1-month reversal · top 50 · Top 1000 · long/short
One-month reversal (Jegadeesh 1990): stocks that fell most last month tend to recover next month as overreaction fades. Falsified if the effect is absent after costs or concentrated in the smallest names.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | -3.86% | 6.17% |
| Volatility | 15.34% | 21.13% |
| Sharpe | -0.18 | 0.39 |
| Max drawdown | -57.67% | -62.44% |
| Turnover (per year) | 10.69 |
Deflated Sharpe: 0.00 (n trials: 72) — the probability the Sharpe ratio is real after the number of variants tried.
Spec
{
"costs_bps": 10,
"end": "2025-12-31",
"rebalance": "M",
"side": "long_short",
"signal": {
"expr": "rank(-ret(21))",
"type": "expr"
},
"start": "2005-01-01",
"top_n": 50,
"universe": "top1000"
}Fork this strategy
Re-run it with your own changes. The fork is computed on the server and linked back here.
curl -X POST https://api.finzdata.com/v1/hub/s/1-month-reversal-top-50-top-1000-long-short-d8caf2/fork \
-H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
-d '{"changes": {"signal": {"lookback": 126}}}'Or ask your AI assistant (Claude, ChatGPT, Cursor with the FinzData connector):
Fork the FinzData strategy 1-month-reversal-top-50-top-1000-long-short-d8caf2 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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