Factors
Backtest verdicts across the factor zoo, as of 2026-09-30.
Verdict counts
backtest, full out-of-sample
Core
8
Works
20
Marginal
6
Backfires
1
None
35
Factor table
sortable, filterable — click a row for details
| Factor | Theme | t (5D) | t (20D) | LS ann. (20D) | Verdict ▲ | Inverted |
|---|---|---|---|---|---|---|
| liquidity | Liquidity | 5.32 | 6.26 | 2.48 | CORE | |
| size_tilt | Size | -4.61 | -5.49 | -2.52 | CORE | yes |
| overnight_persistence | ShortHorizon | -3.02 | -3.79 | -0.84 | CORE | yes |
| low_skew | Behavioral | 3.24 | 3.67 | 1.31 | CORE | |
| cash_flow_yield | QualityPlus | 3.93 | 3.53 | 1.52 | CORE | |
| dividend_yield | Income | 4.05 | 3.39 | 1.95 | CORE | |
| low_idio_vol | Low-Risk | 3.93 | 3.34 | 1.52 | CORE | |
| sect_rel_value | SectorRel | 3.87 | 3.34 | 1.43 | CORE | |
| value_earnings_yield | Value | 3.59 | 3.24 | 1.39 | WORKS | |
| quality_low_leverage | Quality | -2.87 | -3.12 | -1.85 | WORKS | yes |
| anti_lottery | Behavioral | 3.41 | 3.10 | 0.92 | WORKS | |
| volume_breakout_5d | Volume | 2.07 | 3.10 | 0.48 | WORKS | |
| sect_rel_dividend | SectorRel | 3.02 | 3.02 | 1.80 | WORKS | |
| value_breakout_5d | Volume | 1.98 | 3.02 | 0.36 | WORKS | |
| value_composite | Value | 3.27 | 2.99 | 1.70 | WORKS | |
| low_volatility | Low-Risk | 3.50 | 2.94 | 0.82 | WORKS | |
| quality_value_combo | Quality+Value | 2.87 | 2.66 | 0.85 | WORKS | |
| foreign_conviction | Flow | 3.43 | 2.62 | 1.00 | WORKS | |
| low_dilution | Forensic | 2.52 | 2.56 | 0.70 | WORKS | |
| sect_rel_value_breakout | SectorRel | 1.04 | 2.52 | 0.84 | WORKS | |
| volume_surge | Volume | 2.21 | 2.51 | 0.74 | WORKS | |
| earnings_surprise_sue | Earnings | 3.03 | 2.47 | 1.08 | WORKS | |
| foreign_flow_5d | Flow | 2.82 | 2.43 | — | WORKS | |
| low_downside_vol | Low-Risk | 3.26 | 2.39 | 1.06 | WORKS | |
| range_spike_fade | ShortHorizon | -2.80 | -2.13 | -1.27 | WORKS | yes |
| sect_rel_low_vol | SectorRel | 3.16 | 1.87 | 0.67 | WORKS | |
| growth_earnings | Growth | 2.54 | 1.74 | 1.13 | WORKS | |
| quality_margin | Quality | 2.77 | 1.64 | 0.29 | WORKS | |
| value_book_yield | Value | 2.19 | 2.32 | 1.16 | MARGINAL | |
| near_52w_high | Structure | 2.19 | 1.80 | 0.96 | MARGINAL | |
| low_beta | Low-Risk | 2.27 | 1.42 | 0.63 | MARGINAL | |
| vwap_reversion | Reversal | 2.33 | 1.24 | 0.88 | MARGINAL | yes |
| reversal_1d | ShortHorizon | 2.37 | 0.93 | 0.83 | MARGINAL | |
| intraday_fade | ShortHorizon | 2.33 | 0.84 | 0.60 | MARGINAL | yes |
| accumulation | Volume | -3.04 | -2.68 | -1.03 | BACKFIRES | yes |
| stable_leverage | Forensic | 2.69 | 2.00 | 1.15 | NONE | |
