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Fri, Oct 23

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Equities & Options

45
  1. Latest
    Price momentumDaily outlier

    LQ5 Neutral momentum 10d: Lower‑ranked stocks led on the most recent evaluation day with an IC of –0.34, a result in the 1.7th percentile of its past.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.3377, at +1.7 percentile of the factor's own history.
    Model
    The latest daily IC is –0.34, meaning stocks ranked lower by this factor outperformed those ranked higher on that day. That result sits at the 1.7th percentile of all past daily ICs, indicating it is an extreme tail event. The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +0.95 shows that over short horizons the factor usually ranks leaders ahead of laggards, so this reversal is a notable deviation from its typical behavior.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+0.95
    ICIR · 20D+2.10
    ICIR · 60D-0.49
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.3377
    IC historical percentile1.7%
    IC robust z-2.80
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.9%
    Spread Sharpe+0.41
    Evaluation dates318
    Peer percentile · 10D49.0%
    Measured peers104
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Neutral momentum 10d

    Price momentumDaily outlierIntradayhistorical-evaluation
  2. Latest
    Price momentumDaily outlier

    LQ10 Gap momentum 10d: Lower‑ranked stocks led the most recent day, with a -0.28 IC and a 3.1% percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.2793, at +3.1 percentile of the factor's own history.
    Model
    The latest daily IC of -0.28 places the factor at the 3.1st percentile, meaning lower‑ranked stocks led. The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of -5.66 shows this reversal was more pronounced over the short window than longer horizons, so the rank direction stayed the same across horizons.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.66
    ICIR · 20D-4.44
    ICIR · 60D-2.98
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.2793
    IC historical percentile3.1%
    IC robust z-2.15
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →47.5%
    Spread Sharpe-2.64
    Evaluation dates99
    Peer percentile · 10D21.7%
    Measured peers180
    Nearest-peer IC correlation+1.00

    Factor

    #LQ10 Gap momentum 10d

    Price momentumDaily outlierIntradayhistorical-evaluation
  3. Latest
    Derivatives OptionsDaily outlier

    LQ1 OTM put demand share: lower‑ranked stocks led on the latest day with an IC of –0.0499, sitting at the 6.2 percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.0499, at +6.2 percentile of the factor's own history.
    Model
    The latest daily IC of –0.0499 places the factor at the 6.2 percentile, meaning lower‑ranked stocks outperformed higher‑ranked ones that day. The short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –3.57 shows the rank direction reversed compared to the medium and long windows, indicating a more pronounced inversion on the shortest horizon.
    Interpretation
    This factor ranks stocks using the registered LQ1 OTM put demand share definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-3.57
    ICIR · 20D+1.49
    ICIR · 60D-1.81
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0499
    IC historical percentile6.2%
    IC robust z-1.53
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →45.7%
    Spread Sharpe-4.17
    Evaluation dates81
    Peer percentile · 10D70.8%
    Measured peers24
    Nearest-peer IC correlation+0.93

    Factor

    #LQ1 OTM put demand share

    Derivatives OptionsDaily outlierNext dayhistorical-evaluation
  4. Latest
    Price TechnicalDaily outlier

    LQ10 MACD histogram: lower‑ranked stocks led on the latest day, IC –0.345 at the 0.8th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.3450, at +0.8 percentile of the factor's own history.
    Model
    The latest daily IC is –0.345, placing the factor at the 0.0084 percentile; this means lower‑ranked stocks led that day. The short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +2.47 shows higher‑ranked stocks usually lead, so the rank direction reversed on the most recent day.
    Interpretation
    This factor ranks stocks using the registered LQ10 MACD histogram definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+2.47
    ICIR · 20D+2.93
    ICIR · 60D+0.04
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.3450
    IC historical percentile0.8%
    IC robust z-2.54
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.4%
    Spread Sharpe+0.51
    Evaluation dates281
    Peer percentile · 10D58.9%
    Measured peers180
    Nearest-peer IC correlation+1.00

    Factor

    #LQ10 MACD histogram

    Price TechnicalDaily outlierIntradayhistorical-evaluation
  5. Latest
    Price momentumWeaker short window

    LQ25 Residual momentum 20d: The 10-day ranking relationship is weaker than the 60-day relationship.

