Showing the original archived result.
Lane 46 · time-series mean reversion
1 Jan 2026 — 21 Aug 2026
Source-model turnover costs deducted; not verified execution costs
- Annualised return
- Strategy cumulative: +116.73% · 233 calendar daysGeometric extrapolation · not a forecastStrategy+235.92%S&P 500+19.61%
- Source-reported Sharpe
- Strategy: Source-reported Sharpe · archive estimatorS&P 500: daily Sharpe · √252 · risk-free rate 0Strategy1.65S&P 5001.39
- Drawdown / P&L decline
- Strategy: source cumulative-P&L decline in percentage points, not peak-equity drawdownS&P 500: daily closes, including the pre-window baseline · not intraday lowsStrategy-38.02 ppS&P 500-9.10%
Strategy vs S&P 500
Matching window · annualised returnsS&P 500 cumulative: +12.11% · Cumulative gap: +104.63 percentage points above the index.
USD price return · dividends excluded. Recomputed from Yahoo Finance / ^GSPC ↗.
Read this comparison carefully. This is a market reference, not risk-matched alpha: assets, leverage and costs differ. The index excludes dividends; a total-return benchmark would differ. Strategy inputs are source-reported, not independently reconstructed.
Selection bias: the configuration and instrument subset were selected within the reported window; the headline includes the selection/training period, not a fully out-of-sample track record. Source coverage is partial (M30 inputs missing). A separate de-selected configuration reports OOS Sharpe 0.28; that is not this headline configuration. The source uses position-sign flips as activity counts, not independent completed trades.
Calculation & evidence Formulas, sources & conventions
Strategy evidence
Configuration:Lane 46 · time-series mean reversion
Annualised return on this website is calculated geometrically from the source-reported cumulative return and stated calendar window; it is not the archive’s separately reported annual-return field. Sharpe is source-reported, not independently recomputed. Do not rank it against differently measured ratios.
Source:46_zoo_ts_meanrev.json · Archived simulation — not live performance. Source files are retained privately;
strategy parameters and execution logic are not published here.
Benchmark & annualisation
Daily observed trading-close returns: mean / sample standard deviation × √252; risk-free rate 0. USD price index, dividends excluded. Drawdown uses closing prices including the pre-window baseline, not intraday lows.
160 observed daily returns. Maximum drawdown peak: 27 Jan 2026; trough: 30 Mar 2026.
Baseline: 2025-12-31 close (6845.50); endpoint: 2026-08-21 close (7674.37). The last close before the window covers the opening holiday. Annualisation uses the same 233-day window as the strategy.
Annualised return = [(1 + cumulative return / 100)^(365 / days) − 1] × 100. Days include both stated dates, using UTC calendar days. Sub-year rates extrapolate the observed period; they are not earned one-year returns. Source-reported inputs remain unvalidated after annualisation. Monthly bars remain actual period returns, not annualised.
Hypothetical risk-adjusted scenario
These are assumed values, not a verified backtest or a guaranteed loss cap. No risk-scaled return series was supplied, and costs and financing have not been recalculated.
- Annualised return
- Annualised scenario; no cumulative result is inferred.Assumed scenario+105.131%S&P 500+19.61%
- Maximum drawdown
- A chosen assumption, not a demonstrated maximum loss.Assumed scenario-10.00%S&P 500-9.10%
- Sharpe
- No scenario Sharpe has been established. The original Sharpe and monthly returns are not transferred to this illustration.ScenarioNot establishedS&P 5001.39
The S&P reference retains the original 2026-01-01 to 2026-08-21 window: price returns, dividends excluded; daily Sharpe uses a zero risk-free rate. This is not a risk-matched or independently validated comparison.
The original Lane 46 configuration was selected within its reported period. This illustration does not remove that selection bias or establish independent out-of-sample performance.