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"Equity-state edge research -- Phase 1 (univariate)"

2026-10-04

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Generated 2026-10-04 | PIT-S&P 500 panel 2006-08-14..2026-08-12 | 39 features x 14 targets = 546 tests | BH-FDR q<0.05: 128

Method: trailing daily features; forward target aggregates; rank-IC; effective-n (Newey-West lag 21) p; Benjamini-Hochberg across all 546 tests; partial IC controls trailing SPY 21d return + vol; labels ** robust (q<0.05, IS/OOS sign-stable, |OOS IC|>=0.05), * weak-but-significant.

#Table A -- OOS rank-IC: feature x target

featurespy_fwd1spy_fwd5spy_fwd21spy_vol_fwd5spy_vol_fwd21momls_fwd21eqmom_fwd21flagship_fwd21
breadth_sma20-0.04*-0.06**-0.12-0.33**-0.26**+0.02-0.09-0.13
breadth_sma50-0.05*-0.10**-0.18**-0.40**-0.32**+0.08-0.13-0.17*
breadth_sma200-0.04-0.11*-0.20*-0.48**-0.43**+0.07-0.17-0.18
adv_pct-0.03*-0.03-0.02-0.12*-0.09-0.00-0.02-0.03
dec_pct+0.03*+0.03+0.02+0.12*+0.10+0.00+0.03+0.03
ad_ratio-0.03*-0.03-0.02-0.12*-0.09-0.00-0.02-0.03
newhigh_20d-0.06**-0.09**-0.13-0.37**-0.30**+0.03-0.09-0.11
newlow_20d+0.01+0.00+0.00+0.15**+0.11+0.03+0.02+0.04
newhigh_52w-0.08**-0.14**-0.20**-0.44**-0.38**+0.01-0.18-0.17*
newlow_52w-0.00-0.01+0.00+0.25**+0.20**-0.05-0.00+0.07
hl_spread_52w-0.06**-0.12**-0.18**-0.46**-0.39**+0.03-0.16-0.18*
pct_pos_5d-0.04*-0.06**-0.06-0.21**-0.17**+0.02-0.03-0.07
pct_pos_20d-0.03*-0.06-0.15*-0.32**-0.25**+0.06-0.11-0.16*
breadth50_chg5-0.01-0.01-0.00-0.15**-0.12*-0.02+0.01-0.01
breadth50_chg20-0.01-0.02-0.07-0.22**-0.17*+0.00-0.04-0.06
breadth200_chg20-0.01-0.03-0.10-0.28**-0.21**+0.09-0.04-0.12
breadth50_z-0.04*-0.08**-0.14*-0.34**-0.28**+0.09-0.08-0.12
breadth50_pct-0.04*-0.07**-0.14*-0.35**-0.29**+0.08-0.07-0.12
disp1+0.02+0.06+0.09+0.35**+0.39**+0.01+0.14+0.15
disp5+0.03+0.06+0.12+0.35**+0.38**+0.03+0.17+0.17*
disp20+0.03+0.07+0.13+0.32**+0.34**+0.03+0.15+0.17*
sector_disp+0.02+0.06+0.08+0.34**+0.35**-0.04+0.08+0.12
resid_disp+0.02+0.06+0.09+0.34**+0.37**+0.02+0.14+0.14
resid_sector_disp+0.02+0.05+0.09+0.34**+0.38**+0.03+0.15+0.14
avg_corr20+0.04*+0.10**+0.23**+0.42**+0.38**-0.14**+0.15+0.22*
avg_corr60+0.03+0.09**+0.20*+0.37**+0.35**-0.18*+0.11+0.11
corr_spy20+0.03+0.09*+0.22**+0.35**+0.30**-0.17**+0.12+0.19
corr_spy60+0.02+0.08*+0.19*+0.30**+0.27**-0.21**+0.09+0.09
sector_corr60+0.03+0.10**+0.21**+0.36**+0.33**-0.18*+0.11+0.10
spy_minus_ew-0.02-0.03-0.03-0.05-0.02-0.02-0.02-0.02
top5_dvwt-0.01-0.01-0.02+0.24+0.31**+0.09+0.00+0.00
top10_dvwt-0.00-0.00-0.03+0.25**+0.31**+0.09+0.01+0.01
hhi_dv-0.01-0.01-0.02+0.23*+0.30**+0.09+0.00+0.00
top5_contrib-0.03*-0.02-0.02-0.01+0.05+0.01+0.01+0.00
pct_sectors_pos-0.02*-0.02-0.02-0.12*-0.09-0.00-0.02-0.02
pct_sectors_beat_spy+0.02+0.02+0.02+0.06+0.04+0.01+0.02+0.02
top_sector_excess+0.01+0.02+0.06+0.30**+0.31**-0.02+0.06+0.09
sector_hhi+0.00+0.01+0.03+0.03+0.04+0.00+0.04+0.03
sector_lead_persist-0.02+0.02+0.02-0.00-0.01-0.03+0.00+0.02

