v0.12 · Momentum Backtest
Cross-sectional momentum on S&P 100: does nanobook match vectorbt?
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.
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% |