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Dennis Thiessen
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reports/fundamentals-overlay-20260723-135627-arms.csv
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arm,composite,weight,window,sharpe,sharpe_se,dsr,cagr_pct,max_drawdown_pct,calmar,trades,overlap_pct,top5_pnl_share_pct,avg_r_ex_top5
control_w00,,0.0,train,1.26,0.764,0.4607,32.5,18.5,1.76,195,,67.83,0.2729
control_w00,,0.0,validation,2.52,0.938,0.8309,71.3,14.8,4.82,106,,69.13,0.357
control_w00,,0.0,test,1.99,0.81,0.7757,54.4,19.2,2.83,188,,62.82,0.1591
control_w00,,0.0,full,1.86,0.49,0.9807,52.1,22.3,2.34,483,,38.74,0.4132
quality_w10,quality,0.1,train,1.66,0.772,0.6629,45.4,16.9,2.68,183,57.5,63.51,0.2957
quality_w10,quality,0.1,validation,2.44,0.941,0.8077,68.8,17.3,3.98,107,65.12,70.53,0.3518
quality_w10,quality,0.1,test,1.7,0.805,0.6562,43.8,18.8,2.33,189,60.43,72.18,0.1424
quality_w10,quality,0.1,full,1.91,0.493,0.9845,53.3,21.6,2.46,470,59.1,39.96,0.4105
quality_w20,quality,0.2,train,1.64,0.77,0.6538,44.4,17.4,2.55,181,42.42,61.16,0.2545
quality_w20,quality,0.2,validation,2.28,0.953,0.7551,59.4,18.6,3.19,111,53.9,79.91,0.3052
quality_w20,quality,0.2,test,1.49,0.805,0.5562,35.9,18.6,1.93,189,44.44,80.74,0.136
quality_w20,quality,0.2,full,1.75,0.493,0.9666,46.6,20.7,2.26,478,44.73,44.1,0.3938
quality_w30,quality,0.3,train,1.69,0.767,0.6781,45.0,17.3,2.6,176,39.47,48.72,0.3464
quality_w30,quality,0.3,validation,1.83,0.948,0.5869,42.9,18.8,2.28,111,51.75,83.6,0.2918
quality_w30,quality,0.3,test,1.3,0.801,0.4621,28.9,18.6,1.56,189,41.73,94.0,0.1314
quality_w30,quality,0.3,full,1.57,0.491,0.9297,39.1,19.6,2.0,469,41.25,43.46,0.4265
quality_w40,quality,0.4,train,1.73,0.772,0.6954,46.5,18.2,2.55,190,31.85,48.84,0.3179
quality_w40,quality,0.4,validation,1.58,0.944,0.4824,36.8,19.0,1.94,110,48.97,101.05,0.2815
quality_w40,quality,0.4,test,1.18,0.812,0.4045,24.2,18.0,1.35,193,34.63,110.57,0.0845
quality_w40,quality,0.4,full,1.39,0.494,0.8643,33.0,23.8,1.39,492,34.11,47.94,0.3366
growth_w10,growth,0.1,train,1.24,0.769,0.4506,31.1,18.2,1.71,190,53.39,70.42,0.2227
growth_w10,growth,0.1,validation,2.65,0.915,0.8695,74.6,11.6,6.41,103,74.17,67.49,0.4295
growth_w10,growth,0.1,test,1.87,0.807,0.7297,52.4,18.9,2.77,197,61.09,69.9,0.1885
growth_w10,growth,0.1,full,1.83,0.49,0.9776,51.5,21.6,2.39,485,58.43,42.2,0.4164
growth_w20,growth,0.2,train,1.16,0.775,0.4105,27.3,17.8,1.53,189,42.75,83.96,0.1951
growth_w20,growth,0.2,validation,1.99,0.945,0.6516,50.1,19.2,2.61,101,56.82,71.97,0.3987
growth_w20,growth,0.2,test,1.59,0.8,0.6053,40.5,18.7,2.16,191,53.44,83.16,0.066
growth_w20,growth,0.2,full,1.55,0.493,0.9232,39.3,21.1,1.86,477,49.07,45.99,0.3356
