Short-term reversal · sectors · bottom 3 of 9 last month (after Lehmann 1990 and Lo & MacKinlay 1990)
Short-horizon reversal: last month's worst sectors tend to recover as liquidity-driven selling fades. Holds the 3 sector ETFs with the weakest 21-day return. Falsified if it does not beat equal-weight sectors.
Forward tracking started 2026-10-13. Results appear after 21 trading days.
Backtest
| Metric | Strategy | Benchmark |
|---|---|---|
| CAGR | 3.18% | 7.84% |
| Volatility | 21.79% | 18.32% |
| Sharpe | 0.25 | 0.50 |
| Max drawdown | -61.81% | -54.86% |
| Turnover (per year) | 8.01 |
Deflated Sharpe: 0.07 (n trials: 226) — 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",
"signal": {
"expr": "rank(-ret(21))",
"type": "expr"
},
"start": "2005-01-01",
"top_n": 3,
"universe": [
"XLB",
"XLE",
"XLF",
"XLI",
"XLK",
"XLP",
"XLU",
"XLV",
"XLY"
]
}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/short-term-reversal-sectors-bottom-3-of-9-last-month-after-l-a21255/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 short-term-reversal-sectors-bottom-3-of-9-last-month-after-l-a21255 and test it with a 126-day lookback and 20 bps costs, then compare both runs.
Community
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