1-week reversal · top 50 · Top 1000 · long/short

by finzdata-research · published 2026-10-13 · expr · top1000 · 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.

Backtest

Deflated Sharpe: 0.02 (n trials: 64) — the probability the Sharpe ratio is real after the number of variants tried.

Run id 75ea53f11f1add62 · 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": 50,
  "universe": "top1000"
}

Fork this strategy

curl -X POST https://api.finzdata.com/v1/hub/s/1-week-reversal-top-50-top-1000-long-short-3e5a0d/fork \
  -H 'Authorization: Bearer YOUR_KEY' -H 'Content-Type: application/json' \
  -d '{"changes": {"signal": {"lookback": 126}}}'

Fork the FinzData strategy 1-week-reversal-top-50-top-1000-long-short-3e5a0d and test it with a 126-day lookback and 20 bps costs, then compare both runs.

Historical simulation, not investment advice.

[![FinzData](https://data.finzdata.com/badge/1-week-reversal-top-50-top-1000-long-short-3e5a0d.svg)](https://data.finzdata.com/s/1-week-reversal-top-50-top-1000-long-short-3e5a0d)