signal-platform/reports/fundamentals-overlay-20260723-135627.md

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.