dennisthiessen/signal-platform
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

tests done

Browse Source
This commit is contained in:
Dennis Thiessen
2026-07-23 17:37:43 +02:00
parent 34d6dda1ab
commit dba7ea739b
6 changed files with 90307 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
reports/fundamentals-splitsafe-20260723-153520.md
+105
View File
@@ -0,0 +1,105 @@
# Split-safe fundamentals overlay sensitivity
Generated: 2026-07-23T15:36:07.807809+00:00
## Protocol
- Research protocol: **split-safe**.
- 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: **10**.
## Data warnings
- Current tracked universe only: historical constituent membership and delisted names are unavailable, so absolute results have survivorship bias.
- Diluted-EPS growth and share-count change are excluded because filing-time values are not split-comparable without point-in-time split factors.
- Earnings surprise is excluded because the completed SUE study already failed its promotion bar for this strategy.
- The test window has already been observed; this follow-up is sensitivity evidence and live paper performance remains the final out-of-sample check.
## Factor IC
| window | signal | IC | t | positive | quintile spread | weeks | N |
|---|---|---:|---:|---:|---:|---:|---:|
| train | net_debt_to_ebitda | 0.0141 | 0.46 | 61.9 | 0.0098 | 21 | 183.9 |
| train | growth | 0.0006 | 0.02 | 47.6 | 0.0044 | 21 | 406.8 |
| 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 | balanced | -0.0075 | -0.2 | 47.6 | -0.003 | 21 | 305.9 |
| train | quality | -0.0185 | -0.72 | 47.6 | -0.0092 | 21 | 318.2 |
| train | operating_margin | -0.0288 | -1.36 | 28.6 | -0.0131 | 21 | 333.3 |
| validation | balanced | 0.0597 | 1.18 | 55.6 | 0.013 | 9 | 312.9 |
| validation | growth | 0.0485 | 0.95 | 55.6 | 0.0205 | 9 | 416.7 |
| validation | revenue_growth_yoy | 0.0485 | 0.95 | 55.6 | 0.0205 | 9 | 416.7 |
| validation | fcf_margin | 0.0268 | 0.84 | 66.7 | 0.0003 | 9 | 368 |
| validation | quality | 0.0144 | 0.6 | 44.4 | -0.0019 | 9 | 323.1 |
| validation | net_debt_to_ebitda | 0.0066 | 0.12 | 55.6 | 0.0104 | 9 | 184.6 |
| validation | operating_margin | -0.0056 | -0.18 | 44.4 | -0.0058 | 9 | 338.3 |
| test | growth | 0.0053 | 0.14 | 46.2 | 0.0046 | 13 | 429.3 |
| 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 | -0.0318 | -0.67 | 46.2 | -0.0123 | 13 | 318.9 |
| 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 |
| test | quality | -0.055 | -1.63 | 30.8 | -0.0288 | 13 | 332.2 |
| full | growth | 0.0116 | 0.55 | 47.6 | 0.0069 | 42 | 415.5 |
| full | revenue_growth_yoy | 0.0116 | 0.55 | 47.6 | 0.0069 | 42 | 415.5 |
| full | net_debt_to_ebitda | 0.006 | 0.29 | 54.8 | 0.0037 | 42 | 187.9 |
| full | balanced | -0.0042 | -0.18 | 47.6 | -0.0032 | 42 | 311.2 |
| full | fcf_margin | -0.0161 | -1.04 | 35.7 | -0.0123 | 42 | 370.5 |
| full | quality | -0.0242 | -1.45 | 38.1 | -0.014 | 42 | 323.6 |
| 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 | 0.5133 | 32.5 | 18.5 | 1.76 | 195 | — |
| control_w00 | validation | 2.52 | 0.938 | 0.8618 | 71.3 | 14.8 | 4.82 | 106 | — |
| control_w00 | test | 1.99 | 0.81 | 0.8122 | 54.4 | 19.2 | 2.83 | 188 | — |
| control_w00 | full | 1.86 | 0.49 | 0.986 | 52.1 | 22.3 | 2.34 | 483 | — |
| quality_w05 | train | 1.5 | 0.767 | 0.6354 | 40.3 | 16.7 | 2.42 | 192 | 72 |