growth_w30,growth,0.3,train,0.94,0.784,0.307,19.5,17.7,1.1,199,41.22,107.4,0.0981
growth_w30,growth,0.3,validation,1.79,0.954,0.57,42.4,19.5,2.18,101,55.64,78.91,0.2995
growth_w30,growth,0.3,test,1.32,0.8,0.472,31.5,18.3,1.72,198,47.33,92.89,0.066
growth_w30,growth,0.3,full,1.29,0.496,0.8143,29.9,20.7,1.44,500,45.63,50.27,0.2876
growth_w40,growth,0.4,train,1.08,0.785,0.3725,22.5,16.2,1.38,196,32.54,101.48,0.1686
growth_w40,growth,0.4,validation,1.96,0.956,0.6383,48.1,19.3,2.5,101,55.64,80.82,0.2926
growth_w40,growth,0.4,test,1.45,0.799,0.5368,36.3,17.8,2.03,193,50.59,84.67,0.0155
growth_w40,growth,0.4,full,1.47,0.495,0.896,35.6,26.0,1.37,487,40.99,46.88,0.2959
balanced_w10,balanced,0.1,train,1.66,0.773,0.6627,45.7,18.5,2.47,191,62.87,63.37,0.2536
balanced_w10,balanced,0.1,validation,2.42,0.931,0.8044,64.1,17.4,3.69,105,64.84,75.23,0.4326
balanced_w10,balanced,0.1,test,2.05,0.808,0.7978,57.6,18.9,3.04,186,56.49,62.34,0.2001
balanced_w10,balanced,0.1,full,2.0,0.493,0.9903,57.4,21.4,2.69,471,58.21,38.56,0.4343
balanced_w20,balanced,0.2,train,1.5,0.774,0.5842,40.3,16.2,2.49,186,48.25,69.56,0.2281
balanced_w20,balanced,0.2,validation,1.94,0.945,0.6319,45.7,18.5,2.47,113,58.7,78.45,0.3889
balanced_w20,balanced,0.2,test,1.99,0.805,0.7771,52.6,18.3,2.88,189,46.12,61.78,0.2105
balanced_w20,balanced,0.2,full,1.71,0.493,0.96,45.6,19.3,2.37,481,47.18,37.87,0.4034
balanced_w30,balanced,0.3,train,1.11,0.774,0.3854,26.5,17.1,1.55,201,37.98,82.7,0.1461
balanced_w30,balanced,0.3,validation,1.9,0.94,0.6164,47.7,17.3,2.76,104,60.31,89.47,0.3487
balanced_w30,balanced,0.3,test,1.54,0.799,0.5812,37.9,18.3,2.08,197,45.83,82.89,0.1937
balanced_w30,balanced,0.3,full,1.52,0.492,0.9144,39.4,21.3,1.85,496,43.55,47.61,0.3639
balanced_w40,balanced,0.4,train,1.16,0.782,0.4113,25.9,16.2,1.6,202,34.58,77.25,0.1727
balanced_w40,balanced,0.4,validation,2.07,0.943,0.6827,56.2,18.4,3.06,103,50.36,80.3,0.2394
balanced_w40,balanced,0.4,test,1.29,0.807,0.4574,30.0,17.8,1.68,202,46.62,91.39,0.1051
balanced_w40,balanced,0.4,full,1.34,0.496,0.8401,32.3,26.4,1.22,507,40.83,51.04,0.3014
1 arm composite weight window sharpe sharpe_se dsr cagr_pct max_drawdown_pct calmar trades overlap_pct top5_pnl_share_pct avg_r_ex_top5
2 control_w00 0.0 train 1.26 0.764 0.4607 32.5 18.5 1.76 195 67.83 0.2729
3 control_w00 0.0 validation 2.52 0.938 0.8309 71.3 14.8 4.82 106 69.13 0.357
4 control_w00 0.0 test 1.99 0.81 0.7757 54.4 19.2 2.83 188 62.82 0.1591
5 control_w00 0.0 full 1.86 0.49 0.9807 52.1 22.3 2.34 483 38.74 0.4132
6 quality_w10 quality 0.1 train 1.66 0.772 0.6629 45.4 16.9 2.68 183 57.5 63.51 0.2957
7 quality_w10 quality 0.1 validation 2.44 0.941 0.8077 68.8 17.3 3.98 107 65.12 70.53 0.3518