#Strongest findings (INTERESTING status)

featuretargetIC fullIC OOSpartial ICqCI95perm p
breadth_sma200spy_vol_fwd5-0.445-0.479-0.1673.53e-16[-0.53,-0.38]0.000
hl_spread_52wspy_vol_fwd5-0.485-0.463-0.2641.55e-19[-0.54,-0.44]0.000
newhigh_52wspy_vol_fwd5-0.452-0.445-0.2311.33e-16[-0.53,-0.40]0.000
breadth_sma200spy_vol_fwd21-0.409-0.429-0.1451.77e-10[-0.50,-0.32]0.000
avg_corr20spy_vol_fwd5+0.432+0.420-0.1153.43e-15[+0.37,+0.49]0.000
top10_dvwteqmom_vol_fwd21+0.341+0.420+0.3241.77e-07[+0.25,+0.41]0.000
resid_sector_dispeqmom_vol_fwd21+0.286+0.413+0.2212.42e-05[+0.19,+0.37]0.000
resid_dispeqmom_vol_fwd21+0.281+0.409+0.2263.68e-05[+0.19,+0.36]0.000
disp1eqmom_vol_fwd21+0.293+0.408+0.2261.5e-05[+0.20,+0.37]0.000
avg_corr20flagship_vol_fwd21+0.210+0.403-0.1130.00548[+0.07,+0.31]0.000
disp5flagship_vol_fwd21+0.257+0.403+0.1160.00034[+0.16,+0.34]0.000
disp1flagship_vol_fwd21+0.260+0.402+0.1280.000272--
breadth_sma50spy_vol_fwd5-0.410-0.401-0.1211.4e-13--
top5_dvwteqmom_vol_fwd21+0.323+0.397+0.3121.03e-06--
resid_sector_dispflagship_vol_fwd21+0.245+0.395+0.1140.000731--
hhi_dveqmom_vol_fwd21+0.306+0.395+0.2944.58e-06--
disp5eqmom_vol_fwd21+0.289+0.394+0.2202.03e-05--
resid_dispflagship_vol_fwd21+0.249+0.394+0.1240.00058--
hl_spread_52wspy_vol_fwd21-0.418-0.393-0.2286.39e-11--
disp20eqmom_vol_fwd21+0.278+0.386+0.2244.78e-05--
disp1spy_vol_fwd21+0.431+0.386+0.2431.58e-11--
avg_corr20spy_vol_fwd21+0.403+0.383-0.1583.31e-10--
disp5spy_vol_fwd21+0.433+0.381+0.2391.21e-11--
newhigh_52wspy_vol_fwd21-0.383-0.377-0.1873.53e-09--
resid_sector_dispspy_vol_fwd21+0.416+0.376+0.2347.38e-11--

#Table C -- PIT-quintile forward strategy return (overlapping 21d sums)

Mean forward 21d return of the frozen sleeve by the feature's trailing (PIT, 3y-rank) quintile. Q1=lowest, Q5=highest.

