Mean Reversion Hourly
Rule-Basedrunningby Anika Patel · v2 · hourly
Cumulative Return
+15.00%
Sharpe
1.55
Sortino
1.80
Max Drawdown
-4.76%
Ann Return
+15.00%
Ann Vol
+14.00%
Calmar
1.07
Days Active
135
Cumulative Returns (%)
Drawdown (%)
Risk Limits
Max Drawdown
18%
Max Position
8%
Daily Loss Limit
4%
Max Orders/Tick
50
Current Positions (3 held)
MSFT
9.0% weight
GOOGL
6.2% weight
AAPL
4.9% weight