What the system sees, where the gaps are, and what's been mitigated.
Companies
1,602
survivor universe
Start
2006-01-03
first source date
End
2015-12-31
last source date
Survivorship-biased universe: all 1,602 companies are present every day in the source data.
| 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 | 2006-03-22 | 98.6% |
| growth | 252 | 2007-01-04 | 96.1% |
| quality | 0 | 2006-03-22 | 98.6% |
available_date = max(filing_date, period_end_date) ensures data is never accessible before quarter end.
| Company | Filing date | Period end | Lag |
|---|---|---|---|
| 255397 | 2011-04-25 | 2011-04-30 | -5d |
| 255397 | 2011-07-01 | 2011-07-30 | -29d |
| 255397 | 2011-09-30 | 2011-10-29 | -29d |
| 255397 | 2012-05-01 | 2012-05-05 | -4d |
| 890498 | 2013-03-28 | 2013-03-31 | -3d |
returns clipped at +/-100% in run_backtest engine.
| Company | Date | Return | Cause | Mitigation |
|---|---|---|---|---|
| 21934749 | 2014-10-16 | 2,592.782x | reverse-split adjustment artifact | clipped at ±100% in run_backtest engine |
| 174336 | 2008-02-01 | 2,456.709x | likely corporate action or restructuring (crisis-era data) | clipped at ±100% in run_backtest engine |
| 2557861 | 2008-11-21 | 600% | likely corporate action or restructuring (crisis-era data) | clipped at ±100% in run_backtest engine |
| 28922 | 2009-07-29 | 330% | likely corporate action or restructuring (crisis-era data) | clipped at ±100% in run_backtest engine |
| 296889 | 2009-03-23 | 275% | likely corporate action or restructuring (crisis-era data) | clipped at ±100% in run_backtest engine |
| 177251 | 2009-03-17 | 242% | likely corporate action or restructuring (crisis-era data) | clipped at ±100% in run_backtest engine |
Honest caveat
The source universe contains 1,602 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
Mean
42d
Median
38d
Max
620d
Most fundamentals are filed within 90 days of period-end; we use available_date as the PIT key.