| earnings_acceleration | Earnings | 1.20 | 1.83 | 1.53 | NONE | |
| trend_near_highs | Structure | 1.88 | 1.70 | 0.85 | NONE | |
| asset_turnover | QualityPlus | -1.81 | -1.66 | -0.25 | NONE | yes |
| sect_rel_book_value | SectorRel | 1.03 | 1.65 | 1.10 | NONE | |
| gap_fade | ShortHorizon | 1.58 | 1.52 | 0.78 | NONE | |
| solvency | Forensic | -0.67 | -1.47 | -0.74 | NONE | yes |
| liquidity_shock | Volume | 0.59 | 1.18 | 0.24 | NONE | |
| volume_streak | Volume | 0.28 | 0.91 | — | NONE | |
| sect_rel_quality | SectorRel | 1.75 | 0.88 | 0.11 | NONE | |
| momentum_1m | Momentum | -0.77 | -0.82 | 0.23 | NONE | yes |
| close_strength_5d | ShortHorizon | 0.13 | 0.78 | 0.48 | NONE | |
| oversold_rsi | Reversal | 0.25 | 0.75 | -0.13 | NONE | |
| foreign_flow_20d | Flow | 0.61 | -0.63 | — | NONE | yes |
| sect_rel_momentum | SectorRel | 0.04 | -0.58 | -0.09 | NONE | |
| above_ma20 | Structure | -0.62 | -0.50 | 0.24 | NONE | yes |
| sector_momentum_60d | SectorRotation | -0.03 | 0.49 | 0.29 | NONE | |
| sector_momentum_20d | SectorRotation | -0.98 | 0.48 | 0.28 | NONE | |
| momentum_2w | Momentum | -0.50 | -0.48 | -0.21 | NONE | |
| accumulation_days_5d | Volume | -0.69 | -0.43 | — | NONE | yes |
| growth_revenue | Growth | 0.54 | 0.41 | 0.24 | NONE | yes |
| no_profit_without_cash | Forensic | 1.52 | 0.41 | — | NONE | |
| cash_profitability | QualityPlus | 1.14 | 0.39 | 0.39 | NONE | |
| reversal_3d | ShortHorizon | 1.96 | 0.33 | -0.32 | NONE | |
| momentum_6m | Momentum | 0.23 | -0.26 | -0.06 | NONE | |
| cash_conversion_quality | Forensic | 0.22 | 0.25 | — | NONE | |
| intraday_momentum_20d | ShortHorizon | 0.26 | 0.25 | 0.32 | NONE | |
| ebit_profitability | QualityPlus | 0.79 | -0.16 | -0.28 | NONE | yes |
| momentum_intermediate | Momentum | 0.95 | 0.13 | 0.04 | NONE | |
| short_term_reversal | Reversal | 0.47 | -0.12 | -0.14 | NONE | yes |
| pead | Earnings | 0.09 | 0.10 | — | NONE | yes |
| idio_reversal_5d | ShortHorizon | 0.42 | -0.08 | -0.08 | NONE | yes |
| clean_accruals | Forensic | 0.45 | 0.05 | 0.19 | NONE | |
| quality_profitability | Quality | 0.65 | 0.04 | 0.11 | NONE | yes |
| short_pressure | Flow | — | — | — | NONE | yes |
Rotation since 2026-03-01
risers and fallers vs. full-OOS IC, both horizons
| Factor | Theme | Horizon | IC (OOS) | IC (since turn) | Shift | |
|---|---|---|---|---|---|---|
| sector_momentum_20d | SectorRotation | 20D | 0.008 | 0.100 | ||
| accumulation | Volume | 20D | -0.035 | 0.022 | SIGN FLIP | |
| quality_low_leverage | Quality | 20D | -0.057 | 0.000 | ||
