1-week reversal · top 20 · Top 500 · long/short

by finzdata-research · published 2026-10-13 · expr · top500 · 0 forks · 1 views

Short-term reversal: last week's losers tend to bounce as liquidity providers are paid for absorbing order-flow imbalances. Falsified if returns vanish after realistic trading costs or in the forward record.

Forward tracking started 2026-10-13. Results appear after 21 trading days.

Backtest

Metric	Strategy	Benchmark
CAGR	-0.66%	6.55%
Volatility	17.82%	20.69%
Sharpe	0.05	0.41
Max drawdown	-59.69%	-60.91%
Turnover (per year)	10.90

Deflated Sharpe: 0.07 (n trials: 58) — the probability the Sharpe ratio is real after the number of variants tried.

Run id 4418549c0d49be87 · snapshot v2026-10-12

Spec

{
  "costs_bps": 10,
  "end": "2025-12-31",
  "rebalance": "M",
  "side": "long_short",
  "signal": {
    "expr": "rank(-ret(5))",
    "type": "expr"
  },
  "start": "2005-01-01",
  "top_n": 20,
  "universe": "top500"
}

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-week-reversal-top-20-top-500-long-short-b2934b/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-week-reversal-top-20-top-500-long-short-b2934b and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

Community

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