mean_reversion_5d (mean_reversion, lookback=5)
Pipeline: mean_reversion; weekly rebalance; lookback=5; top=10; bottom=10
Backtest: 2010-04-01 → 2019-08-02
| periods/year: 252
| generated: 2026-05-24 08:48
Performance Metrics
Gross
| Sharpe | 0.093 |
|---|---|
| CAGR | +0.42% |
| Ann Vol | 11.15% |
| Max DD | -32.37% |
| Calmar | 0.013 |
| Sortino | 0.161 |
| Win Rate | 49.98% |
| VaR 95% | -1.148% |
| CVaR 95% | -1.392% |
| Best Day | +2.669% |
| Worst Day | -2.095% |
| Days | 2,437 |
Net of TC
| Sharpe | -0.341 |
|---|---|
| CAGR | -4.34% |
| Ann Vol | 11.18% |
| Max DD | -38.96% |
| Calmar | -0.111 |
| Sortino | -0.586 |
| Win Rate | 48.95% |
| VaR 95% | -1.165% |
| CVaR 95% | -1.411% |
| Best Day | +2.669% |
| Worst Day | -2.095% |
| 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 | — | — | — | -0.22 | -2.66 | +0.68 | -2.44 | -1.04 | -1.01 | -3.04 | +2.27 | -3.43 | -10.52 |
| 2011 | +1.74 | -0.04 | -4.88 | +0.72 | +0.21 | +1.56 | -2.97 | +6.53 | +3.08 | +3.19 | +4.34 | -5.36 | +7.66 |
| 2012 | +2.35 | +5.50 | +2.15 | +3.30 | -4.62 | -8.67 | +3.06 | -3.32 | -2.88 | +3.88 | -2.19 | +3.89 | +1.38 |
| 2013 | +4.58 | -1.06 | +0.75 | -4.34 | -3.95 | -0.15 | +5.69 | -0.98 | +1.62 | -1.35 | -7.55 | +0.70 | -6.58 |
| 2014 | +3.18 | +1.31 | +2.52 | +1.20 | +3.42 | +1.38 | +7.22 | +4.72 | -1.53 | -3.80 | +2.53 | -0.35 | +23.57 |
| 2015 | +5.95 | -4.49 | -2.35 | +4.30 | +0.68 | +0.92 | +2.11 | -4.82 | +2.47 | +2.30 | +3.02 | -1.15 | +8.65 |
| 2016 | -4.54 | +0.89 | -0.85 | +1.19 | -2.11 | -2.95 | -0.86 | -0.80 | +5.07 | +2.83 | -3.57 | +4.88 | -1.37 |
| 2017 | +7.85 | +2.45 | +1.02 | -1.40 | -0.29 | +6.63 | -0.95 | +3.50 | -3.22 | -2.20 | +4.58 | -6.79 | +10.67 |
| 2018 | -3.48 | -1.58 | -6.46 | -1.31 | +5.19 | -1.88 | -1.22 | -0.89 | -1.80 | -4.20 | -4.37 | +3.26 | -17.67 |
| 2019 | -1.53 | -4.40 | +0.33 | +0.26 | -1.64 | +2.04 | -0.35 | -0.14 | — | — | — | — | -5.42 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $5M |
|---|---|---|
| Fee Signal | −1.6156% | −$80,781/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −3.2312% | −$161,561/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −4.8468% NAV/yr | −$242,342/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −7.071% | −0.000% | −7.071% |
| $25M | −15.812% | −0.000% | −15.812% |
| $100M | −31.624% | −0.000% | −31.624% |
| $500M | −70.713% | −0.000% | −70.713% |
| $1.0B | −100.003% | −0.000% | −100.003% |
| $2.5B | −158.119% | −0.000% | −158.119% |
| $5.0B | −223.614% | −0.000% | −223.614% |
| $10.0B | −316.238% | −0.000% | −316.238% |
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 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET01 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET02 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET03 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET04 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET05 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET06 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET07 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET08 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET09 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)