Look-ahead-free Spearman IC at every monthly rebalance on a 371-ticker US universe (2022-01-19 → 2026-03-23, monthly forward window). Every score uses only data that existed on the rebalance date — price bars from Yahoo, fundamentals from EDGAR XBRL filings filtered by their filed timestamp. |IC| above 0.03 is the band professional hedge funds operate in; the headline is the strongest composite produced by the engine. Individual factor names and exact composition are proprietary — the IC numbers are real and reproducible from the published universe.
| Factor | n | cross-sec IC | cross-sec Sharpe | sec-neutral IC | sec-neutral Sharpe | hit rate |
|---|---|---|---|---|---|---|
| Composite A | 37 | +0.0516 | +1.03 | +0.0466 | +1.42 | 67.6% |
| Composite B | 37 | +0.0345 | +0.87 | +0.0347 | +1.26 | 73.0% |
| Composite C | 37 | +0.0257 |
Snapshot generated 2026-04-29. Cross-sectional IC ranks every ticker against every other; sector-neutral IC demeans each factor within its sector first, isolating within-sector alpha from sector rotation. Citations: George & Hwang 2004 (momentum), Lehmann 1990 (reversal), Ang-Hodrick-Xing-Zhang 2006 (low-vol), Amihud 2002 (illiquidity), Cooper-Gulen-Schill 2008 (asset growth). Production engine combines these with insider, options, NLP, pharma, and macro factors not covered in this price-only XBRL snapshot.
How much the engine beats a coin flip after adjusting for risk. The single most-cited number in investing — higher means returns are more consistent relative to volatility.
<0.5 = weak · 0.5–1.0 = average · 1.0–2.0 = good (where professional hedge funds live) · >2.0 = stellar (Renaissance, Citadel territory).
Like Sharpe, but only penalises losses — upside volatility no longer counts as risk. Sortino is almost always higher than Sharpe for a decent strategy.
<0.7 = weak · 0.7–1.5 = average · 1.5–3.0 = good · >3.0 = stellar. A Sortino far above Sharpe means the strategy has positive skew (rare big wins).
Annual return divided by the worst drawdown. A brutal metric — a +30%/year strategy with a −50% drawdown earns Calmar 0.6 (not worth it). Institutional allocators look at this before Sharpe.
<0.5 = poor · 0.5–1.0 = average · 1.0–3.0 = good · >3.0 = trader-of-the-year tier.
Percentage of signals that came true. For BUY signals: share of cases where the price rose over the next 30 days. For SELL: share where it fell.
Each individual factor on its own — how well it predicts 30-day forward returns by itself. Useful for spotting which factor actually carries the signal in this universe.
The snapshot Sharpe above aggregates across the entire signal history. Walk-forwardbelow is the honest simulation: the engine rebalances a top-scoring, balanced-risk portfolio on a fixed monthly cadence using only data available on each rebalance date — no look-ahead bias. This is the number a quant fund cites when raising capital from limited partners.
Sharpe computed in honest simulation — the engine rebalances on a fixed cadence using only data available on each rebalance date. This is the number a quant fund cites when raising capital from limited partners.
Same scale as the snapshot Sharpe, but walk-forward always reads slightly lower. ≥ 0.7 walk-forward Sharpe is already an investable strategy. ≥ 1.0 is exceptional.
Annual compound return the strategy earned in walk-forward simulation. Realistic — no look-ahead bias.
S&P 500 long-term ≈ +10% / year. > +15% is meaningful alpha. > +25% is institutional-tier.
Deepest peak-to-trough loss on the simulated equity curve. If you had held the strategy from day one, this is how far you would have been underwater at the worst moment.
Not an investable portfolio. Each trading day the bullish names form an equal-weight basket, and that basket’s realised 30-day return is chained onto the day before. Those 30-day holds overlap almost completely, so the same month of performance is counted many times over and the total grows far faster than a funded account could. Read it as signal quality aggregated over time, not as money made.
Reconstructs the engine on 1000 tickers across the 2021-05-14 → 2026-08-07 window (90 rebalance dates, 30-day forward returns). Different from the live track-record above — that reads our daily signal_history since 2026-04-09; this one reconstructs what the engine WOULD have published on every rebalance date across that window using only data available at the as-of moment. No look-ahead.
| +0.54 |
| +0.0327 |
| +1.14 |
| 62.2% |
| Factor I | 37 | +0.0390 | +0.89 | +0.0276 | +0.71 | 64.9% |
| Factor II | 37 | −0.0238 | −0.75 | +0.0059 | +0.28 | 45.9% |
| Factor III | 48 | −0.0249 | −0.56 | −0.0096 | −0.30 | 39.6% |
| Factor IV | 46 | −0.0209 | −0.50 | +0.0031 | +0.12 | 34.8% |
| Factor V | 37 | +0.0100 | +0.27 | +0.0048 | +0.27 | 56.8% |
| Factor VI | 37 | −0.0079 | −0.21 | +0.0069 | +0.27 | 45.9% |
| Factor VII | 46 | +0.0157 | +0.21 | +0.0206 | +0.38 | 52.2% |
| Factor VIII | 47 | +0.0013 | +0.02 | +0.0002 | +0.01 | 57.4% |
Correlation between what the engine predicted and what actually happened. 0 = guessing like a coin flip; higher means the score has stronger measured rank-correlation with future returns in this sample.
0.00 = random · 0.03–0.05 = professional hedge fund · 0.05–0.10 = top-tier · >0.10 = phenomenal.
The worst peak-to-trough fall of that same basket series — the deepest stretch where the bullish set gave ground back. It measures the signal, not a portfolio: the series is not investable.
0 to −10% = very calm · −10 to −20% = normal for equity · −20 to −40% = painful · worse than −40% = brutal.
Each trading day the bullish names form an equal-weight basket; that basket's realised 30-day return is chained onto the day before. The 30-day holds overlap almost completely, so the same month of performance is counted many times over.
Not comparable to buy-and-hold: no fixed capital, no position limit, no costs. Read it as signal quality aggregated over time, not as money made.
50% = coin flip · 55–60% = real edge · 60–70% = stellar · >70% = suspicious (likely overfit).
IC > 0.05 on a single factor = real signal · IC < 0.02 = noise · negative IC = factor works in reverse, invert the sign.
0 to −15% = excellent · −15 to −25% = ok for an equity strategy · −25 to −40% = painful · worse = red flag.