backtests
The TSX isn't the S&P 500. Energy companies, banks, and miners dominate Canada's index. They trade cyclically. When commodity prices fall, quality resource stocks hit 52-week lows. When the cycle turns, they recover. This backtest ran from 2002 to 2025 to see whether a
value investing
We screened JPX for stocks with P/S below 1 and quality margin filters, then ran 25 years of backtests. The strategy returned 7.71% annually, beating the Nikkei 225 by 4.31 percentage points, with a Sharpe ratio of 0.379 that ranks third globally after Sweden and the US.
pairs trading
We ran a full active z-score pairs trading backtest on US large caps (NYSE+NASDAQ+AMEX) from 2005 to 2024. 86.6% of signals converged. The strategy returned -1.22% CAGR anyway. Here is why convergence rate is a misleading metric.
pairs-trading
With 5 pairs, the strategy returned +11.80% annually on Indian stocks — beating SPY. With 20 pairs, it dropped to +6.45%. India is the one market where selective pairs trading generates alpha, but only if you know when to stop adding pairs.
pairs trading
We tested active z-score pairs trading on 7 major exchanges from 2005 to 2024. Convergence rates ranged from 77% to 87%. Every exchange returned negative CAGR. The same mechanism that fails in the US fails identically in Japan, UK, Germany, Hong Kong, Taiwan, and Canada.
pairs trading
We ran the same correlation-based pairs trading strategy on 11 exchanges from 2005 to 2024. No exchange beat its local benchmark. But the differences in why they failed, and by how much, reveal real structure in each market.
pairs trading
Japan ran active pairs in 19 out of 20 years, more than any other exchange tested. 0.61% CAGR, beta 0.062, +38.77% excess vs Nikkei in 2008. But the Sharpe of +0.131 only looks positive because Japan's risk-free rate is 0.1%. At a 2% rate, it's -0.35.
pairs-trading
We ran a multi-pair portfolio construction backtest on US stocks from 2005 to 2024. Adding more pairs made returns worse, not better. Transaction costs erode marginal convergence gains, and the best configuration still lost 0.43% annually.
pairs trading
We tested 2,579 highly correlated US stock pairs for cointegration. Only 516 passed (20.0%). Utilities led at 31.4%. Here's the Engle-Granger method, sector breakdown, and the counterintuitive finding: lower correlation predicts higher pass rate.
momentum investing
We ran pure 12-month price momentum (no quality filters) on US stocks from 2000 to 2025. The strategy returned 7.15% annually vs 7.77% for SPY, with 159% down capture and a -66% max drawdown. Small CAGR gap, much worse risk profile.
pairs trading
We ran the same pairs trading strategy on 12 stock exchanges from 2005 to 2024. Every single market generated near-zero or negative nominal returns. The academic consensus (Do & Faff 2010) that pairs trading profitability declined post-2002 holds globally, not just in the US.
backtests
We ran the Graham Number screen on XETRA for 25 years. 8.21% CAGR vs 4.45% DAX, a +3.77% annual excess. Beta 1.00 vs the DAX, up capture 125.4%, down capture 79.8%, and alpha +3.77%. A genuine value edge over the local benchmark.