8 quality_w10 quality 0.1 test 1.7 0.805 0.6562 43.8 18.8 2.33 189 60.43 72.18 0.1424
9 quality_w10 quality 0.1 full 1.91 0.493 0.9845 53.3 21.6 2.46 470 59.1 39.96 0.4105
10 quality_w20 quality 0.2 train 1.64 0.77 0.6538 44.4 17.4 2.55 181 42.42 61.16 0.2545
11 quality_w20 quality 0.2 validation 2.28 0.953 0.7551 59.4 18.6 3.19 111 53.9 79.91 0.3052
12 quality_w20 quality 0.2 test 1.49 0.805 0.5562 35.9 18.6 1.93 189 44.44 80.74 0.136
13 quality_w20 quality 0.2 full 1.75 0.493 0.9666 46.6 20.7 2.26 478 44.73 44.1 0.3938
14 quality_w30 quality 0.3 train 1.69 0.767 0.6781 45.0 17.3 2.6 176 39.47 48.72 0.3464
15 quality_w30 quality 0.3 validation 1.83 0.948 0.5869 42.9 18.8 2.28 111 51.75 83.6 0.2918
16 quality_w30 quality 0.3 test 1.3 0.801 0.4621 28.9 18.6 1.56 189 41.73 94.0 0.1314
17 quality_w30 quality 0.3 full 1.57 0.491 0.9297 39.1 19.6 2.0 469 41.25 43.46 0.4265
18 quality_w40 quality 0.4 train 1.73 0.772 0.6954 46.5 18.2 2.55 190 31.85 48.84 0.3179
19 quality_w40 quality 0.4 validation 1.58 0.944 0.4824 36.8 19.0 1.94 110 48.97 101.05 0.2815
20 quality_w40 quality 0.4 test 1.18 0.812 0.4045 24.2 18.0 1.35 193 34.63 110.57 0.0845
21 quality_w40 quality 0.4 full 1.39 0.494 0.8643 33.0 23.8 1.39 492 34.11 47.94 0.3366
22 growth_w10 growth 0.1 train 1.24 0.769 0.4506 31.1 18.2 1.71 190 53.39 70.42 0.2227
23 growth_w10 growth 0.1 validation 2.65 0.915 0.8695 74.6 11.6 6.41 103 74.17 67.49 0.4295
24 growth_w10 growth 0.1 test 1.87 0.807 0.7297 52.4 18.9 2.77 197 61.09 69.9 0.1885
25 growth_w10 growth 0.1 full 1.83 0.49 0.9776 51.5 21.6 2.39 485 58.43 42.2 0.4164
26 growth_w20 growth 0.2 train 1.16 0.775 0.4105 27.3 17.8 1.53 189 42.75 83.96 0.1951
27 growth_w20 growth 0.2 validation 1.99 0.945 0.6516 50.1 19.2 2.61 101 56.82 71.97 0.3987
28 growth_w20 growth 0.2 test 1.59 0.8 0.6053 40.5 18.7 2.16 191 53.44 83.16 0.066
29 growth_w20 growth 0.2 full 1.55 0.493 0.9232 39.3 21.1 1.86 477 49.07 45.99 0.3356
30 growth_w30 growth 0.3 train 0.94 0.784 0.307 19.5 17.7 1.1 199 41.22 107.4 0.0981
31 growth_w30 growth 0.3 validation 1.79 0.954 0.57 42.4 19.5 2.18 101 55.64 78.91 0.2995
32 growth_w30 growth 0.3 test 1.32 0.8 0.472 31.5 18.3 1.72 198 47.33 92.89 0.066
33 growth_w30 growth 0.3 full 1.29 0.496 0.8143 29.9 20.7 1.44 500 45.63 50.27 0.2876
34 growth_w40 growth 0.4 train 1.08 0.785 0.3725 22.5 16.2 1.38 196 32.54 101.48 0.1686
35 growth_w40 growth 0.4 validation 1.96 0.956 0.6383 48.1 19.3 2.5 101 55.64 80.82 0.2926
36 growth_w40 growth 0.4 test 1.45 0.799 0.5368 36.3 17.8 2.03 193 50.59 84.67 0.0155
37 growth_w40 growth 0.4 full 1.47 0.495 0.896 35.6 26.0 1.37 487 40.99 46.88 0.2959
38 balanced_w10 balanced 0.1 train 1.66 0.773 0.6627 45.7 18.5 2.47 191 62.87 63.37 0.2536
