Pre-registered 2026-09-09. Source: SEC EDGAR companyfacts (FY2009+, 10-K, latest-filed wins), June-t formation on FYE t-1 frozen 12m. Accruals ex-TP (IncomeTaxesPayable coverage = 0 in XBRL — disclosed variant). Ex-financials (SIC 6xxx). Winsorized 1/99 per formation. Long-only top-10, hold=21, next-open, 10bps, sqrt(252). Split 2016-01-01 (IS 2010-2015 short — noted). Look-ahead guard PASS. Survivorship note: today's liquid-101 universe (same caveat as the production momentum spec).
| Arm | OOS elig | OOS Ret | OOS Sharpe | OOS MaxDD | Turn/yr | CorrMkt | ResidSh | CorrMom | boot-p | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|
| Q1 asset-growth | 80 | +376.32% | 0.87 | -38.21% | 1.15 | 0.91 | -0.22 | 0.65 | 0.0030 | REJECT |
| Q2 gross-profit | 74 | +300.57% | 0.82 | -29.19% | 0.34 | 0.88 | -0.25 | 0.65 | 0.0042 | REJECT |
| Q3 accruals | 59 | +446.85% | 0.99 | -27.57% | 1.17 | 0.91 | 0.05 | 0.68 | 0.0012 | PASS |
IS (2010-2015, short) reference
| Arm | IS Ret | IS Sharpe | IS MaxDD |
|---|---|---|---|
| Q1 asset-growth | +91.78% | 0.67 | -21.75% |
| Q2 gross-profit | +178.72% | 1.03 | -15.35% |
| Q3 accruals | +109.56% | 0.80 | -14.43% |
SPY OOS reference: ret +349.45%, Sharpe 0.89, maxDD -33.72%.
PASS bar (pre-registered): OOS Sharpe >= 0.50 AND bootstrap p < 0.05 AND residual Sharpe vs market > 0. Bonferroni ~= 0.017 for 3 tests noted. Correlation to price momentum reported for diversifier read.
Verdicts (2026-09-09) — deep-read, not just the gate
- Q1 asset-growth — REJECT (beta). Significant standalone (0.87, p=0.003) but resid -0.22, corrMkt 0.91: textbook Round-2 beta in disguise. The anomaly's long-short alpha does not survive as a long-only book on liquid large-caps. Costs immaterial (turn 1.15/yr).
- Q2 gross-profit — REJECT (beta). Same story (0.82, p=0.004, resid -0.25, corrMkt 0.88) plus IS→OOS decay (1.03→0.82). Costs immaterial (0.34/yr).
- Q3 accruals — MARGINAL (significant but not independent). Passes the letter of the bar (0.99, p=0.0012 — survives Bonferroni — resid +0.05, IS 0.80 consistent, positive in 10/11 OOS years, only 2022 negative at -4.3%, maxDD -27.6% vs SPY -33.7%). But +0.05 residual at corrMkt 0.91 is economically ~zero: this is beta-plus, not a sleeve. NO promotion, no live change. The honest upgrade path is a NEW hypothesis, not a sleeve: accruals as a TILT inside momentum selection (prefer low-accrual winners) — queued, pre-registration required, must beat BASE_live 1.29 on the 101 harness.
- Infrastructure win (the durable output):
scripts/fetch_edgar_fundamentals.pydata/fundamentals/(99 tickers, FY2009+, PIT-safe filings) is now a source library likedata/alpaca/. It unlocks what price data cannot: full QMJ (6y growth chains now feasible — formations from ~2015), Piotroski, buyback/issuance. Next-fundamental ideas must clear the same beta bar that killed Q1/Q2.
Ledger: no live-code change. Live eqmom stands; E1p fallback stands; Study-5 E3 stays valid for raw-ranked books only.