Negative filing lags (fixed)
available_date = max(filing_date, period_end_date) ensures data is never accessible before quarter end.
| Company | Filing date | Period end | Lag |
|---|
Data Quality
What the system sees, where the gaps are, and what's been mitigated.
Universe overview
Companies
608
survivor universe
Start
2006-01-03
first source date
End
2015-12-31
last source date
Coverage timeseries
OHLCV countFundamentals countUniverse size
Survivorship-biased universe: all 608 companies are present every day in the source data.
Per-signal coverage
| Signal | Warmup days | First valid date | Mean coverage |
|---|---|---|---|
| momentum | 252 | 2007-01-04 | 100.0% |
| mean_reversion | 5 | 2006-01-10 | 100.0% |
| value | 0 | 2006-03-23 | 98.6% |
| growth | 252 | 2007-01-04 | 96.0% |
| quality | 0 | 2006-03-23 | 98.6% |
Universe composition
Exchange
NASDAQ608
Sector
Banks72
Semiconductors and Semiconductor Equipment52
Software36
Electronic Equipment, Instruments and Components30
Hotels, Restaurants and Leisure28
Health Care Equipment and Supplies27
Biotechnology24
Communications Equipment23
Specialty Retail20
Professional Services17
Health Care Providers and Services14
Commercial Services and Supplies14
Capital Markets13
Technology Hardware, Storage and Peripherals12
Insurance11
Ground Transportation11
Life Sciences Tools and Services11
Media9
Machinery9
Consumer Staples Distribution and Retail9
Oil, Gas and Consumable Fuels9
Food Products9
Diversified Telecommunication Services8
Entertainment7
Pharmaceuticals7
Household Durables7
IT Services6
Financial Services6
Energy Equipment and Services6
Diversified Consumer Services6
Electric Utilities6
Aerospace and Defense5
Interactive Media and Services5
Building Products5
Electrical Equipment4
Specialized REITs4
Beverages4
Metals and Mining4
Consumer Finance4
Chemicals4
Air Freight and Logistics4
Health Care Technology3
Hotel and Resort REITs3
Leisure Products3
Distributors3
Construction and Engineering3
Passenger Airlines3
Industrial Conglomerates3
Trading Companies and Distributors3
Automobile Components3
Household Products3
Textiles, Apparel and Luxury Goods3
Broadline Retail2
Personal Care Products2
Water Utilities2
Retail REITs2
Multi-Utilities1
Paper and Forest Products1
Real Estate Management and Development1
Health Care REITs1
Wireless Telecommunication Services1
Anomalies
Extreme daily returns (clipped)
returns clipped at +/-100% in run_backtest engine.
| Company | Date | Return | Cause | Mitigation |
|---|
Honest caveat
Survivorship bias
The source universe contains 608 surviving names. Known failed or acquired companies are absent, including:
Lehman Brothers
LEH · 2008-09-15
bankruptcy
Bear Stearns
BSC · 2008-03
acquired by JPM
Wachovia
WB · 2008-10
acquired by WFC
General Motors
GM (old) · 2009-06
bankruptcy
CIT Group
CIT · 2009-11
bankruptcy
Estimated return inflation
1-4% annualized
All reported returns are upper bounds; methodology is sound, data has a known limitation
Fundamentals freshness
Mean
44d
Median
39d
Max
620d
Most fundamentals are filed within 90 days of period-end; we use available_date as the PIT key.