Focused Hurst MR Alpaca SIP 5m refreshed 2026-06-02
Pipeline: Focused 9-name long-only Hurst mean-reversion basket; 5-minute Alpaca SIP regular-session bars; signal at bar close, position applied next bar; 2 bps turnover cost in research model.
Backtest: 2026-02-12 → 2026-06-01
| periods/year: 252
| generated: 2026-06-02 04:29
Performance Metrics
Gross
| Sharpe | 0.667 |
|---|---|
| CAGR | +0.62% |
| Ann Vol | 0.93% |
| Max DD | -1.91% |
| Calmar | 0.321 |
| Sortino | 1.006 |
| Win Rate | 30.79% |
| VaR 95% | -0.044% |
| CVaR 95% | -0.088% |
| Best Day | +2.983% |
| Worst Day | -0.553% |
| Days | 5,850 |
Net of TC
| Sharpe | 0.605 |
|---|---|
| CAGR | +0.56% |
| Ann Vol | 0.93% |
| Max DD | -2.02% |
| Calmar | 0.276 |
| Sortino | 0.925 |
| Win Rate | 30.65% |
| VaR 95% | -0.044% |
| CVaR 95% | -0.088% |
| Best Day | +2.983% |
| Worst Day | -0.553% |
| Days | 5,850 |
Cumulative Return
Drawdown
Monthly Return Heatmap (% / month, gross)
| Year | Feb | Mar | Apr | May | Jun | Annual |
|---|---|---|---|---|---|---|
| 2026 | -0.21 | +5.65 | +7.18 | +2.42 | -0.38 | +15.30 |
Transaction Cost Analysis
Costs computed from per-asset rates supplied by user.
| Component | % NAV/yr | $/yr @ $90K |
|---|---|---|
| Fee Signal | −0.0574% | −$52/yr |
| Fee Roll | −0.0000% | −$0/yr |
| Slip Signal | −0.0000% | −$0/yr |
| Slip Roll | −0.0000% | −$0/yr |
| Total | −0.0574% NAV/yr | −$52/yr |
Capacity Analysis — Cost Scaling with AUM
Market-impact drag at increasing AUM (square-root model).
| AUM | Signal MI | Roll MI | Total MI |
|---|---|---|---|
| $5M | −0.399% | −0.000% | −0.399% |
| $25M | −0.892% | −0.000% | −0.892% |
| $100M | −1.783% | −0.000% | −1.783% |
| $500M | −3.988% | −0.000% | −3.988% |
| $1.0B | −5.640% | −0.000% | −5.640% |
| $2.5B | −8.917% | −0.000% | −8.917% |
| $5.0B | −12.610% | −0.000% | −12.610% |
| $10.0B | −17.834% | −0.000% | −17.834% |
Capacity — Per-Instrument Participation Rate
Max-day participation = (peak trade size × AUM / notional) ÷ ADV. Binding constraint is typically 5–10% for clean execution.
| Instrument | $100M | $500M | $1.0B | $2.5B | $5.0B | $10.0B |
|---|---|---|---|---|---|---|
| VLTO | 9.0% | 45.1%* | 90.1%* | 225.3%* | 450.7%* | 901.3%* |
| FTV | 7.3% | 36.7%* | 73.5%* | 183.7%* | 367.3%* | 734.6%* |
| FOXA | 6.2% | 31.2%* | 62.3%* | 155.9%* | 311.7%* | 623.4%* |
| MGM | 5.2% | 26.2%* | 52.4%* | 130.9%* | 261.8%* | 523.5%* |
| KMI | 3.7% | 18.6%! | 37.3%* | 93.1%* | 186.3%* | 372.6%* |
| WMB | 3.4% | 16.8%! | 33.5%* | 83.8%* | 167.6%* | 335.3%* |
| HON | 1.8% | 8.8% | 17.5%! | 43.8%* | 87.6%* | 175.1%* |
| QCOM | 0.4% | 1.8% | 3.7% | 9.2% | 18.3%! | 36.7%* |
| INTC | 0.1% | 0.5% | 1.1% | 2.6% | 5.3% | 10.6%! |
● <5% (clean) ● 5–20% (! >10%, stressed) ● >20% (* infeasible cleanly)