    Now
    The 10-day ranking relationship is weaker than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -0.61: lower-ranked stocks led. The 20-day ICIR is +0.57: higher-ranked stocks led. The 60-day ICIR is -1.75: lower-ranked stocks led. Since the previously published evaluation (2026-10-20), daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → moved from +0.00 to -0.08. Evaluation through 2026-10-21.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.61
    ICIR · 20D+0.57
    ICIR · 60D-1.75
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0794
    IC historical percentile28.6%
    IC robust z-0.52
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.3%
    Spread Sharpe-0.15
    Evaluation dates276
    Peer percentile · 10D38.5%
    Measured peers104
    Nearest-peer IC correlation+1.00

    Factor

    #LQ25 Residual momentum 20d

    Price momentumWeaker short windowIntradayhistorical-evaluation
  6. Latest
    VolatilityStronger short window

    LQ1 Low realized volatility 60d: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +4.40: higher-ranked stocks led. The 20-day ICIR is +4.06: higher-ranked stocks led. The 60-day ICIR is +2.77: higher-ranked stocks led. Evaluation through 2026-10-21.
    Interpretation
    This factor compares stocks by the size and instability of their price moves, highlighting where market risk is concentrated.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+4.40
    ICIR · 20D+4.06
    ICIR · 60D+2.77
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.2172
    IC historical percentile17.6%
    IC robust z-0.77
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.6%
    Spread Sharpe-0.10
    Evaluation dates638
    Peer percentile · 10D50.0%
    Measured peers34
    Nearest-peer IC correlation+1.00

    Factor

    #LQ1 Low realized volatility 60d

    VolatilityStronger short windowIntradayhistorical-evaluation
  7. Latest
    Price momentumWeaker short window

    LQ5 Prior day last hour momentum: The 10-day ranking relationship is weaker than the 60-day relationship.

    Now
    The 10-day ranking relationship is weaker than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -0.54: lower-ranked stocks led. The 20-day ICIR is +0.89: higher-ranked stocks led. The 60-day ICIR is -1.69: lower-ranked stocks led. Evaluation through 2026-10-22.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.54
    ICIR · 20D+0.89
    ICIR · 60D-1.69
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1371
    IC historical percentile92.4%
    IC robust z+1.24
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →51.0%
    Spread Sharpe-0.35
    Evaluation dates253
    Peer percentile · 10D69.0%
    Measured peers72
    Nearest-peer IC correlation+0.99

    Factor

    #LQ5 Prior day last hour momentum

    Price momentumWeaker short windowSame day to closehistorical-evaluation
  8. Latest
    Multi SourceStronger short window

    LQ1 full-input Ridge TA focused 60d v1: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.80: lower-ranked stocks led. The 20-day ICIR is -5.11: lower-ranked stocks led. The 60-day ICIR is -0.43: lower-ranked stocks led. Evaluation through 2026-10-21.
    Interpretation
    Walk-forward ridge forecast. Scores ASOF D from prior-date factor inputs; training excludes labels that would not have been known by D-1.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.80
    ICIR · 20D-5.11
    ICIR · 60D-0.43
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0668
    IC historical percentile69.7%
    IC robust z+0.52
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.2%
    Spread Sharpe-0.61
    Evaluation dates120
    Peer percentile · 10D25.4%
    Measured peers358
    Nearest-peer IC correlation+1.00

    Factor

    #LQ1 full-input Ridge TA focused 60d v1

    Multi SourceStronger short windowIntradayhistorical-evaluation
  9. Latest
    Multi SourceStronger short window

