (0.25 trades/day) minimizes cost and tax drag

• Exposure to uncorrelated growth markets while most investors stay trapped in U.S. mega-caps

With a Sharpe Ratio of 1.03 and Calmar Ratio of 1.17, it’s not just returning alpha—it’s doing it efficiently. The volatility is low (2.59% std dev), and it’s only experienced a max drawdown of -34.72% over 5 years… even while achieving over 40% annual returns.

That’s what we call asymmetric risk: the kind where the upside far outweighs the downside—especially when diversified across sectors.

If you’re looking for a way to:

• Diversify internationally without flying blind

• Capture uncorrelated growth potential

• And do it with a strategy that’s actually performed through real-world market conditions...
  
  “Don’t sleep on Argentina—because this alpha doesn’t peso around.

You don’t need an opinion. You need a process.

🧠 Strategy > Thesis

A good strategy doesn’t start with “I think tech stocks are gonna rip.”

It starts with a rule set that objectively responds to market conditions. That rule set can be based on:

• Price action (momentum, breakouts)

• Volatility filters (ATR thresholds, VIX regimes)

• Mean reversion

• Economic indicators (e.g., interest rate trends, PMI data)

• Sector rotation logic

Here’s the kicker: your opinion doesn’t matter. The market doesn’t care what you think—it cares how you act.

Surmount hosts strategies built by authors who’ve rigorously tested their rule sets over thousands of iterations. No fluff. Just code + logic + results.

If your “strategy” relies on checking the news each morning, it’s not a strategy. It’s a workflow. And that’s fragile.

Want alpha? You’ll need robustness, not just a pretty equity curve.

🧪 Deep Backtesting ≠ Shallow Bragging

Backtests can lie, and they lie often. Most commonly due to:

• Look-ahead bias (using future info that wasn’t available at the time)

• Survivorship bias (only testing stocks that didn’t die)

• Overfitting (tweaking parameters until the past looks perfect)

• Ignoring transaction costs (slippage, bid-ask spreads, fees)

Surmount strategies are built using frameworks that account for these risks. We make sure authors test out-of-sample data and use walk-forward testing — breaking historical data into chunks, optimizing on one, and testing on the next. This simulates the forward-pass of live trading much more realistically.

If a strategy doesn’t hold up outside its training set, it won’t hold up with real money.

Bonus tip: Favor strategies that show stable Sharpe ratios, not just high CAGR. Return is great, but return relative to volatility is a stronger signal.

Liquidity, capacity, and decay are the killers of good ideas.

📈 Alpha Isn’t Alpha If It Can’t Scale

You know what nobody talks about? Capacity.

It’s one thing to build a strategy that works on $10K. It’s another to make it work on $1M. Most strategies decay as more capital follows the signal, especially in small/mid-cap names.

Here’s what real quant shops—and Surmount—do differently:

• Model liquidity impact: Does the strategy trade stocks with enough volume to absorb new users?

• Estimate market impact costs: Will the alpha get arbitraged away as more people pile in?

• Enforce user caps: Surmount limits how many users can follow each strategy to preserve its alpha and prevent crowding.

If you’re following a strategy that everyone can copy instantly, your edge won’t last. Capacity modeling keeps you in the first seat, not the last.

Execution quality, tax drag, and psychological fatigue all matter.

⏱ Trading Frequency Affects More Than Just Time

Trading every day sounds cool—until you realize:

• You’re racking up short-term capital gains taxes

• You’re getting crushed by spread and slippage

• You’re emotionally worn out by micromoves

High-frequency doesn’t mean high returns. Unless your strategy demands high turnover (e.g. volatility breakouts or intraday mean reversion), lower-frequency strategies often outperform on an after-tax, after-cost basis.

Surmount lets you filter by trading frequency—so you can pick a strategy that fits both your tax profile and lifestyle.

Also, don’t ignore “execution drag.” If your strategy is trading small, illiquid tickers multiple times a week with tight stop losses—execution quality matters more than backtest results.

The best strategy is the one you’ll stick with.

🧩 Strategy Fit Is More Important Than Strategy Hype

This one’s psychological—but critical.

Most investors fail not because their strategy sucked, but because they abandoned it during a drawdown. Every strategy has them. The key is knowing:

• How long a typical drawdown lasts

• What the historical worst-case has been

• Whether you’re personally okay with that

Surmount shows each strategy’s historical drawdown profile, so you can assess emotional fit. A strategy with a 40% historical drawdown might have outperformed long term—but if you can’t handle the ride, it’s not for you.

Strategies with lower volatility and smoother equity curves (even at slightly lower returns) often lead to better real-world performance. Because you stay in them.