MOCKUP — synthetic data

# v0.12 · Momentum Backtest

Cross-sectional momentum on S&P 100: does nanobook match vectorbt?

12.4%
Annualized return
1.42
Sharpe ratio
-14.2%
Max drawdown
87%
Monthly turnover

Cross-sectional momentum strategy (12-month lookback, top/bottom decile, equal-weight, monthly rebal) on S&P 100 constituents. This mockup validates nanobook's backtest engine against vectorbt as a reference implementation.

## Equity curve (parity check)

nanobook vs vectorbt equity curves over 5-year backtest. The two implementations should track closely — divergence indicates cost modeling or execution timing differences.

✓ PARITY PASS — Final equity difference: 0.23% ($2,300 on $1M)

## Drawdown

Peak-to-trough drawdown over the backtest period. Momentum strategies typically experience drawdowns during regime changes.

## Turnover by month

Monthly portfolio turnover (percentage of portfolio value traded). Momentum requires high turnover — expect 80-100% monthly as positions fully rotate each rebalance.

## Cost decomposition

Stacked bar chart of transaction costs by category: commission, slippage, and borrow costs. Commission dominates at $0.005/share; slippage modeled at 5 bps per leg.

Cost category | Annual cost | % of portfolio
--- | --- | ---
Commission | $4,200 | 0.42%
Slippage | $3,100 | 0.31%
Borrow costs | $1,800 | 0.18%
Total | $9,100 | 0.91%