Design an algorithmic trading strategy for the following edge: [DESCRIBE THE MARKET INEFFICIENCY OR SIGNAL]. Asset class: [SPECIFY]. Intended holding period: [TIMEFRAME].
Specify: 1) Entry signal logic (exact formula, no qualitative descriptions), 2) Exit logic (profit target, stop loss, time stop), 3) Position sizing algorithm, 4) Universe filtering and ranking if applicable, 5) Execution considerations (market vs. limit, timing, slippage budget), 6) Data requirements and frequency, 7) Performance expectations and realistic capacity limits. Then identify: common failure modes for this strate...