Fundamental
Book-to-price proxy from yfinance (1 / priceToBook): long cheaper equities and short expensive equities.
Annual Return
-12.93%
Sharpe
-1.279
Max Drawdown
-56.42%
Win Rate
+38.89%
Annual Volatility
+10.11%
Cumulative Return
-56.43%
Rebalance Periods
72
Avg Long / Short Basket
98.4 / 98.4
Minimum symbols required: 35 | Feasibility note: Implemented successfully.
As of: 2026-04-30
Top Longs
BRK-B: 1063.469, ARE: 1.968, MOS: 1.607, KHC: 1.524, GPN: 1.375, MHK: 1.297, TAP: 1.250, CAG: 1.205, EG: 1.081, KMX: 1.044
Top Shorts
DPZ: -0.360, SBAC: -0.209, OTIS: -0.179, YUM: -0.169, TDG: -0.132, VRSN: -0.088, HLT: -0.080, LOW: -0.076, FICO: -0.072, SBUX: -0.069
Long count
10
Short count
10
Avg long score
107.582
Avg short score
-0.143
| Symbol | Side | Rank | Score |
|---|---|---|---|
| BRK-B | Long | 1 | 1063.469 |
| ARE | Long | 2 | 1.968 |
| MOS | Long | 3 | 1.607 |
| KHC | Long | 4 | 1.524 |
| GPN | Long | 5 | 1.375 |
| MHK | Long | 6 | 1.297 |
| TAP | Long | 7 | 1.250 |
| CAG | Long | 8 | 1.205 |
| EG | Long | 9 | 1.081 |
| KMX | Long | 10 | 1.044 |
| DPZ | Short | 1 | -0.360 |
| SBAC | Short | 2 | -0.209 |
| OTIS | Short | 3 | -0.179 |
| YUM | Short | 4 | -0.169 |
| TDG | Short | 5 | -0.132 |
| VRSN | Short | 6 | -0.088 |
| HLT | Short | 7 | -0.080 |
| LOW | Short | 8 | -0.076 |
| FICO | Short | 9 | -0.072 |
| SBUX | Short | 10 | -0.069 |