39 balanced_w10 balanced 0.1 validation 2.42 0.931 0.8044 64.1 17.4 3.69 105 64.84 75.23 0.4326
40 balanced_w10 balanced 0.1 test 2.05 0.808 0.7978 57.6 18.9 3.04 186 56.49 62.34 0.2001
41 balanced_w10 balanced 0.1 full 2.0 0.493 0.9903 57.4 21.4 2.69 471 58.21 38.56 0.4343
42 balanced_w20 balanced 0.2 train 1.5 0.774 0.5842 40.3 16.2 2.49 186 48.25 69.56 0.2281
43 balanced_w20 balanced 0.2 validation 1.94 0.945 0.6319 45.7 18.5 2.47 113 58.7 78.45 0.3889
44 balanced_w20 balanced 0.2 test 1.99 0.805 0.7771 52.6 18.3 2.88 189 46.12 61.78 0.2105
45 balanced_w20 balanced 0.2 full 1.71 0.493 0.96 45.6 19.3 2.37 481 47.18 37.87 0.4034
46 balanced_w30 balanced 0.3 train 1.11 0.774 0.3854 26.5 17.1 1.55 201 37.98 82.7 0.1461
47 balanced_w30 balanced 0.3 validation 1.9 0.94 0.6164 47.7 17.3 2.76 104 60.31 89.47 0.3487
48 balanced_w30 balanced 0.3 test 1.54 0.799 0.5812 37.9 18.3 2.08 197 45.83 82.89 0.1937
49 balanced_w30 balanced 0.3 full 1.52 0.492 0.9144 39.4 21.3 1.85 496 43.55 47.61 0.3639
50 balanced_w40 balanced 0.4 train 1.16 0.782 0.4113 25.9 16.2 1.6 202 34.58 77.25 0.1727
51 balanced_w40 balanced 0.4 validation 2.07 0.943 0.6827 56.2 18.4 3.06 103 50.36 80.3 0.2394
52 balanced_w40 balanced 0.4 test 1.29 0.807 0.4574 30.0 17.8 1.68 202 46.62 91.39 0.1051
53 balanced_w40 balanced 0.4 full 1.34 0.496 0.8401 32.3 26.4 1.22 507 40.83 51.04 0.3014
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
reports/fundamentals-overlay-20260723-135627-trades.csv
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reports/fundamentals-overlay-20260723-135627.json
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reports/fundamentals-overlay-20260723-135627.md
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# Point-in-time fundamentals overlay research
Generated: 2026-07-23T14:06:10.423614+00:00
## Protocol
- Train ends before **2024-01-01**.
- Validation runs until **2025-01-01**.
- Test starts at that date and is not used to select the arm.
- Qualification is unchanged; fundamentals only reorder qualified longs.
- SEC filings become visible at midnight New York time after acceptance.
- Pre-registered portfolio trials for DSR: **13**.
## Data warnings
- Current tracked universe only: historical constituent membership and delisted names are unavailable, so absolute results have survivorship bias.
- Historical valuation is excluded because split-adjusted bars cannot be safely combined with filing-time EPS and shares without split factors.
- Earnings surprise is excluded because the completed SUE study already failed its promotion bar for this strategy.
- The test window remains research evidence, not a pristine future sample; live paper performance is still the final out-of-sample check.
