Enhanced Mean Reversion
mean_reversion_enhancedBasket-based mean reversion signal diversified across time frames and transformations with enhanced conditioning for robustness.
How the factor is constructed
Enhanced Mean Reversion combines diversified mean reversion transformations across multiple time frames, with enhanced conditioning to improve robustness.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Enhanced Mean Reversion
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -1.67% | +24.10% | — | — | -2.6% |
| 3 months | +0.82% | +17.86% | — | — | -2.6% |
| Year to date | -5.29% | -11.92% | — | — | -7.2% |
| 1 year | -14.13% | -32.28% | 9.8% | -1.47 | -15.3% |
| Since inception (CAGR) | +15.85% | +42.73% | 8.7% | 1.74 | -15.3% |
Putting Enhanced Mean Reversion to work
There are two ways to take Enhanced Mean Reversion from factsheet to live book: overlay it as a sleeve on the portfolio you already run, or use it as a building block in a standalone multi-factor portfolio. Both paths are documented in short, runnable notebooks that work out of the box against the public demo key — no signup required.
Add Enhanced Mean Reversion to an existing portfolio
Size a Enhanced Mean Reversion sleeve alongside your current book and quantify what it changes: correlation to your existing returns, then CAGR, volatility, Sharpe and maximum drawdown before and after the blend. One parameterized notebook runs for any factor — swap in Enhanced Mean Reversion, then bring your own daily returns as a CSV or start from the built-in demo book.
Build a portfolio from scratch
Construct a market-neutral multi-factor portfolio from the ground up: ensemble the raw signals, apply inverse-volatility weights with a per-asset cap, and backtest net of transaction costs. The default factor list reconstructs the 7 Factor Composite — Enhanced Mean Reversion is one of its seven constituents, so its contribution is in the blend from the first run.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.