Model-free Analysis of Dynamic Trading Strategies
Short-term reversal, studied by Ananova, Cont and Xu in 2025. The abstract mentions profits and drawdowns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“This decomposition is useful for the scenario analysis of dynamic trading strategies, leading to simple expressions for the number of trades, realized profit, maximum loss, and drawdown.”
StrategyShort-term reversalpairs trading
FrequencyIntraday
ClaimProfitdrawdown
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodShort-term reversal by year
FamilyShort-term reversal17Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 985
AssetEquities12
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| A Hybrid Momentum-contrarian Portfolio Strategy: Evidence from U.S. Equity Indices (2004-2024) by Hoseini | 2026 | ||||
| Reversal Anomaly in a Retail-Dominated Market and a Forward Bias Audit of Public Financial Data: Empirical Evidence and Methodological Contributions from the Beijing Stock Exchange by Zhang | 2026 | ||||
| Volume Profile Mean Reversion Strategy with Tape Speed Confirmation for Cryptocurrency Futures Markets A 5-Year Backtest Study on SOL/USDT Perpetual Contracts by Perera | 2026 | ||||
| Short-term Reversal in Chinese A-Shares: Statistical Predictability, Economic Tradability, and Multiple Testing by Fang and Wang | 2026 | ||||
| Impact of Quantitative Trading Strategies on Portfolio Performance during Market Volatility: Evidence from Indian Markets by Srivastava | 2026 |