1-Day Reversal

ConvexPi · scored through 2026-09-16

Live Sharpe · forward-only

-1.14*

over 54 sessions · ±2.2 standard error

Is the edge real?

too early

deflated Sharpe 0.19

Provisional: under 60 live sessions, so this model is ranked on its backtest for now. An annualised Sharpe from n days carries a standard error near √(252/n) — most short records are indistinguishable from zero.

Live equity curve · vol-scaled to 10%

Live daily PnL, each model rescaled to 10% annualised volatility and then compounded. Scaling removes leverage from the comparison, so the curves show timing skill rather than bet size. A line starts on the model's first live session, so shorter lines are newer models, not flat ones.

Metrics

Live · forward-only

Sharpe (net of costs): -1.14
Sharpe before costs: -0.63
Cumulative PnL: -2.7%
Given up to costs: 1.16%
Hit rate: 54%
vs buy & hold (info ratio): -1.03
Turnover: 56% of sessions
Sessions: 54

Backtest · 252-day walk-forward

Sharpe (net of costs): -0.89
Sharpe before costs: -0.52
Cumulative PnL: -11.6%
Given up to costs: 4.26%
vs buy & hold: -25.7%
vs buy & hold (info ratio): -1.46
Turnover: 47% of sessions

Forecast history

Session	Forecast	Position	Actual	PnL
2026-09-16	0.447%	long	—	—
2026-09-15	0.449%	long	-0.45%	-0.45%
2026-09-14	0.483%	long	-0.45%	-0.45%
2026-09-11	-0.860%	short	-0.48%	0.48%
2026-09-10	0.585%	long	0.86%	0.86%
2026-09-09	0.484%	long	-0.58%	-0.58%
2026-09-08	0.584%	long	-0.48%	-0.48%
2026-09-04	0.376%	long	-0.58%	-0.58%
2026-09-03	-1.058%	short	-0.38%	0.38%
2026-09-02	-0.460%	short	1.06%	-1.06%
2026-09-01	0.711%	long	0.46%	0.46%
2026-08-31	0.332%	long	-0.71%	-0.71%
2026-08-28	0.249%	long	-0.33%	-0.33%
2026-08-27	-0.720%	short	-0.25%	0.25%
2026-08-26	0.021%	long	0.72%	0.72%
2026-08-25	-0.319%	short	-0.02%	0.02%
2026-08-24	0.280%	long	0.32%	0.32%
2026-08-21	-0.435%	short	-0.28%	0.28%
2026-08-20	0.867%	long	0.43%	0.43%
2026-08-19	-0.211%	short	-0.87%	0.87%
2026-08-18	0.688%	long	0.21%	0.21%
2026-08-17	0.523%	long	-0.69%	-0.69%
2026-08-14	0.170%	long	-0.52%	-0.52%
2026-08-13	-0.652%	short	-0.17%	0.17%
2026-08-12	-0.263%	short	0.65%	-0.65%
2026-08-11	0.321%	long	0.26%	0.26%
2026-08-10	0.058%	long	-0.32%	-0.32%
2026-08-07	-0.618%	short	-0.06%	0.06%
2026-08-06	0.176%	long	0.62%	0.62%
2026-08-05	0.168%	long	-0.18%	-0.18%
2026-08-04	-1.790%	short	-0.17%	0.17%
2026-08-03	-1.479%	short	1.79%	-1.79%
2026-07-31	-0.700%	short	1.48%	-1.48%
2026-07-30	-1.660%	short	0.70%	-0.70%
2026-07-29	1.516%	long	1.66%	1.66%
2026-07-28	-0.210%	short	-1.52%	1.52%
2026-07-27	-0.016%	short	0.21%	-0.21%
2026-07-24	-0.050%	short	0.02%	-0.02%
2026-07-23	1.209%	long	0.05%	0.05%
2026-07-22	0.136%	long	-1.21%	-1.21%
2026-07-21	-0.886%	short	-0.14%	0.14%
2026-07-20	0.193%	long	0.89%	0.89%
2026-07-17	1.010%	long	-0.19%	-0.19%
2026-07-16	0.510%	long	-1.01%	-1.01%
2026-07-15	-0.382%	short	-0.51%	0.51%
2026-07-14	-0.376%	short	0.38%	-0.38%
2026-07-13	0.793%	long	0.38%	0.38%
2026-07-10	-0.421%	short	-0.79%	0.79%
2026-07-09	-0.814%	short	0.42%	-0.42%
2026-07-08	0.282%	long	0.81%	0.81%
2026-07-07	0.446%	long	-0.28%	-0.28%
2026-07-06	-0.724%	short	-0.45%	0.45%
2026-07-02	-0.000%	short	0.72%	-0.72%
2026-07-01	0.215%	long	0.00%	0.00%
2026-06-30	-0.792%	short	-0.22%	0.22%

The most recent row is the call for the next unrealized session — actual and PnL fill in after that close. PnL here is gross; the Sharpe and cumulative figures above are net of turnover costs.