    LQ10 full-input Ridge broad v1: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.30: lower-ranked stocks led. The 20-day ICIR is -6.30: lower-ranked stocks led. The 60-day ICIR is -0.02: lower-ranked stocks led. Evaluation through 2026-10-21.
    Interpretation
    Walk-forward ridge forecast. Scores ASOF D from prior-date factor inputs; training excludes labels that would not have been known by D-1.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.30
    ICIR · 20D-6.30
    ICIR · 60D-0.02
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1596
    IC historical percentile86.6%
    IC robust z+1.13
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.3%
    Spread Sharpe+0.50
    Evaluation dates302
    Peer percentile · 10D28.8%
    Measured peers358
    Nearest-peer IC correlation+0.98

    Factor

    #LQ10 full-input Ridge broad v1

    Multi SourceStronger short windowIntradayhistorical-evaluation
  10. Latest
    Positioning and flowsStronger short window

    LQ5 Short crowding risk adjusted: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +7.45: higher-ranked stocks led. The 20-day ICIR is -0.08: lower-ranked stocks led. The 60-day ICIR is +0.07: higher-ranked stocks led. Since the previously published evaluation (2026-07-23), ICIR 10d moved from -5.40 to +7.45. Evaluation through 2026-10-21.
    Interpretation
    This factor looks for positioning that may be shared by many investors, where a reversal could be amplified as similar trades are unwound.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.45
    ICIR · 20D-0.08
    ICIR · 60D+0.07
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0024
    IC historical percentile50.4%
    IC robust z+0.04
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →45.6%
    Spread Sharpe-1.13
    Evaluation dates193
    Peer percentile · 10D94.7%
    Measured peers358
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Short crowding risk adjusted

    Positioning and flowsStronger short windowIntradayhistorical-evaluation
  11. Latest
    Positioning and flowsStronger short window

    LQ25 Short crowding risk adjusted: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +6.41: higher-ranked stocks led. The 20-day ICIR is +1.10: higher-ranked stocks led. The 60-day ICIR is +1.23: higher-ranked stocks led. Since the previously published evaluation (2026-10-01), ICIR 10d moved from -6.64 to +6.41. Evaluation through 2026-10-21.
    Interpretation
    This factor looks for positioning that may be shared by many investors, where a reversal could be amplified as similar trades are unwound.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+6.41
    ICIR · 20D+1.10
    ICIR · 60D+1.23
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0388
    IC historical percentile68.1%
    IC robust z+0.60
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →42.5%
    Spread Sharpe-2.16
    Evaluation dates193
    Peer percentile · 10D92.5%
    Measured peers358
    Nearest-peer IC correlation+0.87

    Factor

    #LQ25 Short crowding risk adjusted

    Positioning and flowsStronger short windowIntradayhistorical-evaluation
  12. Latest
    Price TechnicalDaily outlier

    LQ10 MACD histogram: Lower‑ranked stocks led on the most recent evaluation, with a daily IC of –0.47 at the bottom percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.4719, at +0.0 percentile of the factor's own history.
    Model
    The factor’s daily IC of –0.47, at the 0th percentile, shows that lower‑ranked stocks led on this day, a stark reversal from its typical short‑window positive ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +1.46. This extreme tail event indicates an unusual ranking pattern that deviates sharply from the factor’s historical behavior.
    Interpretation
    This factor ranks stocks using the registered LQ10 MACD histogram definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+1.46
    ICIR · 20D+2.87
    ICIR · 60D-0.38
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.4719
    IC historical percentile0.0%
    IC robust z-2.79
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.9%
    Spread Sharpe-0.28
    Evaluation dates318
    Peer percentile · 10D52.2%
    Measured peers180
    Nearest-peer IC correlation+0.99

    Factor

    #LQ10 MACD histogram

    Price TechnicalDaily outlierIntradayhistorical-evaluation
  13. Latest
    Price TechnicalDaily outlier

