Value (Book-to-Price Proxy)

← strategies

Fundamental

Book-to-price proxy from yfinance (1 / priceToBook): long cheaper equities and short expensive equities.

Performance Summary

Annual Return

-11.86%

Sharpe

-1.180

Max Drawdown

-56.08%

Win Rate

+38.89%

Annual Volatility

+10.05%

Cumulative Return

-53.13%

Rebalance Periods

72

Avg Long / Short Basket

98.3 / 98.3

Methodology

  • Load or fetch yfinance fundamental fields for the fetched US equity universe.
  • Use inverse price-to-book as a cross-sectional value score.
  • Long top quintile and short bottom quintile monthly.

Minimum symbols required: 35 | 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

BRK-B: 1029.841, ARE: 1.835, MOS: 1.678, KHC: 1.366, TAP: 1.308, MHK: 1.229, GPN: 1.118, LEN: 1.070, CMCSA: 1.037, CHTR: 1.014

Top Shorts

DPZ: -0.362, SBAC: -0.241, OTIS: -0.201, YUM: -0.179, TDG: -0.135, VRSN: -0.087, HLT: -0.081, LOW: -0.079, HCA: -0.076, FICO: -0.072

Individual Stock Stats (Latest Signal)

Long count

10

Short count

10

Avg long score

104.150

Avg short score

-0.151

Strongest long score: 1029.841 | Most negative short score: -0.362
SymbolSideRankScore
BRK-BLong11029.841
ARELong21.835
MOSLong31.678
KHCLong41.366
TAPLong51.308
MHKLong61.229
GPNLong71.118
LENLong81.070
CMCSALong91.037
CHTRLong101.014
DPZShort1-0.362
SBACShort2-0.241
OTISShort3-0.201
YUMShort4-0.179
TDGShort5-0.135
VRSNShort6-0.087
HLTShort7-0.081
LOWShort8-0.079
HCAShort9-0.076
FICOShort10-0.072
QuantifiedTrader logoQuantifiedTrader

Independent quantitative research on trading methods, backtesting, and market analytics.

Research disclaimer

QuantifiedTrader is operated by an independent quantitative research group. We study, document, and compare different methods of trading, portfolio construction, risk management, and investment analysis. Our work is exploratory and academic in nature—we build tools, run backtests, and publish findings to advance understanding, not to promote any particular strategy or product.

Not investment advice. Nothing on this website constitutes investment, trading, financial, tax, legal, or other professional advice. We do not recommend, endorse, or solicit the purchase or sale of any security, derivative, or financial instrument, nor do we suggest that any strategy, model, or result presented here is suitable for any individual or institution. Any examples, simulations, or performance figures are illustrative research outputs only.

No client or advisory relationship. We do not provide investment advisory, brokerage, portfolio-management, custody, or asset-management services to any person or entity. Browsing this site, using our tools, or contacting us does not create a client, fiduciary, or advisory relationship. We do not manage money on behalf of third parties and do not act as agents for any financial institution.

Research & education only. Content, datasets, backtests, charts, code, and software made available here are for informational and educational research. Materials may be incomplete, simulated, hypothetical, or derived from third-party sources that we do not control. Past performance, backtested results, and historical analyses are not indicative of future results. Market conditions change; models may fail; assumptions may be wrong. You are solely responsible for evaluating any information and for all decisions you make.

No responsibility or liability. To the fullest extent permitted by applicable law, QuantifiedTrader and its contributors disclaim all responsibility and liability for any loss, damage, cost, or expense—direct or indirect—arising from access to, use of, or reliance on this website, its content, or its tools. All materials are provided “as is” and “as available,” without warranties of any kind, whether express or implied, including but not limited to accuracy, completeness, fitness for a particular purpose, or non-infringement.

Non-commercial research sharing. This site does not aim to profit from the knowledge, tools, or datasets published here. Materials are shared for non-commercial research and learning, subject to applicable open-source or site terms where noted. We are a research collective, not a commercial product or service provider.

Contact. For questions about this notice, the site, or published research materials, contact support@quantedx.com. Correspondence is for administrative and research purposes only and does not constitute advice or create any professional obligation on our part.

© 2026 QuantifiedTrader. All rights reserved.