Portfolio Strategy
Rebalance: weeklySignal: ma7Lag: 1dK: 5Long/Short: YesUniverse used: 507
❓ How this portfolio strategy works (weekly lagged sentiment ranking)
We treat each stock’s news sentiment as a trading signal (either daily sentiment or its 7-day moving average).
On each rebalance date (typically weekly), we rank the universe by the signal observed with a lag (e.g., yesterday), then go long the top-K tickers and (optionally) short the bottom-K tickers with equal weights.
The lag + “apply weights from next trading day” rule is used to reduce look-ahead bias.
📌 What lines are shown on the charts?
The performance chart compares Strategy Equity to SPY (if available) and the S&P 500 index (SPX).
SPX equity is constructed from data/SPX/sp500_index.json and filled using ^GSPC/^SPX snapshots if needed, so all series share the same date axis.
Current Equity
0.2671
Latest daily: -6.84%
Cumulative Return
-73.29%
Max DD: -94.48%
Annualized
Return: -73.71%
Vol: 198.90%
Sharpe & Hit Rate
Sharpe: -0.37
Hit: 52.61%
Performance vs Benchmarks
All lines are normalized to 1.00 at start.
baseline: 1.00
Strategy (L/S)
SPX
Hover the chart
Drawdowns
Peak-to-trough performance comparison.
baseline: 0.00
Strategy DD
SPX DD
Hover the chart
Latest Holdings
As of 2026-03-30