Backtests · Walk-forward
Out-of-sample equity curves
Top-K rotation strategy benchmarked against the cap-weighted parent index. Both universes share identical scoring.
10bp tx-cost Monthly rebalance
Backtest · Top-K Equity Curve
Walk-forward · monthly rebalance · 10bp transaction cost
Run parameters
Locked for the live curve above
- UniverseTop-K by composite
- RebalanceMonthly · last trading day
- Costs10bp turnover · slippage modelled
- ConstraintsMax 8% / position · sector cap 30%
How this works
Engineering notes for the curve
Walk-forward only
Every monthly portfolio is built from data available at decision time. No look-ahead.
Composite ranking
Robust z-score across valuation, quality, growth, and contrarian sleeves; trap-aware penalties.
Monthly rebalance
Holds rotate at month-end. Names dropping below score-30 percentile are sold immediately.
Risk-aware
Position caps, sector caps, drawdown-trigger volatility scaling; no leverage by default.