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Dennis Thiessen
2026-07-23 16:38:13 +02:00
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commit 7f944d718f
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reports/fundamentals-overlay-20260723-135627-factor-ic.csv
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window,signal,mean_ic,ic_t_stat,ic_positive_pct,mean_quintile_spread,weeks,avg_cross_section,reliable
train,share_count_change_yoy,0.0389,1.97,61.9,0.0029,21,435.5,True
train,net_debt_to_ebitda,0.0141,0.46,61.9,0.0098,21,183.9,True
train,balanced,0.0065,0.2,57.1,0.0007,21,381.2,True
train,quality,0.0038,0.19,47.6,-0.0033,21,396.6,True
train,revenue_growth_yoy,0.0006,0.02,47.6,0.0044,21,406.8,True
train,fcf_margin,-0.006,-0.29,38.1,-0.0044,21,365.3,True
train,growth,-0.0077,-0.26,47.6,0.003,21,442.5,True
train,eps_growth_yoy,-0.0152,-0.65,52.4,-0.004,21,370.2,True
train,operating_margin,-0.0288,-1.36,28.6,-0.0131,21,333.3,True
validation,growth,0.0558,1.21,55.6,0.0177,9,450.9,False
validation,revenue_growth_yoy,0.0485,0.95,55.6,0.0205,9,416.7,False
validation,balanced,0.0483,1.06,55.6,0.0126,9,387.9,False
validation,eps_growth_yoy,0.0473,1.44,55.6,0.014,9,393.8,False
validation,fcf_margin,0.0268,0.84,66.7,0.0003,9,368.0,False
validation,net_debt_to_ebitda,0.0066,0.12,55.6,0.0104,9,184.6,False
validation,quality,-0.0029,-0.14,44.4,-0.0002,9,401.0,False
validation,operating_margin,-0.0056,-0.18,44.4,-0.0058,9,338.3,False
validation,share_count_change_yoy,-0.0169,-0.52,55.6,-0.0098,9,439.9,False
test,eps_growth_yoy,0.0182,0.88,46.2,0.0071,13,415.7,True
test,share_count_change_yoy,0.0142,0.78,61.5,-0.0147,13,451.9,True
test,growth,0.011,0.32,46.2,0.0047,13,463.6,True
test,revenue_growth_yoy,0.0053,0.14,46.2,0.0046,13,429.3,True
test,net_debt_to_ebitda,-0.0082,-0.19,61.5,-0.0043,13,195.5,True
test,balanced,-0.0176,-0.47,38.5,-0.0147,13,402.2,True
test,quality,-0.0386,-1.59,30.8,-0.0257,13,419.6,True
test,operating_margin,-0.0436,-1.52,38.5,-0.0279,13,349.5,True
test,fcf_margin,-0.0535,-1.99,30.8,-0.0307,13,380.4,True
full,share_count_change_yoy,0.0161,1.16,54.8,-0.0052,42,441.3,True
full,growth,0.0123,0.65,54.8,0.0067,42,450.5,True
full,revenue_growth_yoy,0.0116,0.55,47.6,0.0069,42,415.5,True
full,eps_growth_yoy,0.008,0.58,57.1,0.003,42,388.5,True
full,balanced,0.0071,0.36,54.8,-0.0014,42,388.9,True
full,net_debt_to_ebitda,0.006,0.29,54.8,0.0037,42,187.9,True
full,quality,-0.0109,-0.85,45.2,-0.0092,42,404.5,True
full,fcf_margin,-0.0161,-1.04,35.7,-0.0123,42,370.5,True
full,operating_margin,-0.0252,-1.74,33.3,-0.017,42,339.2,True
1 window signal mean_ic ic_t_stat ic_positive_pct mean_quintile_spread weeks avg_cross_section reliable
2 train share_count_change_yoy 0.0389 1.97 61.9 0.0029 21 435.5 True
3 train net_debt_to_ebitda 0.0141 0.46 61.9 0.0098 21 183.9 True
4 train balanced 0.0065 0.2 57.1 0.0007 21 381.2 True
5 train quality 0.0038 0.19 47.6 -0.0033 21 396.6 True
6 train revenue_growth_yoy 0.0006 0.02 47.6 0.0044 21 406.8 True
7 train fcf_margin -0.006 -0.29 38.1 -0.0044 21 365.3 True
8 train growth -0.0077 -0.26 47.6 0.003 21 442.5 True
9 train eps_growth_yoy -0.0152 -0.65 52.4 -0.004 21 370.2 True
10 train operating_margin -0.0288 -1.36 28.6 -0.0131 21 333.3 True
11 validation growth 0.0558 1.21 55.6 0.0177 9 450.9 False
12 validation revenue_growth_yoy 0.0485 0.95 55.6 0.0205 9 416.7 False
13 validation balanced 0.0483 1.06 55.6 0.0126 9 387.9 False
14 validation eps_growth_yoy 0.0473 1.44 55.6 0.014 9 393.8 False
15 validation fcf_margin 0.0268 0.84 66.7 0.0003 9 368.0 False
16 validation net_debt_to_ebitda 0.0066 0.12 55.6 0.0104 9 184.6 False
17 validation quality -0.0029 -0.14 44.4 -0.0002 9 401.0 False
18 validation operating_margin -0.0056 -0.18 44.4 -0.0058 9 338.3 False
19 validation share_count_change_yoy -0.0169 -0.52 55.6 -0.0098 9 439.9 False
20 test eps_growth_yoy 0.0182 0.88 46.2 0.0071 13 415.7 True
21 test share_count_change_yoy 0.0142 0.78 61.5 -0.0147 13 451.9 True
22 test growth 0.011 0.32 46.2 0.0047 13 463.6 True
23 test revenue_growth_yoy 0.0053 0.14 46.2 0.0046 13 429.3 True
24 test net_debt_to_ebitda -0.0082 -0.19 61.5 -0.0043 13 195.5 True
25 test balanced -0.0176 -0.47 38.5 -0.0147 13 402.2 True
26 test quality -0.0386 -1.59 30.8 -0.0257 13 419.6 True
27 test operating_margin -0.0436 -1.52 38.5 -0.0279 13 349.5 True
28 test fcf_margin -0.0535 -1.99 30.8 -0.0307 13 380.4 True
29 full share_count_change_yoy 0.0161 1.16 54.8 -0.0052 42 441.3 True
30 full growth 0.0123 0.65 54.8 0.0067 42 450.5 True
31 full revenue_growth_yoy 0.0116 0.55 47.6 0.0069 42 415.5 True
32 full eps_growth_yoy 0.008 0.58 57.1 0.003 42 388.5 True
33 full balanced 0.0071 0.36 54.8 -0.0014 42 388.9 True
34 full net_debt_to_ebitda 0.006 0.29 54.8 0.0037 42 187.9 True
35 full quality -0.0109 -0.85 45.2 -0.0092 42 404.5 True
36 full fcf_margin -0.0161 -1.04 35.7 -0.0123 42 370.5 True
37 full operating_margin -0.0252 -1.74 33.3 -0.017 42 339.2 True