"PANEL-I factor screen — new-factor candidates (model-free)" · Quant Trading Research & Paper-Trading Lab

Generated: 2026-08-14 14:40 | pool 99 SP500 names | 30Min grid | skip-one-bar target | rank IC per timestamp

Cost bar: 3.3 bp/h (10 bp round trip / 6-bar hold). CANDIDATE = |bp/h| >= 3.3 at h=6, sign-consistent across 2024/2025/2026 and in the 12:00-15:00 window.

factor	h	frac	IC	t	spread bp	bp/h	ic24	ic25	ic26	ycons	pm_ic	pm_t
ret_6	6	0.86	-0.0230	-6.72	-4.0	-0.7	-0.025	-0.015	-0.030	1	-0.031	-8.18
rvol_6	6	0.79	+0.0106	+2.63	+3.5	+0.6	-0.005	+0.020	+0.019	0	+0.003	+0.97
rng_6	6	0.86	+0.0027	+0.77	+3.2	+0.5	-0.009	+0.010	+0.008	0	+0.000	+0.11
rel_6	6	0.86	-0.0172	-5.02	-3.1	-0.5	-0.014	-0.018	-0.022	1	-0.027	-7.43
trend_q	6	0.79	-0.0216	-5.48	-3.0	-0.5	-0.025	-0.002	-0.041	1	-0.030	-8.66
rvol_2	6	0.86	+0.0047	+1.48	+2.6	+0.4	-0.006	+0.008	+0.013	0	+0.004	+1.24
day_hi	6	1.00	-0.0153	-6.93	-2.3	-0.4	-0.009	-0.021	-0.013	1	-0.022	-6.17
day_dist	6	1.00	-0.0152	-6.53	-2.2	-0.4	-0.012	-0.020	-0.015	1	-0.027	-7.49
rng_1	6	1.00	+0.0075	+3.51	+2.1	+0.3	+0.001	+0.010	+0.010	1	+0.003	+0.73
ret_2	6	0.86	-0.0144	-4.18	-1.8	-0.3	-0.011	-0.004	-0.028	1	-0.020	-5.54
c2h	6	0.98	-0.0129	-6.45	-1.7	-0.3	-0.011	-0.017	-0.007	1	-0.016	-5.10
vol_ratio	6	0.86	+0.0041	+1.32	+1.6	+0.3	+0.006	+0.008	+0.002	1	+0.006	+1.93
vwap_dev	6	1.00	-0.0166	-7.30	-1.6	-0.3	-0.013	-0.021	-0.010	1	-0.027	-7.40
rel_2	6	0.86	-0.0105	-3.14	-1.5	-0.3	-0.010	-0.006	-0.019	1	-0.018	-4.99
ret1_x_vr	6	0.86	+0.0048	+1.53	-0.9	-0.2	-0.001	+0.006	+0.004	0	+0.011	+3.22
ret_1	6	0.93	-0.0103	-3.67	-0.4	-0.1	-0.008	-0.008	-0.013	1	-0.015	-4.17
rel_1	6	0.93	-0.0111	-4.08	-0.4	-0.1	-0.009	-0.012	-0.013	1	-0.013	-3.85
day_lo	6	1.00	-0.0117	-5.48	-0.3	-0.0	-0.007	-0.018	-0.006	1	-0.025	-7.22
ret1_x_c2h	6	0.91	-0.0070	-2.58	+0.1	+0.0	-0.005	-0.004	-0.010	1	-0.012	-3.56
rng_6	2	0.86	+0.0051	+1.98	+1.3	+0.7	-0.004	+0.012	+0.012	0	+0.004	+1.54
day_hi	2	1.00	-0.0133	-7.31	-1.2	-0.6	-0.011	-0.014	-0.010	1	-0.014	-6.14
day_dist	2	1.00	-0.0110	-5.83	-1.1	-0.5	-0.009	-0.012	-0.009	1	-0.015	-6.61
c2h	2	0.98	-0.0148	-9.07	-1.1	-0.5	-0.018	-0.018	-0.005	1	-0.015	-7.55
rvol_6	2	0.79	+0.0091	+3.23	+1.1	+0.5	-0.008	+0.018	+0.025	0	+0.004	+1.74
vwap_dev	2	1.00	-0.0137	-7.37	-1.0	-0.5	-0.013	-0.015	-0.005	1	-0.017	-7.04
trend_q	2	0.79	-0.0144	-5.19	-0.6	-0.3	-0.010	-0.013	-0.019	1	-0.016	-6.83
