momentum_20d (momentum, lookback=20)
Pipeline: momentum; weekly rebalance; lookback=20; top=10; bottom=10
Backtest: 2010-04-01 → 2019-08-02
| periods/year: 252
| generated: 2026-05-24 08:48
Performance Metrics
Gross
| Sharpe | 0.266 |
|---|---|
| CAGR | +2.36% |
| Ann Vol | 11.02% |
| Max DD | -29.73% |
| Calmar | 0.079 |
| Sortino | 0.455 |
| Win Rate | 50.76% |
| VaR 95% | -1.103% |
| CVaR 95% | -1.393% |
| Best Day | +2.497% |
| Worst Day | -2.009% |
| Days | 2,437 |
Net of TC
| Sharpe | 0.046 |
|---|---|
| CAGR | -0.09% |
| Ann Vol | 11.02% |
| Max DD | -37.45% |
| Calmar | -0.003 |
| Sortino | 0.079 |
| Win Rate | 50.18% |
| VaR 95% | -1.108% |
| CVaR 95% | -1.400% |
| Best Day | +2.497% |
| Worst Day | -2.009% |
| 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 | — | — | — | +3.15 | +2.52 | -4.57 | +2.05 | -0.90 | -2.68 | -1.03 | -2.50 | -3.71 | -7.72 |
| 2011 | -0.71 | -1.17 | +1.59 | +2.23 | -2.65 | -0.55 | -6.84 | +3.71 | -1.98 | +1.53 | -3.32 | -4.66 | -12.56 |
| 2012 | -1.52 | -3.67 | +2.83 | +3.05 | +2.17 | +7.26 | -1.49 | +1.11 | -1.75 | +4.46 | +9.28 | +2.23 | +25.80 |
| 2013 | -5.45 | -1.27 | -1.17 | +2.00 | -0.09 | +3.58 | -2.62 | -4.04 | -4.14 | +0.13 | +3.88 | -0.38 | -9.61 |
| 2014 | -5.63 | +0.51 | +2.88 | -2.26 | -0.25 | +3.54 | +0.23 | -3.54 | +0.88 | -3.06 | +2.78 | -1.27 | -5.47 |
| 2015 | +0.11 | +5.47 | +2.09 | +0.45 | -0.90 | -0.62 | -3.25 | +2.56 | +0.87 | -1.75 | -0.37 | -1.03 | +3.41 |
| 2016 | +6.75 | -2.17 | +1.95 | +0.44 | -2.23 | +0.32 | -3.19 | -1.09 | -0.50 | -0.34 | +3.82 | -2.95 | +0.36 |
| 2017 | +0.81 | -2.03 | -2.90 | +2.09 | +2.11 | -3.03 | -2.48 | +6.21 | -1.66 | -2.91 | -4.47 | +2.08 | -6.50 |
| 2018 | -2.39 | +4.81 | +4.39 | +2.19 | -0.57 | +1.84 | +4.59 | +4.16 | +0.04 | +0.24 | +3.86 | +1.00 | +26.64 |
| 2019 | +6.56 | +10.22 | -1.51 | -3.85 | +3.29 | +0.45 | +1.12 | +0.72 | — | — | — | — | +17.53 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $5M |
|---|---|---|
| Fee Signal | −0.8082% | −$40,411/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −1.6164% | −$80,822/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −2.4247% NAV/yr | −$121,233/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −3.212% | −0.000% | −3.212% |
| $25M | −7.183% | −0.000% | −7.183% |
| $100M | −14.366% | −0.000% | −14.366% |
| $500M | −32.124% | −0.000% | −32.124% |
| $1.0B | −45.430% | −0.000% | −45.430% |
| $2.5B | −71.831% | −0.000% | −71.831% |
| $5.0B | −101.584% | −0.000% | −101.584% |
| $10.0B | −143.662% | −0.000% | −143.662% |
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%* |
| ASSET02 | 1.0% | 5.0% | 10.0% | 25.0%* | 50.0%* | 100.0%* |
| ASSET11 | 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)