featuretargetQ1Q2Q3Q4Q5Q5-Q1hit Q4/Q5hit Q1/Q2
avg_corr20spy_fwd5+0.001+0.002+0.003+0.004+0.004+0.00362%58%
avg_corr20spy_fwd21+0.005+0.010+0.012+0.008+0.017+0.01168%66%
avg_corr20momls_fwd21+0.000+0.006+0.004-0.010-0.022-0.02346%57%
avg_corr20eqmom_fwd21+0.011+0.019+0.024+0.015+0.016+0.00464%64%
avg_corr20flagship_fwd21+0.008+0.013+0.019+0.021+0.024+0.01660%61%
avg_corr60spy_fwd5+0.001+0.004+0.002+0.002+0.003+0.00260%61%
avg_corr60spy_fwd21+0.009+0.014+0.005+0.004+0.020+0.01167%70%
avg_corr60momls_fwd21+0.001+0.007+0.001-0.011-0.021-0.02245%56%
avg_corr60eqmom_fwd21+0.014+0.028+0.015+0.009+0.022+0.00865%67%
avg_corr60flagship_fwd21+0.013+0.017+0.014+0.016+0.025+0.01257%65%
breadth_sma200spy_fwd5+0.005+0.002+0.001+0.003+0.002-0.00362%61%
breadth_sma200spy_fwd21+0.020+0.011+0.003+0.012+0.010-0.01071%69%
breadth_sma200momls_fwd21-0.012-0.014+0.002+0.003+0.003+0.01555%48%
breadth_sma200eqmom_fwd21+0.025+0.018+0.006+0.019+0.020-0.00568%66%
breadth_sma200flagship_fwd21+0.029+0.017+0.008+0.018+0.014-0.01567%60%
breadth_sma50spy_fwd5+0.005+0.002+0.002+0.002+0.002-0.00361%60%
breadth_sma50spy_fwd21+0.023+0.007+0.005+0.008+0.009-0.01568%68%
breadth_sma50momls_fwd21-0.013-0.005-0.004-0.002+0.004+0.01754%51%
breadth_sma50eqmom_fwd21+0.028+0.012+0.012+0.014+0.019-0.00966%65%
breadth_sma50flagship_fwd21+0.029+0.018+0.013+0.011+0.010-0.01961%61%
corr_spy20spy_fwd5+0.002+0.002+0.003+0.003+0.004+0.00262%58%
corr_spy20spy_fwd21+0.006+0.010+0.012+0.008+0.017+0.01168%66%
corr_spy20momls_fwd21+0.002+0.007+0.002-0.005-0.030-0.03145%58%
corr_spy20eqmom_fwd21+0.013+0.019+0.024+0.018+0.013+0.00064%65%
corr_spy20flagship_fwd21+0.008+0.013+0.023+0.018+0.025+0.01759%61%
corr_spy60spy_fwd5+0.001+0.003+0.003+0.002+0.004+0.00261%60%
corr_spy60spy_fwd21+0.009+0.011+0.007+0.007+0.019+0.01067%69%
corr_spy60momls_fwd21+0.003+0.004+0.000-0.004-0.026-0.02945%56%
corr_spy60eqmom_fwd21+0.014+0.023+0.017+0.016+0.018+0.00366%66%
corr_spy60flagship_fwd21+0.013+0.016+0.017+0.013+0.026+0.01357%64%
disp20spy_fwd5+0.004+0.001+0.003+0.004+0.001-0.00259%61%
disp20spy_fwd21+0.011+0.007+0.017+0.015+0.005-0.00765%68%
disp20momls_fwd21-0.005-0.001+0.003+0.004-0.015-0.01053%49%
disp20eqmom_fwd21+0.015+0.011+0.024+0.027+0.010-0.00564%65%
disp20flagship_fwd21+0.013+0.008+0.019+0.022+0.019+0.00659%62%
disp5spy_fwd5+0.002+0.002+0.003+0.004+0.002-0.00159%61%
disp5spy_fwd21+0.011+0.011+0.013+0.011+0.007-0.00465%70%
disp5momls_fwd21-0.003-0.001+0.000+0.003-0.015-0.01253%50%
disp5eqmom_fwd21+0.017+0.014+0.018+0.021+0.014-0.00364%67%
disp5flagship_fwd21+0.013+0.009+0.016+0.019+0.023+0.00959%62%
hl_spread_52wspy_fwd5+0.006+0.003+0.002+0.002+0.001-0.00560%62%
hl_spread_52wspy_fwd21+0.016+0.010+0.013+0.008+0.005-0.01168%67%
hl_spread_52wmomls_fwd21-0.012-0.004-0.005+0.001-0.001+0.01153%53%
hl_spread_52weqmom_fwd21+0.022+0.019+0.018+0.014+0.011-0.01166%66%
hl_spread_52wflagship_fwd21+0.028+0.017+0.019+0.011+0.009-0.01960%60%
newhigh_52wspy_fwd5+0.007+0.003+0.002+0.001+0.001-0.00659%63%
newhigh_52wspy_fwd21+0.021+0.011+0.012+0.005+0.005-0.01666%69%
newhigh_52wmomls_fwd21-0.010-0.005-0.006+0.002-0.002+0.00953%52%
newhigh_52weqmom_fwd21+0.029+0.020+0.016+0.011+0.010-0.01865%66%
newhigh_52wflagship_fwd21+0.029+0.020+0.017+0.010+0.009-0.02059%63%
pct_pos_20dspy_fwd5+0.005+0.000+0.003+0.002+0.002-0.00261%59%
pct_pos_20dspy_fwd21+0.023+0.004+0.008+0.008+0.008-0.01567%69%
pct_pos_20dmomls_fwd21-0.012-0.003-0.003+0.001-0.002+0.01053%53%
pct_pos_20deqmom_fwd21+0.030+0.010+0.015+0.014+0.015-0.01565%66%
pct_pos_20dflagship_fwd21+0.031+0.015+0.014+0.012+0.011-0.02060%63%
sector_corr60spy_fwd5+0.001+0.003+0.003+0.002+0.006+0.00563%58%
sector_corr60spy_fwd21+0.008+0.004+0.011+0.005+0.027+0.01970%65%
sector_corr60momls_fwd21+0.003+0.004-0.007-0.006-0.020-0.02344%56%
sector_corr60eqmom_fwd21+0.016+0.008+0.019+0.014+0.030+0.01468%64%
sector_corr60flagship_fwd21+0.013+0.012+0.023+0.005+0.031+0.01858%61%

