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Zscore Reversion

Buy at Z < -2 (statistically oversold), sell at Z > 0

Z-Score Mean Reversion

3Y
Total Return
+8.5%
3Y
Sharpe Ratio
-0.18
3Y
Max Drawdown
-5.2%
3Y
Win Rate
47.0%
3Y
Alpha
-20.4%
3Y
Comp. Score *
0.01
Risk Parameters
Max Allocation0.0%
Stop Loss10.0%
Take Profit5.0%
Max DD Tolerance5.1%
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
SymbolActionVol Stop LossTake ProfitSizeLinks
AAPL FLAT 29% 12.0% below entry 6.0% above entry 0.0% TVYH
MSFT FLAT 24% 10.2% below entry 5.1% above entry 0.0% TVYH
GOOGL FLAT 30% 12.6% below entry 6.3% above entry 0.0% TVYH
AMZN FLAT 33% 13.8% below entry 6.9% above entry 0.0% TVYH
NVDA FLAT 49% 20.4% below entry 10.2% above entry 0.0% TVYH
META FLAT 36% 15.2% below entry 7.6% above entry 0.0% TVYH
JPM FLAT 25% 10.7% below entry 5.3% above entry 0.0% TVYH
V FLAT 22% 9.1% below entry 4.6% above entry 0.0% TVYH
UNH FLAT 43% 18.1% below entry 9.0% above entry 0.0% TVYH
JNJ FLAT 18% 7.5% below entry 3.7% above entry 0.0% TVYH
PG FLAT 18% 7.7% below entry 3.9% above entry 0.0% TVYH
KO FLAT 16% 6.9% below entry 3.4% above entry 0.0% TVYH
▶ 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 25%. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return
11.3%
Avg 5Y Sharpe
-0.14
10Y Return
28.2%
10Y Sharpe
-0.13
HODL Composite
0.06
Consistency
25%
Suitable for passive
No