## Factor IC
| window | signal | IC | t | positive | quintile spread | weeks | N |
|---|---|---:|---:|---:|---:|---:|---:|
| train | share_count_change_yoy | 0.0389 | 1.97 | 61.9 | 0.0029 | 21 | 435.5 |
| train | net_debt_to_ebitda | 0.0141 | 0.46 | 61.9 | 0.0098 | 21 | 183.9 |
| train | balanced | 0.0065 | 0.2 | 57.1 | 0.0007 | 21 | 381.2 |
| train | quality | 0.0038 | 0.19 | 47.6 | -0.0033 | 21 | 396.6 |
| train | revenue_growth_yoy | 0.0006 | 0.02 | 47.6 | 0.0044 | 21 | 406.8 |
| train | fcf_margin | -0.006 | -0.29 | 38.1 | -0.0044 | 21 | 365.3 |
| train | growth | -0.0077 | -0.26 | 47.6 | 0.003 | 21 | 442.5 |
| train | eps_growth_yoy | -0.0152 | -0.65 | 52.4 | -0.004 | 21 | 370.2 |
| train | operating_margin | -0.0288 | -1.36 | 28.6 | -0.0131 | 21 | 333.3 |
| validation | growth | 0.0558 | 1.21 | 55.6 | 0.0177 | 9 | 450.9 |
| validation | revenue_growth_yoy | 0.0485 | 0.95 | 55.6 | 0.0205 | 9 | 416.7 |
| validation | balanced | 0.0483 | 1.06 | 55.6 | 0.0126 | 9 | 387.9 |
| validation | eps_growth_yoy | 0.0473 | 1.44 | 55.6 | 0.014 | 9 | 393.8 |
| validation | fcf_margin | 0.0268 | 0.84 | 66.7 | 0.0003 | 9 | 368 |
| validation | net_debt_to_ebitda | 0.0066 | 0.12 | 55.6 | 0.0104 | 9 | 184.6 |
| validation | quality | -0.0029 | -0.14 | 44.4 | -0.0002 | 9 | 401 |
| validation | operating_margin | -0.0056 | -0.18 | 44.4 | -0.0058 | 9 | 338.3 |
| validation | share_count_change_yoy | -0.0169 | -0.52 | 55.6 | -0.0098 | 9 | 439.9 |
| test | eps_growth_yoy | 0.0182 | 0.88 | 46.2 | 0.0071 | 13 | 415.7 |
| test | share_count_change_yoy | 0.0142 | 0.78 | 61.5 | -0.0147 | 13 | 451.9 |
| test | growth | 0.011 | 0.32 | 46.2 | 0.0047 | 13 | 463.6 |
| test | revenue_growth_yoy | 0.0053 | 0.14 | 46.2 | 0.0046 | 13 | 429.3 |
| test | net_debt_to_ebitda | -0.0082 | -0.19 | 61.5 | -0.0043 | 13 | 195.5 |
| test | balanced | -0.0176 | -0.47 | 38.5 | -0.0147 | 13 | 402.2 |
| test | quality | -0.0386 | -1.59 | 30.8 | -0.0257 | 13 | 419.6 |
| test | operating_margin | -0.0436 | -1.52 | 38.5 | -0.0279 | 13 | 349.5 |
| test | fcf_margin | -0.0535 | -1.99 | 30.8 | -0.0307 | 13 | 380.4 |
| full | share_count_change_yoy | 0.0161 | 1.16 | 54.8 | -0.0052 | 42 | 441.3 |
| full | growth | 0.0123 | 0.65 | 54.8 | 0.0067 | 42 | 450.5 |
| full | revenue_growth_yoy | 0.0116 | 0.55 | 47.6 | 0.0069 | 42 | 415.5 |
| full | eps_growth_yoy | 0.008 | 0.58 | 57.1 | 0.003 | 42 | 388.5 |
| full | balanced | 0.0071 | 0.36 | 54.8 | -0.0014 | 42 | 388.9 |
| full | net_debt_to_ebitda | 0.006 | 0.29 | 54.8 | 0.0037 | 42 | 187.9 |
