signal-platform/reports/fundamentals-splitsafe-20260723-153520.md

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.