Data Science Project by Liia Khatkova & Aleksandras Varec
Portfolio Dashboard · ML-driven momentum rebalancing · 25 US equities
Overview
Equity Curves
Weights
Drawdown
Assets
Performance
Best Strategy
Semiannual
Sharpe 1.18
Best Cum. Return
3.5×
Ann. 33.5%
Best Sharpe
1.18
Risk-adjusted return
Best Max Drawdown
-27.9%
Least drawdown strategy
Universe
25
US large-cap equities
Period
2021–2026
Backtest window
Quarterly
4/5 wins
Cumulative Return, Annualized Return…
Semiannual
3/5 wins
Cumulative Return, Annualized Return…
Annual
3/5 wins
Cumulative Return, Annualized Return…
Full Metrics Table — Dynamic vs Buy & Hold
FrequencyMetric Dynamic Buy & Hold Difference Winner
Quarterly Cumulative Return 384.0% 183.3% +200.7% Dynamic ✓
Quarterly Annualized Return 37.1% 23.2% +13.9% Dynamic ✓
Quarterly Ann. Volatility 28.3% 20.3% +8.0% Buy&Hold ✓
Quarterly Return/Vol Efficiency 1.311 1.142 +0.168 Dynamic ✓
Quarterly Max Drawdown -27.9% -29.2% +1.3% Dynamic ✓
Semiannual Cumulative Return 345.1% 183.3% +161.8% Dynamic ✓
Semiannual Annualized Return 34.8% 23.2% +11.6% Dynamic ✓
Semiannual Ann. Volatility 25.0% 20.3% +4.7% Buy&Hold ✓
Semiannual Return/Vol Efficiency 1.393 1.142 +0.250 Dynamic ✓
Semiannual Max Drawdown -31.0% -29.2% -1.8% Buy&Hold ✓
Annual Cumulative Return 348.7% 183.3% +165.4% Dynamic ✓
Annual Annualized Return 35.0% 23.2% +11.9% Dynamic ✓
Annual Ann. Volatility 25.3% 20.3% +5.0% Buy&Hold ✓
Annual Return/Vol Efficiency 1.386 1.142 +0.244 Dynamic ✓
Annual Max Drawdown -33.6% -29.2% -4.4% Buy&Hold ✓