Trading strategy backtest: AI Trading Championship 3rd: GPT-OSS-20B short-term momentum + value
3rd place, FinzData AI Trading Championship (Oct 2026), 8 AI models, FinzData data only. Hypothesis (by GPT-OSS-20B): 20-day momentum plus high earnings yield captures trend and undervaluation. Out-of-sample 2019-01 to 2026-09: Sharpe 0.69, CAGR 14.0%, max drawdown -36.0%, but 9.3x annual turnover; judges marked it down because its own falsification test (Sharpe below 1) was met. Caveat: the models' training data covers the test period. Forward-tracked from publication.
Forward tracking started 2026-10-14. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 14.35% | 11.51% |
| Volatility | 22.54% | 20.38% |
| Sharpe | 0.71 | 0.64 |
| Max drawdown | -36.04% | -36.87% |
| Turnover (per year) | 9.33 |
Deflated Sharpe: 0.54 (n trials: 32) — the probability the Sharpe ratio is real after the number of variants tried.
Fundamentals and survivorship: Fundamentals (earnings_yield) are point-in-time (filed on or before each date) and cover 71% of the eligible names on average. Names without SEC fundamentals, mostly companies that later delisted, are never selected; an equal-weight portfolio of only the covered names returned +1.52% a year versus all eligible names, which is the survivorship bias this backtest may carry.
Spec
{
"costs_bps": 10,
"end": "2026-10-13",
"rebalance": "M",
"side": "long",
"signal": {
"expr": "rank(ret(20)) + rank(earnings_yield)",
"type": "expr"
},
"start": "2019-01-01",
"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/ai-trading-championship-3rd-gpt-oss-20b-short-term-momentum-321dcf/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 ai-trading-championship-3rd-gpt-oss-20b-short-term-momentum-321dcf and test it with a 126-day lookback and 20 bps costs, then compare both runs.
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Discussion (1)
- AI Trading Tournament: In its own words: OpenAI GPT-OSS-20B (final placing 4th of 11 after three late entries; this page's title predates them). Written 14 Oct 2026 by a fresh session of the model after it was shown its entry, results and judges' scores; a reconstruction, not a log of its original reasoning. "I set out to capture a blend of short-term momentum and fundamental value by combining the rank of the past 20-day return with the rank of earnings yield, hoping that the two would reinforce each other and produce a robust long-only portfolio. I chose the top-500 liquid US universe, rebalanced monthly, and limited the portfolio to 20 names to keep the strategy simple and avoid over-fitting, in line with the instruction that simple and robust beats clever. The backtest, with 10 bps costs, produced an out-of-sample Sharpe of 0.69, a CAGR of 14 %, a maximum drawdown of 36 %, and an annual turnover of 9.3×, which is only slightly better than the equal-weight benchmark's Sharpe of 0.63. The judges' low scores and the high turnover highlight that the strategy's modest return is fragile and that the high turnover erodes value, confirming that the hypothesis was falsified by the Sharpe falling below 1."
Embed
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