rel_6	2	0.86	-0.0111	-4.44	-0.6	-0.3	-0.009	-0.010	-0.007	1	-0.014	-5.96
rng_1	2	1.00	+0.0050	+2.83	+0.6	+0.3	+0.001	+0.007	+0.007	1	+0.003	+1.34
ret_6	2	0.86	-0.0142	-5.62	-0.5	-0.3	-0.011	-0.014	-0.012	1	-0.016	-6.35
rvol_2	2	0.86	+0.0022	+1.02	+0.5	+0.3	-0.006	+0.011	+0.004	0	+0.002	+1.27
day_lo	2	1.00	-0.0099	-5.67	-0.5	-0.2	-0.010	-0.011	-0.002	1	-0.014	-6.36
rel_2	2	0.86	-0.0125	-4.98	-0.4	-0.2	-0.023	-0.008	-0.002	1	-0.014	-5.70
vol_ratio	2	0.86	-0.0006	-0.28	+0.3	+0.2	-0.001	+0.003	-0.008	0	+0.005	+2.50
ret1_x_vr	2	0.86	+0.0077	+3.39	+0.3	+0.2	+0.011	+0.006	+0.008	1	+0.010	+4.69
rel_1	2	0.93	-0.0139	-6.57	-0.2	-0.1	-0.020	-0.013	-0.006	1	-0.015	-6.49
ret_2	2	0.86	-0.0129	-5.07	-0.1	-0.1	-0.021	-0.010	-0.005	1	-0.014	-5.85
ret1_x_c2h	2	0.91	-0.0088	-4.23	+0.1	+0.0	-0.016	-0.007	-0.003	1	-0.011	-4.95
ret_1	2	0.93	-0.0122	-5.64	-0.0	-0.0	-0.018	-0.013	-0.003	1	-0.015	-6.40
c2h	1	0.98	-0.0219	-13.88	-1.2	-1.2	-0.020	-0.027	-0.017	1	-0.018	-8.47
day_hi	1	1.00	-0.0140	-8.20	-1.1	-1.1	-0.011	-0.016	-0.014	1	-0.008	-3.62
rng_6	1	0.86	+0.0057	+2.42	+0.9	+0.9	+0.003	+0.009	+0.007	1	+0.003	+1.09
vwap_dev	1	1.00	-0.0164	-9.27	-0.9	-0.9	-0.014	-0.019	-0.015	1	-0.011	-4.57
ret_1	1	0.93	-0.0192	-9.51	-0.8	-0.8	-0.022	-0.023	-0.017	1	-0.018	-7.41
rel_2	1	0.86	-0.0151	-6.62	-0.8	-0.8	-0.022	-0.012	-0.012	1	-0.013	-5.35
rel_1	1	0.93	-0.0204	-10.32	-0.8	-0.8	-0.021	-0.023	-0.020	1	-0.017	-7.27
ret_2	1	0.86	-0.0145	-6.28	-0.7	-0.7	-0.022	-0.013	-0.013	1	-0.013	-5.23
day_dist	1	1.00	-0.0122	-6.86	-0.7	-0.7	-0.009	-0.015	-0.014	1	-0.009	-3.67
rvol_6	1	0.79	+0.0062	+2.48	+0.6	+0.6	-0.006	+0.013	+0.013	0	+0.003	+1.08
ret1_x_c2h	1	0.91	-0.0133	-6.94	-0.6	-0.6	-0.017	-0.015	-0.015	1	-0.012	-5.40
trend_q	1	0.79	-0.0158	-6.43	-0.6	-0.6	-0.012	-0.012	-0.025	1	-0.009	-3.98
day_lo	1	1.00	-0.0124	-7.45	-0.5	-0.5	-0.010	-0.015	-0.010	1	-0.008	-3.62
ret_6	1	0.86	-0.0143	-6.15	-0.5	-0.5	-0.012	-0.013	-0.017	1	-0.010	-3.88
rel_6	1	0.86	-0.0133	-5.74	-0.5	-0.5	-0.010	-0.011	-0.018	1	-0.009	-3.71
rng_1	1	1.00	+0.0048	+2.83	+0.3	+0.3	+0.003	+0.007	+0.005	1	+0.003	+1.43
rvol_2	1	0.86	+0.0016	+0.81	+0.3	+0.3	-0.002	+0.007	-0.003	0	+0.000	+0.06
ret1_x_vr	1	0.86	+0.0020	+0.97	-0.2	-0.2	+0.002	+0.007	+0.000	1	+0.013	+5.70
vol_ratio	1	0.86	-0.0002	-0.13	-0.0	-0.0	-0.004	+0.005	-0.003	0	+0.002	+1.04