    LQ25 Rate of change 10d: lower‑ranked stocks led on the latest evaluated day with an IC of –0.496, the lowest in its history at the 1.7th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.4956, at +1.7 percentile of the factor's own history.
    Model
    The factor’s latest daily IC is –0.496, meaning lower‑ranked stocks outperformed higher‑ranked ones that day. That IC sits at the 1.7th percentile of its own historical distribution, indicating an unusually rare reversal. The rolling 10‑day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of +2.13 shows that over short horizons the factor normally ranks well, so this low daily IC is a sharp outlier in its tail behavior.
    Interpretation
    This factor ranks stocks using the registered LQ25 Rate of change 10d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+2.13
    ICIR · 20D+3.75
    ICIR · 60D+0.11
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.4956
    IC historical percentile1.7%
    IC robust z-2.51
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.8%
    Spread Sharpe+0.04
    Evaluation dates318
    Peer percentile · 10D55.0%
    Measured peers180
    Nearest-peer IC correlation+0.98

    Factor

    #LQ25 Rate of change 10d

    Price TechnicalDaily outlierIntradayhistorical-evaluation
  14. Latest
    Price momentumStronger short window

    LQ25 Residual momentum 20d: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -4.82: lower-ranked stocks led. The 20-day ICIR is -2.72: lower-ranked stocks led. The 60-day ICIR is -3.06: lower-ranked stocks led. Since the previously published evaluation (2026-10-14), ICIR 10d moved from -0.61 to -4.82. Evaluation through 2026-10-21.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-4.82
    ICIR · 20D-2.72
    ICIR · 60D-3.06
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1517
    IC historical percentile16.8%
    IC robust z-0.93
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.0%
    Spread Sharpe-0.39
    Evaluation dates318
    Peer percentile · 10D15.4%
    Measured peers104
    Nearest-peer IC correlation+1.00

    Factor

    #LQ25 Residual momentum 20d

    Price momentumStronger short windowIntradayhistorical-evaluation
  15. Latest
    Price momentumWeaker short window

    LQ5 Price momentum 20d: The 10-day ranking relationship is weaker than the 60-day relationship.

    Now
    The 10-day ranking relationship is weaker than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -1.14: lower-ranked stocks led. The 20-day ICIR is +0.37: higher-ranked stocks led. The 60-day ICIR is -2.44: lower-ranked stocks led. Since the previously published evaluation (2026-10-20), ICIR 20d moved from +1.37 to +0.37. Evaluation through 2026-10-21.
    Interpretation
    Within its liquid-stock universe, this factor ranks stocks by recent relative strength, testing whether leaders keep leading and laggards keep lagging.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-1.14
    ICIR · 20D+0.37
    ICIR · 60D-2.44
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.1191
    IC historical percentile22.0%
    IC robust z-0.85
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →47.5%
    Spread Sharpe-1.52
    Evaluation dates101
    Peer percentile · 10D35.6%
    Measured peers104
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Price momentum 20d

    Price momentumWeaker short windowIntradayhistorical-evaluation
  16. Latest
    LiquidityConsistent rank direction

    ETF flow surprise 20d: Lower-ranked stocks led across the measured windows.

    Now
    Lower-ranked stocks led across the measured windows.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -2.01: lower-ranked stocks led. The 20-day ICIR is -6.42: lower-ranked stocks led. The 60-day ICIR is -1.33: lower-ranked stocks led. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered ETF flow surprise 20d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-2.01
    ICIR · 20D-6.42
    ICIR · 60D-1.33
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0851
    IC historical percentile87.6%
    IC robust z+0.98
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.0%
    Spread Sharpe-0.76
    Evaluation dates98
    Peer percentile · 10D46.0%
    Measured peers50
    Nearest-peer IC correlation+0.93

    Factor

    #ETF flow surprise 20d

    LiquidityConsistent rank directionNext dayhistorical-evaluation
  17. Latest
    Mean reversionWeaker short window

    LQ1 Aroon oscillator 25d: The 10-day ranking relationship is weaker than the 60-day relationship.