| full | quality | -0.0109 | -0.85 | 45.2 | -0.0092 | 42 | 404.5 |
| full | fcf_margin | -0.0161 | -1.04 | 35.7 | -0.0123 | 42 | 370.5 |
| full | operating_margin | -0.0252 | -1.74 | 33.3 | -0.017 | 42 | 339.2 |
## Portfolio arms
| arm | window | Sharpe | SE | DSR | CAGR | MaxDD | Calmar | trades | overlap |
|---|---|---:|---:|---:|---:|---:|---:|---:|---:|
| control_w00 | train | 1.26 | 0.764 | 0.4607 | 32.5 | 18.5 | 1.76 | 195 | — |
| control_w00 | validation | 2.52 | 0.938 | 0.8309 | 71.3 | 14.8 | 4.82 | 106 | — |
| control_w00 | test | 1.99 | 0.81 | 0.7757 | 54.4 | 19.2 | 2.83 | 188 | — |
| control_w00 | full | 1.86 | 0.49 | 0.9807 | 52.1 | 22.3 | 2.34 | 483 | — |
| quality_w10 | train | 1.66 | 0.772 | 0.6629 | 45.4 | 16.9 | 2.68 | 183 | 57.5 |
| quality_w10 | validation | 2.44 | 0.941 | 0.8077 | 68.8 | 17.3 | 3.98 | 107 | 65.12 |
| quality_w10 | test | 1.7 | 0.805 | 0.6562 | 43.8 | 18.8 | 2.33 | 189 | 60.43 |
| quality_w10 | full | 1.91 | 0.493 | 0.9845 | 53.3 | 21.6 | 2.46 | 470 | 59.1 |
| quality_w20 | train | 1.64 | 0.77 | 0.6538 | 44.4 | 17.4 | 2.55 | 181 | 42.42 |
| quality_w20 | validation | 2.28 | 0.953 | 0.7551 | 59.4 | 18.6 | 3.19 | 111 | 53.9 |
| quality_w20 | test | 1.49 | 0.805 | 0.5562 | 35.9 | 18.6 | 1.93 | 189 | 44.44 |
| quality_w20 | full | 1.75 | 0.493 | 0.9666 | 46.6 | 20.7 | 2.26 | 478 | 44.73 |
| quality_w30 | train | 1.69 | 0.767 | 0.6781 | 45 | 17.3 | 2.6 | 176 | 39.47 |
| quality_w30 | validation | 1.83 | 0.948 | 0.5869 | 42.9 | 18.8 | 2.28 | 111 | 51.75 |
| quality_w30 | test | 1.3 | 0.801 | 0.4621 | 28.9 | 18.6 | 1.56 | 189 | 41.73 |
| quality_w30 | full | 1.57 | 0.491 | 0.9297 | 39.1 | 19.6 | 2 | 469 | 41.25 |
| quality_w40 | train | 1.73 | 0.772 | 0.6954 | 46.5 | 18.2 | 2.55 | 190 | 31.85 |
| quality_w40 | validation | 1.58 | 0.944 | 0.4824 | 36.8 | 19 | 1.94 | 110 | 48.97 |
| quality_w40 | test | 1.18 | 0.812 | 0.4045 | 24.2 | 18 | 1.35 | 193 | 34.63 |
| quality_w40 | full | 1.39 | 0.494 | 0.8643 | 33 | 23.8 | 1.39 | 492 | 34.11 |
| growth_w10 | train | 1.24 | 0.769 | 0.4506 | 31.1 | 18.2 | 1.71 | 190 | 53.39 |
| growth_w10 | validation | 2.65 | 0.915 | 0.8695 | 74.6 | 11.6 | 6.41 | 103 | 74.17 |
| growth_w10 | test | 1.87 | 0.807 | 0.7297 | 52.4 | 18.9 | 2.77 | 197 | 61.09 |
| growth_w10 | full | 1.83 | 0.49 | 0.9776 | 51.5 | 21.6 | 2.39 | 485 | 58.43 |
| growth_w20 | train | 1.16 | 0.775 | 0.4105 | 27.3 | 17.8 | 1.53 | 189 | 42.75 |
| growth_w20 | validation | 1.99 | 0.945 | 0.6516 | 50.1 | 19.2 | 2.61 | 101 | 56.82 |
