Stat Arb Medallion

Short-term mean reversion across sector pairs, Renaissance-inspired

Stat Arb (Medallion-style)

Total Return

+10.2%

Sharpe Ratio

-0.14

Max Drawdown

-3.6%

Win Rate

50.5%

Alpha

-19.8%

Comp. Score *

0.09

Risk Parameters

Max Allocation0.0%

Stop Loss10.0%

Take Profit5.0%

Max DD Tolerance3.6%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry RuleEnter when Z-score exceeds 2.0. Exit when Z returns to 0.

TimingWAIT FOR SIGNAL: Only enter when price spread between paired stocks reaches extreme levels. *

ScalingFull position at entry. No scaling — it's a convergence trade.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
PG	BUY	18%	7.7% below entry	3.9% above entry	0.0%	TV YH

▶ For Passive Investors (Buy & Hold)

This strategy has moderate long-term potential but requires monitoring. - Take profit: Take profit at +50%. This strategy is inconsistent — capture gains when available. - Stop loss: Reduce position by 50% at -25% drawdown. Consistency is only 35%. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return

12.6%

Avg 5Y Sharpe

-0.34

10Y Return

22.6%

10Y Sharpe

-0.43

HODL Composite

0.10

Consistency

35%

Suitable for passive