    Now
    The 10-day ranking relationship is weaker than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -0.49: lower-ranked stocks led. The 20-day ICIR is +0.80: higher-ranked stocks led. The 60-day ICIR is -1.78: lower-ranked stocks led. Since the previously published evaluation (2026-10-19), ICIR 10d moved from -2.60 to -0.49. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ1 Aroon oscillator 25d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.49
    ICIR · 20D+0.80
    ICIR · 60D-1.78
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0760
    IC historical percentile76.5%
    IC robust z+0.81
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →43.2%
    Spread Sharpe-1.81
    Evaluation dates162
    Peer percentile · 10D45.0%
    Measured peers180
    Nearest-peer IC correlation+1.00

    Factor

    #LQ1 Aroon oscillator 25d

    Mean reversionWeaker short windowIntradayhistorical-evaluation
  18. Latest
    Price momentumConsistent rank direction

    LQ5 Prior day open close return: Lower-ranked stocks led across the measured windows.

    Now
    Lower-ranked stocks led across the measured windows.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -5.27: lower-ranked stocks led. The 20-day ICIR is -2.98: lower-ranked stocks led. The 60-day ICIR is -4.71: lower-ranked stocks led. Since the previously published evaluation (2026-10-21), ICIR 10d moved from -4.75 to -5.27. Evaluation through 2026-10-22.
    Interpretation
    This factor ranks stocks by the previous session's open-to-close return, testing whether that day's relative winners and losers carry forward or reverse.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.27
    ICIR · 20D-2.98
    ICIR · 60D-4.71
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0540
    IC historical percentile37.8%
    IC robust z-0.36
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →47.1%
    Spread Sharpe-0.91
    Evaluation dates255
    Peer percentile · 10D39.4%
    Measured peers72
    Nearest-peer IC correlation+0.99

    Factor

    #LQ5 Prior day open close return

    Price momentumConsistent rank directionSame day to closehistorical-evaluation
  19. Latest
    LiquidityDaily outlier

    LQ1 ETF flow pressure 1d: higher‑ranked stocks led on the latest day with IC +0.105 at the 93rd percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is +0.1050, at +93.0 percentile of the factor's own history.
    Model
    The latest IC of +0.105, at the 93rd percentile, means higher‑ranked stocks led on the evaluation day. The 10‑day rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –0.83 shows that over a short horizon lower‑ranked stocks had led, so the rank direction changed from the short window to the most recent day.
    Interpretation
    This factor ranks stocks using the registered LQ1 ETF flow pressure 1d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.83
    ICIR · 20D+1.68
    ICIR · 60D-1.96
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1050
    IC historical percentile93.0%
    IC robust z+1.69
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →42.6%
    Spread Sharpe-2.97
    Evaluation dates101
    Peer percentile · 10D52.0%
    Measured peers50
    Nearest-peer IC correlation+0.94

    Factor

    #LQ1 ETF flow pressure 1d

    LiquidityDaily outlierNext dayhistorical-evaluation
  20. Latest
    LiquidityStronger short window

    LQ1 ETF flow pressure 20d: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +5.56: higher-ranked stocks led. The 20-day ICIR is +6.12: higher-ranked stocks led. The 60-day ICIR is +4.44: higher-ranked stocks led. Since the previously published evaluation (2026-10-20), ICIR 20d moved from +7.23 to +6.12. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ1 ETF flow pressure 20d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+5.56
    ICIR · 20D+6.12
    ICIR · 60D+4.44
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0059
    IC historical percentile42.0%
    IC robust z-0.20
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →54.5%
    Spread Sharpe+1.65
    Evaluation dates101
    Peer percentile · 10D72.0%
    Measured peers50
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 ETF flow pressure 20d

    LiquidityStronger short windowNext dayhistorical-evaluation
  21. Latest
    Thematic SectorWeaker short window

    LQ25 Financials banks insurance and brokers exposure: The 10-day ranking relationship is weaker than the 60-day relationship.

