Demo L/S Momentum
Pipeline: paw_auto_research eval_strategy.py
Backtest: 2010-04-01 → 2019-08-02
| periods/year: 252
| generated: 2026-05-24 08:27
Performance Metrics
Gross
| Sharpe | 0.534 |
|---|---|
| CAGR | +5.60% |
| Ann Vol | 11.42% |
| Max DD | -26.16% |
| Calmar | 0.214 |
| Sortino | 0.907 |
| Win Rate | 50.84% |
| VaR 95% | -1.163% |
| CVaR 95% | -1.448% |
| Best Day | +2.496% |
| Worst Day | -2.367% |
| Days | 2,437 |
Net of TC
| Sharpe | 0.409 |
|---|---|
| CAGR | +4.10% |
| Ann Vol | 11.42% |
| Max DD | -29.51% |
| Calmar | 0.139 |
| Sortino | 0.692 |
| Win Rate | 50.51% |
| VaR 95% | -1.166% |
| CVaR 95% | -1.453% |
| Best Day | +2.496% |
| Worst Day | -2.391% |
| Days | 2,437 |
Cumulative Return
Drawdown
Monthly Return Heatmap (% / month, gross)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | — | — | — | +4.48 | -0.90 | -1.08 | -1.02 | -0.12 | +3.19 | -1.51 | +0.58 | +0.86 | +4.39 |
| 2011 | -2.64 | -2.61 | -0.74 | +6.61 | -1.98 | -0.09 | -2.44 | +1.67 | -4.69 | +0.41 | -2.39 | -1.29 | -10.13 |
| 2012 | -1.87 | -0.69 | +1.08 | +2.93 | -1.90 | -0.08 | -3.72 | +1.00 | +0.82 | +4.98 | +8.85 | -0.91 | +10.34 |
| 2013 | -4.67 | -1.92 | -3.09 | +3.49 | -0.56 | -0.23 | -5.64 | -6.39 | +0.01 | -0.52 | -0.03 | +0.61 | -17.78 |
| 2014 | -6.36 | +1.13 | +2.61 | -3.67 | +8.04 | -1.61 | +3.64 | -0.46 | +4.62 | -3.73 | +1.35 | -3.48 | +1.13 |
| 2015 | -0.08 | +3.03 | +0.38 | +0.91 | +5.71 | +0.34 | -1.14 | +10.76 | -1.60 | -0.47 | -0.67 | +3.44 | +21.91 |
| 2016 | +5.10 | +2.22 | +3.21 | +6.87 | -1.70 | -2.19 | -0.48 | -1.19 | -1.58 | +0.83 | +0.77 | +2.14 | +14.44 |
| 2017 | +0.08 | -5.38 | -2.56 | +6.11 | -0.27 | -2.48 | +2.52 | +1.98 | +2.79 | -3.42 | -2.55 | +3.89 | +0.07 |
| 2018 | +1.20 | +5.32 | +8.73 | +7.62 | +6.62 | +1.08 | +0.36 | +2.29 | -2.80 | -3.04 | +0.24 | +0.92 | +31.55 |
| 2019 | +9.18 | +5.43 | -4.52 | -4.12 | +3.35 | -0.94 | -0.12 | -0.55 | — | — | — | — | +7.16 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $5M |
|---|---|---|
| Fee Signal | −0.4779% | −$23,897/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −0.9559% | −$47,794/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −1.4338% NAV/yr | −$71,691/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −1.889% | −0.000% | −1.889% |
| $25M | −4.224% | −0.000% | −4.224% |
| $100M | −8.449% | −0.000% | −8.449% |
| $500M | −18.892% | −0.000% | −18.892% |
| $1.0B | −26.718% | −0.000% | −26.718% |
| $2.5B | −42.244% | −0.000% | −42.244% |
| $5.0B | −59.743% | −0.000% | −59.743% |
| $10.0B | −84.489% | −0.000% | −84.489% |
Capacity — Per-Instrument Participation Rate
Max-day participation = (peak trade size × AUM / notional) ÷ ADV. Binding constraint is typically 5–10% for clean execution.
| Instrument | $100M | $500M | $1.0B | $2.5B | $5.0B | $10.0B |
|---|---|---|---|---|---|---|
| ASSET00 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET01 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET02 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET03 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET04 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET05 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET06 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET07 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET08 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
| ASSET09 | 0.5% | 2.5% | 5.0% | 12.5%! | 25.0%* | 50.0%* |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)