h=6 shortlist (3h-hold economics, sorted by |bp/h|)

ret_6: IC -0.0230 (t -6.72), spread -4.0 bp / -0.7 bp/h, ycons 1, pm -0.031 (t -8.18)
rvol_6: IC +0.0106 (t +2.63), spread +3.5 bp / +0.6 bp/h, ycons 0, pm +0.003 (t +0.97)
rng_6: IC +0.0027 (t +0.77), spread +3.2 bp / +0.5 bp/h, ycons 0, pm +0.000 (t +0.11)
rel_6: IC -0.0172 (t -5.02), spread -3.1 bp / -0.5 bp/h, ycons 1, pm -0.027 (t -7.43)
trend_q: IC -0.0216 (t -5.48), spread -3.0 bp / -0.5 bp/h, ycons 1, pm -0.030 (t -8.66)
rvol_2: IC +0.0047 (t +1.48), spread +2.6 bp / +0.4 bp/h, ycons 0, pm +0.004 (t +1.24)
day_hi: IC -0.0153 (t -6.93), spread -2.3 bp / -0.4 bp/h, ycons 1, pm -0.022 (t -6.17)
day_dist: IC -0.0152 (t -6.53), spread -2.2 bp / -0.4 bp/h, ycons 1, pm -0.027 (t -7.49)
rng_1: IC +0.0075 (t +3.51), spread +2.1 bp / +0.3 bp/h, ycons 1, pm +0.003 (t +0.73)
ret_2: IC -0.0144 (t -4.18), spread -1.8 bp / -0.3 bp/h, ycons 1, pm -0.020 (t -5.54)
c2h: IC -0.0129 (t -6.45), spread -1.7 bp / -0.3 bp/h, ycons 1, pm -0.016 (t -5.10)
vol_ratio: IC +0.0041 (t +1.32), spread +1.6 bp / +0.3 bp/h, ycons 1, pm +0.006 (t +1.93)
vwap_dev: IC -0.0166 (t -7.30), spread -1.6 bp / -0.3 bp/h, ycons 1, pm -0.027 (t -7.40)
rel_2: IC -0.0105 (t -3.14), spread -1.5 bp / -0.3 bp/h, ycons 1, pm -0.018 (t -4.99)
ret1_x_vr: IC +0.0048 (t +1.53), spread -0.9 bp / -0.2 bp/h, ycons 0, pm +0.011 (t +3.22)
ret_1: IC -0.0103 (t -3.67), spread -0.4 bp / -0.1 bp/h, ycons 1, pm -0.015 (t -4.17)
rel_1: IC -0.0111 (t -4.08), spread -0.4 bp / -0.1 bp/h, ycons 1, pm -0.013 (t -3.85)
day_lo: IC -0.0117 (t -5.48), spread -0.3 bp / -0.0 bp/h, ycons 1, pm -0.025 (t -7.22)
ret1_x_c2h: IC -0.0070 (t -2.58), spread +0.1 bp / +0.0 bp/h, ycons 1, pm -0.012 (t -3.56)

Candidates vs cost bar

NO factor clears the cost bar (|bp/h| >= 3.3 at h=6 + sign consistency + afternoon agree).