Solution - Reversals#
# Output from previous execution
| Annualized Mean | Annualized Vol | Annualized Sharpe | Skewness | mkt_corr | val_corr | |
|---|---|---|---|---|---|---|
| 1927 - 2025 | 3.4% | 11.9% | 28.1% | 289.5% | 23.5% | 64.8% |
| 1927 - 2000 | 4.4% | 12.5% | 34.8% | 325.4% | 26.8% | 63.8% |
| 2001 - 2025 | 0.5% | 10.0% | 4.9% | 56.9% | 9.2% | 68.8% |
# Output from previous execution
| Annualized Mean | Annualized Vol | Annualized Sharpe | Skewness | mkt_corr | val_corr | |
|---|---|---|---|---|---|---|
| long_and_short | 0.5% | 10.0% | 4.9% | 56.9% | 9.2% | 68.8% |
| long_only | 10.4% | 21.0% | 49.4% | -31.9% | 88.7% | 32.9% |
# Output from previous execution
Text(0.5, 1.0, 'Cumulative Returns')
# Output from previous execution
| Annualized Mean | Annualized Vol | Annualized Sharpe | Skewness | mkt_corr | val_corr | |
|---|---|---|---|---|---|---|
| mom_D1 | -1.2% | 20.5% | -5.9% | 26.8% | 20.0% | 60.6% |
| mom_D3 | 0.1% | 12.7% | 0.5% | -36.0% | -24.7% | -62.3% |
| mom_D5 | 0.7% | 8.8% | 8.2% | -19.7% | -24.8% | -61.0% |
| REV | 0.5% | 10.0% | 4.9% | 56.9% | 23.5% | 64.8% |
# Output from previous execution
| Annualized Mean | Annualized Vol | Annualized Sharpe | Skewness | mkt_corr | val_corr | |
|---|---|---|---|---|---|---|
| REV | 0.5% | 10.0% | 4.9% | 56.9% | 23.5% | 64.8% |
| Small_stocks | 1.4% | 9.4% | 14.8% | 66.9% | 24.7% | 53.5% |
| Big_stocks | -0.4% | 12.6% | -3.4% | 73.7% | 18.5% | 63.5% |
# Output from previous execution
(<Figure size 800x800 with 2 Axes>,
<Axes: title={'center': 'Correlation matrix (lower triangle)'}>)
(<Figure size 800x800 with 2 Axes>,
<Axes: title={'center': 'Correlation matrix (lower triangle)'}>)
# Output from previous execution
(<Figure size 800x800 with 2 Axes>,
<Axes: title={'center': 'Correlation matrix (lower triangle)'}>)