    Now
    The 10-day ranking relationship is weaker than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -0.24: lower-ranked stocks led. The 20-day ICIR is -7.57: lower-ranked stocks led. The 60-day ICIR is -4.20: lower-ranked stocks led. Since the previously published evaluation (2026-09-16), ICIR 10d moved from -1.08 to -0.24. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ25 Financials banks insurance and brokers exposure definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Treat the weaker 10-day result cautiously until it recovers toward the longer record.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-0.24
    ICIR · 20D-7.57
    ICIR · 60D-4.20
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1395
    IC historical percentile90.8%
    IC robust z+1.50
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →49.7%
    Spread Sharpe-1.31
    Evaluation dates318
    Peer percentile · 10D63.5%
    Measured peers63
    Nearest-peer IC correlation+0.94

    Factor

    #LQ25 Financials banks insurance and brokers exposure

    Thematic SectorWeaker short windowIntradayhistorical-evaluation
  22. Latest
    Price TechnicalStronger short window

    LQ5 Bollinger width 20d: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.64: lower-ranked stocks led. The 20-day ICIR is -5.69: lower-ranked stocks led. The 60-day ICIR is -0.46: lower-ranked stocks led. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ5 Bollinger width 20d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.64
    ICIR · 20D-5.69
    ICIR · 60D-0.46
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1920
    IC historical percentile79.8%
    IC robust z+0.70
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →51.6%
    Spread Sharpe+0.36
    Evaluation dates318
    Peer percentile · 10D13.3%
    Measured peers180
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Bollinger width 20d

    Price TechnicalStronger short windowIntradayhistorical-evaluation
  23. Latest
    Market structureConsistent rank direction

    Intraday realized volatility: Lower-ranked stocks led across the measured windows.

    Now
    Lower-ranked stocks led across the measured windows.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -5.68: lower-ranked stocks led. The 20-day ICIR is -5.63: lower-ranked stocks led. The 60-day ICIR is -4.95: lower-ranked stocks led. Since the previously published evaluation (2026-10-19), ICIR 10d moved from -7.54 to -5.68. Evaluation through 2026-10-22.
    Interpretation
    This factor compares stocks by the size and instability of their price moves, highlighting where market risk is concentrated.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.68
    ICIR · 20D-5.63
    ICIR · 60D-4.95
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0865
    IC historical percentile32.8%
    IC robust z-0.52
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →42.4%
    Spread Sharpe-2.79
    Evaluation dates703
    Peer percentile · 10D7.4%
    Measured peers27
    Nearest-peer IC correlation-1.00

    Factor

    #Intraday realized volatility

    Market structureConsistent rank directionSame day to closehistorical-evaluation
  24. Latest
    Thematic SectorStronger short window

    LQ10 Metals mining and critical materials exposure: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.11: lower-ranked stocks led. The 20-day ICIR is -6.90: lower-ranked stocks led. The 60-day ICIR is -0.40: lower-ranked stocks led. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ10 Metals mining and critical materials exposure definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.11
    ICIR · 20D-6.90
    ICIR · 60D-0.40
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0270
    IC historical percentile63.2%
    IC robust z+0.34
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →45.5%
    Spread Sharpe+1.27
    Evaluation dates77
    Peer percentile · 10D34.9%
    Measured peers63
    Nearest-peer IC correlation+1.00

    Factor

    #LQ10 Metals mining and critical materials exposure

    Thematic SectorStronger short windowIntradayhistorical-evaluation
  25. Latest
    Multi SourceStronger short window