| liquidity_shock | Volume | 20D | 0.027 | 0.082 | ||
| pead | Earnings | 20D | -0.017 | 0.027 | SIGN FLIP | |
| solvency | Forensic | 20D | -0.034 | 0.007 | ||
| short_term_reversal | Reversal | 5D | 0.015 | 0.048 | ||
| quality_low_leverage | Quality | 5D | -0.031 | 0.002 | ||
| growth_earnings | Growth | 20D | 0.024 | 0.056 | ||
| overnight_persistence | ShortHorizon | 20D | -0.052 | -0.023 | ||
| momentum_intermediate | Momentum | 20D | 0.019 | 0.047 | ||
| sector_momentum_20d | SectorRotation | 5D | -0.006 | 0.022 | SIGN FLIP | |
| idio_reversal_5d | ShortHorizon | 5D | 0.010 | 0.037 | ||
| momentum_1m | Momentum | 20D | -0.009 | 0.019 | ||
| solvency | Forensic | 5D | -0.010 | 0.013 | ||
| oversold_rsi | Reversal | 5D | 0.003 | 0.024 | ||
| reversal_3d | ShortHorizon | 5D | 0.030 | 0.049 | ||
| growth_earnings | Growth | 5D | 0.026 | 0.045 | ||
| intraday_fade | ShortHorizon | 5D | 0.035 | 0.054 | ||
| pead | Earnings | 5D | 0.004 | 0.022 | ||
| size_tilt | Size | 5D | -0.070 | -0.058 | ||
| size_tilt | Size | 20D | -0.121 | -0.109 | ||
| overnight_persistence | ShortHorizon | 5D | -0.034 | -0.028 | ||
| liquidity | Liquidity | 20D | 0.120 | 0.125 | ||
| liquidity | Liquidity | 5D | 0.068 | 0.069 | ||
| cash_flow_yield | QualityPlus | 5D | 0.037 | 0.009 | ||
| dividend_yield | Income | 5D | 0.041 | 0.010 | ||
| sect_rel_value | SectorRel | 5D | 0.034 | 0.002 | ||
| anti_lottery | Behavioral | 5D | 0.050 | 0.019 | ||
| sect_rel_low_vol | SectorRel | 5D | 0.043 | 0.007 | ||
| quality_value_combo | Quality+Value | 5D | 0.032 | -0.003 | ||
| clean_accruals | Forensic | 5D | 0.002 | -0.036 | SIGN FLIP | |
| low_idio_vol | Low-Risk | 5D | 0.067 | 0.029 | ||
| value_earnings_yield | Value | 5D | 0.034 | -0.010 | ||
| low_beta | Low-Risk | 5D | 0.042 | -0.003 | ||
| low_volatility | Low-Risk | 5D | 0.064 | 0.017 | ||
| low_downside_vol | Low-Risk | 5D | 0.060 | 0.011 | ||
| cash_flow_yield | QualityPlus | 20D | 0.068 | 0.007 | ||
| quality_value_combo | Quality+Value | 20D | 0.045 | -0.031 | SIGN FLIP | |
| sect_rel_value | SectorRel | 20D | 0.062 | -0.015 | ||
| low_idio_vol | Low-Risk | 20D | 0.103 | 0.026 | ||
| clean_accruals | Forensic | 20D | 0.008 | -0.074 | SIGN FLIP | |
| anti_lottery | Behavioral | 20D | 0.074 | -0.016 | ||
| dividend_yield | Income | 20D | 0.075 | -0.020 | SIGN FLIP | |
| low_downside_vol | Low-Risk | 20D | 0.090 | -0.005 | ||
| value_earnings_yield | Value | 20D | 0.069 | -0.030 | SIGN FLIP | |
| low_volatility | Low-Risk | 20D | 0.096 | -0.005 | ||
| low_beta | Low-Risk | 20D | 0.057 | -0.055 | SIGN FLIP |