Tonight we’re dropping SQL of the Week #005 - the final part of the derivatives series.
Just got the 10-year backtest for the Taker Buy/Sell Aggression Index 3,612 days: Strong Long (z = 1.5…2.5) → +11.1% average 30D return, 67.7% win rate, 1.48 Sharpe.
Not bad for a single z-score factor.
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Tonight we’re dropping SQL of the Week #005 - the final part of the derivatives series.
Just got the 10-year backtest for the Taker Buy/Sell Aggression Index 3,612 days:
Strong Long (z = 1.5…2.5) → +11.1% average 30D return, 67.7% win rate, 1.48 Sharpe.
Not bad for a single z-score factor.