#Reading

  • 128/546 feature-target rank-ICs survive BH-FDR q<0.05; 114 pass the stricter robust gate.
  • Robust RETURN-timing pairs found:
    • corr_spy60 -> momls_fwd21 (OOS IC -0.206, partial -0.112, q 0.0261).
    • corr_spy20 -> momls_fwd21 (OOS IC -0.174, partial -0.129, q 0.0152).
    • avg_corr20 -> momls_fwd21 (OOS IC -0.144, partial -0.094, q 0.0478).
  • The dominant, robust signal is forward volatility prediction: breadth, new-high/low spread, dispersion and average correlation all forecast future SPY vol and sleeve vol with |OOS IC| 0.3-0.5; several retain partial IC (e.g. hl_spread_52w -> spy_vol_fwd5 partial -0.26; hhi_dv -> eqmom_vol_fwd21 partial +0.29).
  • Breadth/correlation levels are negatively related to forward market return (high breadth = post-rally mean reversion). The most promising return-timing result is that high average/cross-market correlation predicts a WORSE raw momentum long-short spread: corr_spy20 -> momls_fwd21 OOS IC -0.17, corr_spy60 -0.21, avg_corr20 -0.14, all BH-significant with non-zero partial IC (~-0.09..-0.13). This is the classic momentum-crash regime and is the leading Phase-2 candidate - but it applies to the generic momentum spread, not yet to the residual-momentum (eqmom) or ML (flagship) sleeves.

Top 5 by |OOS IC| per sleeve target:

targetfeatureIC OOSpartial ICq
eqmom_fwd21newhigh_52w-0.179-0.0530.377
eqmom_fwd21disp5+0.171+0.0420.458
eqmom_fwd21breadth_sma200-0.168+0.0470.955
eqmom_fwd21hl_spread_52w-0.160-0.0380.469
eqmom_fwd21disp20+0.153+0.0540.406
flagship_fwd21avg_corr20+0.217+0.0100.0656
flagship_fwd21corr_spy20+0.187-0.0450.295
flagship_fwd21hl_spread_52w-0.179-0.0590.0767
flagship_fwd21breadth_sma200-0.175+0.0080.284
flagship_fwd21breadth_sma50-0.175-0.0740.074
eqmom_vol_fwd21top10_dvwt+0.420+0.3241.77e-07
eqmom_vol_fwd21resid_sector_disp+0.413+0.2212.42e-05
eqmom_vol_fwd21resid_disp+0.409+0.2263.68e-05
eqmom_vol_fwd21disp1+0.408+0.2261.5e-05
eqmom_vol_fwd21top5_dvwt+0.397+0.3121.03e-06
flagship_vol_fwd21breadth_sma200-0.483-0.0370.00585
flagship_vol_fwd21avg_corr20+0.403-0.1130.00548
flagship_vol_fwd21disp5+0.403+0.1160.00034
flagship_vol_fwd21disp1+0.402+0.1280.000272
flagship_vol_fwd21resid_sector_disp+0.395+0.1140.000731

#Phase-1 verdict

Equity-state features carry real, robust information about future risk (volatility) with incremental value over trailing SPY vol, and correlation robustly times the raw momentum spread. They do not carry a robust standalone return timing edge for the frozen eqmom/flagship sleeves. Phase 2 is justified on two fronts: (1) conditioning sleeve volatility/drawdown on state, and (2) the correlation -> momentum-spread effect. A return-timing overlay on the sleeves is NOT justified by Phase 1.

All trading described is paper (simulated). Not investment advice.

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