| growth_w20 | test | 1.59 | 0.8 | 0.6053 | 40.5 | 18.7 | 2.16 | 191 | 53.44 |
| growth_w20 | full | 1.55 | 0.493 | 0.9232 | 39.3 | 21.1 | 1.86 | 477 | 49.07 |
| growth_w30 | train | 0.94 | 0.784 | 0.307 | 19.5 | 17.7 | 1.1 | 199 | 41.22 |
| growth_w30 | validation | 1.79 | 0.954 | 0.57 | 42.4 | 19.5 | 2.18 | 101 | 55.64 |
| growth_w30 | test | 1.32 | 0.8 | 0.472 | 31.5 | 18.3 | 1.72 | 198 | 47.33 |
| growth_w30 | full | 1.29 | 0.496 | 0.8143 | 29.9 | 20.7 | 1.44 | 500 | 45.63 |
| growth_w40 | train | 1.08 | 0.785 | 0.3725 | 22.5 | 16.2 | 1.38 | 196 | 32.54 |
| growth_w40 | validation | 1.96 | 0.956 | 0.6383 | 48.1 | 19.3 | 2.5 | 101 | 55.64 |
| growth_w40 | test | 1.45 | 0.799 | 0.5368 | 36.3 | 17.8 | 2.03 | 193 | 50.59 |
| growth_w40 | full | 1.47 | 0.495 | 0.896 | 35.6 | 26 | 1.37 | 487 | 40.99 |
| balanced_w10 | train | 1.66 | 0.773 | 0.6627 | 45.7 | 18.5 | 2.47 | 191 | 62.87 |
| balanced_w10 | validation | 2.42 | 0.931 | 0.8044 | 64.1 | 17.4 | 3.69 | 105 | 64.84 |
| balanced_w10 | test | 2.05 | 0.808 | 0.7978 | 57.6 | 18.9 | 3.04 | 186 | 56.49 |
| balanced_w10 | full | 2 | 0.493 | 0.9903 | 57.4 | 21.4 | 2.69 | 471 | 58.21 |
| balanced_w20 | train | 1.5 | 0.774 | 0.5842 | 40.3 | 16.2 | 2.49 | 186 | 48.25 |
| balanced_w20 | validation | 1.94 | 0.945 | 0.6319 | 45.7 | 18.5 | 2.47 | 113 | 58.7 |
| balanced_w20 | test | 1.99 | 0.805 | 0.7771 | 52.6 | 18.3 | 2.88 | 189 | 46.12 |
| balanced_w20 | full | 1.71 | 0.493 | 0.96 | 45.6 | 19.3 | 2.37 | 481 | 47.18 |
| balanced_w30 | train | 1.11 | 0.774 | 0.3854 | 26.5 | 17.1 | 1.55 | 201 | 37.98 |
| balanced_w30 | validation | 1.9 | 0.94 | 0.6164 | 47.7 | 17.3 | 2.76 | 104 | 60.31 |
| balanced_w30 | test | 1.54 | 0.799 | 0.5812 | 37.9 | 18.3 | 2.08 | 197 | 45.83 |
| balanced_w30 | full | 1.52 | 0.492 | 0.9144 | 39.4 | 21.3 | 1.85 | 496 | 43.55 |
| balanced_w40 | train | 1.16 | 0.782 | 0.4113 | 25.9 | 16.2 | 1.6 | 202 | 34.58 |
| balanced_w40 | validation | 2.07 | 0.943 | 0.6827 | 56.2 | 18.4 | 3.06 | 103 | 50.36 |
| balanced_w40 | test | 1.29 | 0.807 | 0.4574 | 30 | 17.8 | 1.68 | 202 | 46.62 |
| balanced_w40 | full | 1.34 | 0.496 | 0.8401 | 32.3 | 26.4 | 1.22 | 507 | 40.83 |
## Mechanical selection
- No overlay passed the train + validation requirements.
Production remains unchanged pending human review.
reports/fundamentals-overlay-20260723-135627.zip
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scripts/run_fundamentals_macbook.sh
Regular → Executable
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