A VERY NOVEL Statistical Arbitrage Technique (That Works)

Jan 20, 2026

∙ Paid

Introduction

Traditional mean reversion signal yields negative returns under the same cost assumptions since 2010.

Rank-space mean reversion signal delivers 35% annual returns with a 3 Sharpe ratio on US equities, after 2bps transaction costs.

What the hell is rank-space mean reversion? You are about to find out!