Halcyon Mean-Reversion
Short-horizon reversion in large-cap equities, long the overdone losers and short the overdone winners.
About these figures · Computed from the published daily record; Sharpe and Sortino use excess returns over a 2.1% annual bill rate; win rate, profit factor and holding period come from the round-trip log. Ratios are suppressed below one month of observations.
Exact figures, drawdown analytics, the signal log and the mandate replay require an account.
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How this strategy works
Halcyon trades the tendency of large-cap stocks to retrace short-term overreactions. Candidates are ranked by a blend of 3- to 5-day residual return against sector peers, with liquidity and earnings-window filters; the book holds 20 to 60 names, roughly dollar-neutral by sector. Positions are closed on reversion or after four sessions, whichever comes first. The reference book targets 6% annualized volatility. Costs are modeled at 2 basis points per side plus borrow on shorts. The strategy degrades in fast one-way markets, which is visible in the August 2024 degrossing episode — that month is left in the record deliberately.