Stat Arb Medallion

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

Total Return

+17.3%

Sharpe Ratio

0.34

Max Drawdown

-3.5%

Win Rate

52.4%

Alpha

-60.0%

Comp. Score *

0.09

Risk Parameters

Max Allocation11.1%

Stop Loss10.0%

Take Profit5.0%

Max DD Tolerance3.5%

Rebalancedaily

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	19%	8.0% below entry	4.0% above entry	13.9%	TV YH