| quality_w05 | validation | 2.43 | 0.939 | 0.8392 | 67.4 | 17.3 | 3.89 | 106 | 73.77 |
| quality_w05 | test | 1.67 | 0.807 | 0.6889 | 43.1 | 19.2 | 2.24 | 191 | 64.78 |
| quality_w05 | full | 1.81 | 0.492 | 0.9816 | 49.7 | 22 | 2.26 | 482 | 68.12 |
| quality_w10 | train | 1.68 | 0.768 | 0.7191 | 46.1 | 16.7 | 2.75 | 195 | 64.56 |
| quality_w10 | validation | 1.95 | 0.948 | 0.6828 | 47.9 | 17.8 | 2.69 | 112 | 61.48 |
| quality_w10 | test | 1.57 | 0.809 | 0.6436 | 39.7 | 18.8 | 2.12 | 193 | 56.79 |
| quality_w10 | full | 1.72 | 0.493 | 0.9714 | 46 | 19.3 | 2.39 | 491 | 59.67 |
| quality_w15 | train | 1.4 | 0.773 | 0.5848 | 35.8 | 15.3 | 2.33 | 189 | 47.69 |
| quality_w15 | validation | 1.85 | 0.932 | 0.6467 | 45 | 18.4 | 2.44 | 111 | 57.25 |
| quality_w15 | test | 1.78 | 0.804 | 0.7361 | 46.3 | 18.8 | 2.47 | 195 | 49.61 |
| quality_w15 | full | 1.66 | 0.491 | 0.963 | 43.4 | 19.7 | 2.2 | 484 | 48.31 |
| growth_w05 | train | 1.31 | 0.768 | 0.5392 | 32.7 | 17.9 | 1.83 | 192 | 72 |
| growth_w05 | validation | 2.64 | 0.918 | 0.893 | 73.6 | 11.6 | 6.33 | 103 | 75.63 |
| growth_w05 | test | 1.99 | 0.8 | 0.8152 | 56.1 | 18.9 | 2.96 | 190 | 64.35 |
| growth_w05 | full | 1.87 | 0.489 | 0.9869 | 51.5 | 21.3 | 2.41 | 481 | 68.53 |
| growth_w10 | train | 1.11 | 0.775 | 0.4362 | 26.3 | 17.8 | 1.47 | 197 | 53.73 |
| growth_w10 | validation | 2.64 | 0.918 | 0.893 | 73.6 | 11.6 | 6.33 | 103 | 75.63 |
| growth_w10 | test | 1.92 | 0.808 | 0.7886 | 54.1 | 17.3 | 3.13 | 192 | 55.1 |
| growth_w10 | full | 1.77 | 0.492 | 0.9776 | 48.9 | 20.2 | 2.42 | 490 | 56.94 |
| growth_w15 | train | 1.07 | 0.772 | 0.4156 | 24.6 | 18 | 1.37 | 194 | 52.55 |
| growth_w15 | validation | 2.02 | 0.93 | 0.7123 | 52.6 | 19.1 | 2.76 | 100 | 58.46 |
| growth_w15 | test | 1.61 | 0.809 | 0.6618 | 42.3 | 17.3 | 2.45 | 191 | 55.97 |
| growth_w15 | full | 1.39 | 0.492 | 0.8915 | 34.7 | 20.6 | 1.69 | 487 | 54.95 |
| balanced_w05 | train | 1.2 | 0.771 | 0.4822 | 30.2 | 20.9 | 1.45 | 198 | 73.13 |
| balanced_w05 | validation | 2.25 | 0.947 | 0.7861 | 62.1 | 20 | 3.11 | 106 | 70.97 |
| balanced_w05 | test | 2.02 | 0.802 | 0.8244 | 55.6 | 18.9 | 2.94 | 185 | 78.47 |
| balanced_w05 | full | 1.76 | 0.492 | 0.9765 | 48.3 | 21.9 | 2.2 | 481 | 73.69 |
| balanced_w10 | train | 1.34 | 0.77 | 0.5545 | 34.1 | 17 | 2.01 | 189 | 68.42 |
| balanced_w10 | validation | 1.82 | 0.93 | 0.6349 | 43.1 | 19.3 | 2.23 | 110 | 58.82 |
| balanced_w10 | test | 2 | 0.811 | 0.8152 | 55.9 | 18.5 | 3.03 | 187 | 57.56 |
| balanced_w10 | full | 1.71 | 0.492 | 0.9703 | 46 | 19.9 | 2.31 | 476 | 59.57 |
| balanced_w15 | train | 1.35 | 0.766 | 0.5599 | 34.3 | 15.5 | 2.21 | 182 | 56.43 |
| balanced_w15 | validation | 1.89 | 0.931 | 0.6627 | 45.3 | 17.8 | 2.54 | 111 | 55 |
| balanced_w15 | test | 1.83 | 0.808 | 0.755 | 48.7 | 18.5 | 2.64 | 190 | 50 |
| balanced_w15 | full | 1.59 | 0.49 | 0.9503 | 41 | 19.9 | 2.06 | 474 | 52.88 |
## Mechanical selection
- Development-selected arm: **growth_w05**. The test result is reported only as a final check.
- Final check: `{'arm_id': 'growth_w05', 'pass': True, 'checks': {'test_sharpe_not_worse': True, 'test_drawdown_within_2pp': True}, 'test_sharpe_delta': 0.0, 'note': 'Research evidence only; passing does not change production.'}`
Production remains unchanged pending human review.