Backtest
Walk-forward 2018 → 2025 · weekly rebalance · 10 bps round-trip
418 rebalances, 120-day rolling look-back, leftover cash parked in BIL. Numbers below are net of transaction costs.
Survivorship bias: today's S&P 500 membership.
ADMM drawdown
Ann. return
13.14%
Vol
21.91%
Sharpe
0.67
Sortino
0.95
Max DD
-38.00%
Tracking err
4.25%
Info ratio
-0.12
Turnover
10.6x
annualised
Cross-market summary
OOS R²
0.992
OOS TE
0.89%
OOS Sharpe
2.30
# stocks
6
Demo data — re-run with python -m sit.benchmarks.multi_index --indices sp500 for live numbers.
Head-to-head baselines
| Method | In-sample R² | OOS R² | OOS TE | Stocks | Fit (s) |
|---|---|---|---|---|---|
| admm | 0.980 | 0.982 | 1.72% | 20 | 1.93e-3 |
| fista | 0.980 | 0.982 | 1.72% | 20 | 7.46e-4 |
| lasso | 0.980 | 0.982 | 1.72% | 20 | 7.66e-4 |
| omp | 0.978 | 0.983 | 1.69% | 8 | 1.95e-4 |
| topn_cap | -1.413 | -1.002 | 17.97% | 8 | 2.12e-4 |
| equal_weight_topn | -0.872 | -0.835 | 17.12% | 8 | 8.00e-6 |
| random_equal_weight | 0.087 | 0.059 | 12.35% | 99 | 2.57e-4 |
8-regime stress test
Bear
COVID 2020
R²=0.963 · TE=1135.09%
ρ=0.992 · 44 stocks
Bear
2018 Q4 Selloff
R²=0.967 · TE=288.11%
ρ=0.988 · 72 stocks
Volatile
Rate Hikes 2022
R²=0.966 · TE=339.50%
ρ=0.989 · 62 stocks
Volatile
Volmageddon 2018
R²=0.973 · TE=259.26%
ρ=0.988 · 70 stocks
Bull
AI Bull 2023
R²=0.959 · TE=361.33%
ρ=0.985 · 49 stocks
Bull
Post-COVID 2021
R²=0.963 · TE=292.70%
ρ=0.984 · 51 stocks
Stable
Quiet 2024
R²=0.922 · TE=352.78%
ρ=0.979 · 65 stocks
Stable
Mid-2021 Calm
R²=0.944 · TE=268.45%
ρ=0.981 · 58 stocks