Built on validation/framework (lag>=1, next-open, dead-stock safe). Fixed IS/OOS 2016-01-01, bootstrap p<0.05 to PASS. Long-only cross-sectional factors use top 10% (decile).
Cross-sectional equity factors (full delisting-inclusive book)
| Factor | Param | IS | OOS Gross | OOS p | OOS Net@10 | Verdict |
|---|
| STReversal(-5d) | H=21 | 0.73 | 1.17 | 0.000 | 1.06 | PASS |
| STReversal(-10d) | H=21 | 0.63 | 1.11 | 0.000 | 1.01 | PASS |
| STReversal(-20d) | H=21 | 0.76 | 1.11 | 0.001 | 1.01 | PASS |
| LowVol(-std60) | H=21 | 0.76 | 1.14 | 0.001 | 1.08 | PASS |
| LowVol(-std120) | H=21 | 0.77 | 0.99 | 0.003 | 0.96 | PASS |
| LiqTrend(rise60) | H=21 | 0.85 | 1.35 | 0.000 | 1.25 | PASS |
Single / dual-asset anomalies
| Factor | Asset | IS | OOS | OOS p | Net@10 | Verdict |
|---|
| Overnight | SPY Overnight-only | 0.08 | 0.58 | 0.160 | 0.58 | REJECT |
| Overnight | SPY Buy&Hold | 1.10 | 0.73 | 0.117 | 0.73 | REJECT |
| TurnOfMonth | SPY | 1.13 | 0.12 | 0.425 | 0.12 | REJECT |
| Pairs(SPY~QQQ) | z<-2/>2 | 1.07 | 0.12 | 0.427 | 0.12 | REJECT |
Guards
- assert_no_lookahead on cross-sectional net builder: PASS (no future-data leak).
- all signals shifted by lag>=1; next-open fills; dead stocks excluded via live mask.