Generated: 2026-08-14 17:51 | 499-name cache | mega = 99 SP500, mid = 399 S&P 400 | de-meaned spread (bp/h)
| factor | h | IC mega | IC mid | t mega | t mid | bp/h mega | bp/h mid | mid/mega | 2x bump |
|---|---|---|---|---|---|---|---|---|---|
| c2h | 1 | -0.0219 | -0.0333 | -13.88 | -40.01 | -1.2 | -3.6 | 3.0x | YES |
| c2h | 2 | -0.0148 | -0.0229 | -9.07 | -26.77 | -0.5 | -1.9 | 3.4x | YES |
| c2h | 6 | -0.0129 | -0.0159 | -6.45 | -15.84 | -0.3 | -0.7 | 2.3x | YES |
| day_dist | 1 | -0.0122 | -0.0117 | -6.86 | -12.85 | -0.7 | -1.3 | 1.8x | |
| day_dist | 2 | -0.0110 | -0.0106 | -5.83 | -10.63 | -0.5 | -0.8 | 1.5x | |
| day_dist | 6 | -0.0152 | -0.0122 | -6.53 | -9.96 | -0.4 | -0.4 | 1.0x | |
| day_hi | 1 | -0.0140 | -0.0158 | -8.20 | -16.74 | -1.1 | -2.0 | 1.8x | |
| day_hi | 2 | -0.0133 | -0.0143 | -7.31 | -14.07 | -0.6 | -1.2 | 2.0x | |
| day_hi | 6 | -0.0153 | -0.0145 | -6.93 | -11.55 | -0.4 | -0.6 | 1.7x | |
| rel_1 | 1 | -0.0204 | -0.0321 | -10.32 | -30.65 | -0.8 | -2.9 | 3.9x | YES |
| rel_1 | 2 | -0.0139 | -0.0250 | -6.57 | -22.46 | -0.1 | -1.7 | 13.7x | YES |
| rel_1 | 6 | -0.0111 | -0.0187 | -4.08 | -14.05 | -0.1 | -0.7 | 11.2x | YES |
| rel_6 | 1 | -0.0133 | -0.0195 | -5.74 | -17.94 | -0.5 | -2.4 | 5.0x | YES |
| rel_6 | 2 | -0.0111 | -0.0181 | -4.44 | -15.06 | -0.3 | -1.3 | 4.5x | YES |
| rel_6 | 6 | -0.0172 | -0.0200 | -5.02 | -13.32 | -0.5 | -0.9 | 1.7x | |
| ret_1 | 1 | -0.0192 | -0.0368 | -9.51 | -31.08 | -0.8 | -3.7 | 4.6x | YES |
| ret_1 | 2 | -0.0122 | -0.0292 | -5.64 | -23.53 | -0.0 | -2.1 | 112.9x | YES |
| ret_1 | 6 | -0.0103 | -0.0254 | -3.67 | -17.89 | -0.1 | -0.9 | 14.4x | YES |
| ret_2 | 1 | -0.0145 | -0.0315 | -6.28 | -25.94 | -0.7 | -3.5 | 4.9x | YES |
| ret_2 | 2 | -0.0129 | -0.0275 | -5.07 | -21.09 | -0.1 | -1.9 | 34.1x | YES |
| ret_2 | 6 | -0.0144 | -0.0255 | -4.18 | -16.61 | -0.3 | -1.0 | 3.4x | YES |
| ret_6 | 1 | -0.0143 | -0.0251 | -6.15 | -21.37 | -0.5 | -3.2 | 6.4x | YES |
| ret_6 | 2 | -0.0142 | -0.0249 | -5.62 | -19.26 | -0.3 | -2.0 | 7.5x | YES |
| ret_6 | 6 | -0.0230 | -0.0303 | -6.72 | -18.83 | -0.7 | -1.4 | 2.1x | YES |
| rvol_2 | 1 | +0.0016 | +0.0008 | +0.81 | +0.89 | +0.3 | +0.4 | 1.5x | |
| rvol_2 | 2 | +0.0022 | +0.0025 | +1.02 | +2.37 | +0.3 | +0.4 | 1.5x | |
| rvol_2 | 6 | +0.0047 | +0.0035 | +1.48 | +2.76 | +0.4 | +0.4 | 0.9x | |
| rvol_6 | 1 | +0.0062 | +0.0018 | +2.48 | +1.52 | +0.6 | +0.7 | 1.1x | |
| rvol_6 | 2 | +0.0091 | +0.0026 | +3.23 | +1.95 | +0.5 | +0.7 | 1.2x | |
| rvol_6 | 6 | +0.0106 | +0.0033 | +2.63 | +1.96 | +0.6 | +0.4 | 0.7x | |
| trend_q | 1 | -0.0158 | -0.0269 | -6.43 | -24.44 | -0.6 | -3.0 | 5.3x | YES |
| trend_q | 2 | -0.0144 | -0.0256 | -5.19 | -20.76 | -0.3 | -1.9 | 6.0x | YES |
| trend_q | 6 | -0.0216 | -0.0284 | -5.48 | -17.82 | -0.5 | -1.2 | 2.4x | YES |
| vwap_dev | 1 | -0.0164 | -0.0180 | -9.27 | -19.75 | -0.9 | -1.7 | 2.0x | |
| vwap_dev | 2 | -0.0137 | -0.0151 | -7.37 | -15.31 | -0.5 | -1.0 | 2.0x | YES |
| vwap_dev | 6 | -0.0166 | -0.0140 | -7.30 | -11.80 | -0.3 | -0.4 | 1.5x |
h=6 economics vs cost bar (3.3 bp/h)
- ret_6: mid -1.4 bp/h (mega -0.7, 2.1x, t_mid -18.83)
- trend_q: mid -1.2 bp/h (mega -0.5, 2.4x, t_mid -17.82)
- ret_2: mid -1.0 bp/h (mega -0.3, 3.4x, t_mid -16.61)
- ret_1: mid -0.9 bp/h (mega -0.1, 14.4x, t_mid -17.89)
- rel_6: mid -0.9 bp/h (mega -0.5, 1.7x, t_mid -13.32)
- rel_1: mid -0.7 bp/h (mega -0.1, 11.2x, t_mid -14.05)
- c2h: mid -0.7 bp/h (mega -0.3, 2.3x, t_mid -15.84)
- day_hi: mid -0.6 bp/h (mega -0.4, 1.7x, t_mid -11.55)
- rvol_6: mid +0.4 bp/h (mega +0.6, 0.7x, t_mid +1.96)
- vwap_dev: mid -0.4 bp/h (mega -0.3, 1.5x, t_mid -11.80)
- rvol_2: mid +0.4 bp/h (mega +0.4, 0.9x, t_mid +2.76)
- day_dist: mid -0.4 bp/h (mega -0.4, 1.0x, t_mid -9.96)
Verdict
- Best mid-cap factor (ret_6, -1.4 bp/h) still below the cost bar. Expanding the universe on this signal family is not justified; no pipeline rebuild.