Fundamental screens — in-sample, out-of-sample & forward
Rank the universe by a point-in-time fundamental each quarter, hold the top K, equal-weight. IS = in-sample fit, OOS = held-out, Walk-forward = rolling re-fit, Forward = live since the last rebalance.
| Screen | Top K | OOS net | OOS win | OOS maxDD | Walk-forward | Forward | Status |
|---|---|---|---|---|---|---|---|
| EPS Acceleration | 15 | +51.4% | 83% | −13.8% | 6/6 folds | -3.6% | Robust |
| Revenue Growth | 10 | +39.7% | 58% | −19.1% | 2/4 folds | +0.0% | NOT_ROBUST |
| Return on Equity (ROE) | 5 | +29.3% | 58% | −20.0% | 4/6 folds | -2.8% | Robust |
| Momentum ∧ Quality | 10 | +21.4% | 67% | −23.0% | 4/6 folds | -3.1% | Robust |
| Net Margin | 5 | -1.0% | 33% | −23.7% | 1/4 folds | +0.0% | NOT_ROBUST |
Honest caveat: PIT-clean on fundamentals (filed_at<=decision date), but universe = today's filers → survivorship-limited; not a tradeable edge on magnitude alone
Method: real 1d candles, quarterly rebalance, rank by point-in-time fundamental (latest accession filed<=date), next-open fills, 1 bps/side, IS-rank/OOS-holdout