Equity Pairs Divergence

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Price-based

For each stock, compare its latest monthly return to the average of its most correlated peers and trade expected mean reversion.

Performance Summary

Annual Return

-11.89%

Sharpe

-0.761

Max Drawdown

-47.07%

Win Rate

+35.42%

Annual Volatility

+15.63%

Cumulative Return

-39.74%

Rebalance Periods

48

Avg Long / Short Basket

49.3 / 49.3

Methodology

  • Use trailing 24 monthly returns to compute pair correlations.
  • For each stock, estimate expected return from top 20 correlated peers.
  • Long strongest underperformers and short strongest outperformers.

Minimum symbols required: 50 | Feasibility note: Implemented successfully.

Equity Curve (Long-Short)

Drawdown

Rolling Sharpe (12M)

Monthly Long / Short / L-S Returns

Latest Signal Snapshot

As of: 2026-06-30

Top Longs

SMCI: 0.371, ORCL: 0.297, CBOE: 0.292, ON: 0.263, ENPH: 0.261, CTSH: 0.260, QCOM: 0.259, COIN: 0.256, CME: 0.252, ACN: 0.247

Top Shorts

AMAT: -0.456, KLAC: -0.420, MRNA: -0.388, HUM: -0.327, TECH: -0.316, GLW: -0.315, AXON: -0.302, MOH: -0.291, PANW: -0.277, CRL: -0.265

Individual Stock Stats (Latest Signal)

Long count

10

Short count

10

Avg long score

0.276

Avg short score

-0.336

Strongest long score: 0.371 | Most negative short score: -0.456
SymbolSideRankScore
SMCILong10.371
ORCLLong20.297
CBOELong30.292
ONLong40.263
ENPHLong50.261
CTSHLong60.260
QCOMLong70.259
COINLong80.256
CMELong90.252
ACNLong100.247
AMATShort1-0.456
KLACShort2-0.420
MRNAShort3-0.388
HUMShort4-0.327
TECHShort5-0.316
GLWShort6-0.315
AXONShort7-0.302
MOHShort8-0.291
PANWShort9-0.277
CRLShort10-0.265
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