    LQ5 full-input Ridge TA focused 60d v1: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.83: lower-ranked stocks led. The 20-day ICIR is -5.22: lower-ranked stocks led. The 60-day ICIR is -0.85: lower-ranked stocks led. Evaluation through 2026-10-21.
    Interpretation
    Walk-forward ridge forecast. Scores ASOF D from prior-date factor inputs; training excludes labels that would not have been known by D-1.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.83
    ICIR · 20D-5.22
    ICIR · 60D-0.85
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0649
    IC historical percentile64.8%
    IC robust z+0.41
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →50.9%
    Spread Sharpe+1.22
    Evaluation dates106
    Peer percentile · 10D24.9%
    Measured peers358
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 full-input Ridge TA focused 60d v1

    Multi SourceStronger short windowIntradayhistorical-evaluation
  26. Latest
    Multi SourceHorizon disagreement

    LQ1 Short/long moving-average regime: Lower ranks led over 10 days; higher ranks led over 60 days.

    Now
    Lower ranks led over 10 days; higher ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -6.78: lower-ranked stocks led. The 20-day ICIR is -4.00: lower-ranked stocks led. The 60-day ICIR is +0.75: higher-ranked stocks led. Since the previously published evaluation (2026-10-13), ICIR 10d moved from -5.84 to -6.78. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ1 Short/long moving-average regime definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-6.78
    ICIR · 20D-4.00
    ICIR · 60D+0.75
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.2078
    IC historical percentile97.5%
    IC robust z+3.34
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →54.9%
    Spread Sharpe+2.22
    Evaluation dates82
    Peer percentile · 10D15.5%
    Measured peers207
    Nearest-peer IC correlation+1.00

    Factor

    #LQ1 Short/long moving-average regime

    Multi SourceHorizon disagreement2-5 dayshistorical-evaluation
  27. Latest
    Market structureStronger short window

    VWAP breakout versus ADV correlation gate: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.38: lower-ranked stocks led. The 20-day ICIR is -5.76: lower-ranked stocks led. The 60-day ICIR is -0.14: lower-ranked stocks led. Since the previously published evaluation (2026-10-12), ICIR 20d moved from -4.65 to -5.76. Evaluation through 2026-10-21.
    Interpretation
    Boolean gate comparing VWAP breakout rank to VWAP/ADV180 correlation rank. Computed over the daily alpha model universe and stored as a same-date cross-sectional rank z-scoreZ-scoreA standardized value expressed as its distance from the cross-sectional mean in estimated standard-deviation units.Open glossary entry →.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.38
    ICIR · 20D-5.76
    ICIR · 60D-0.14
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0476
    IC historical percentile76.5%
    IC robust z+0.76
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.1%
    Spread Sharpe+0.95
    Evaluation dates316
    Peer percentile · 10D10.6%
    Measured peers207
    Nearest-peer IC correlation+0.97

    Factor

    #VWAP breakout versus ADV correlation gate

    Market structureStronger short window2-5 dayshistorical-evaluation
  28. Latest
    Mean reversionDaily outlier

    NC proxy for LQ10 One day reversal: Lower‑ranked stocks led the latest day, ranking 0.8th percentile and a short‑window ICIR of –1.19.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.5220, at +0.8 percentile of the factor's own history.
    Model
    The latest IC of –0.522 places the factor at the 0.84th percentile, meaning only about 1 % of stocks performed better that day. The short‑window ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –1.19 shows lower‑ranked stocks led over the past ten days. These figures mean the rank direction reversed between the 10‑day and longer horizons.
    Interpretation
    Within its liquid-stock universe, this factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-1.19
    ICIR · 20D+3.12
    ICIR · 60D+0.34
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.5220
    IC historical percentile0.8%
    IC robust z-2.56
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →52.9%
    Spread Sharpe-0.58
    Evaluation dates314
    Peer percentile · 10D25.7%
    Measured peers36
    Nearest-peer IC correlation+0.99

    Factor

    #NC proxy for LQ10 One day reversal

    Mean reversionDaily outlierSame day to closehistorical-evaluation
  29. Latest
    Multi SourceDaily outlier

    LQ1 Low breakout long-return volume rank: higher‑ranked stocks led on the latest day with an IC of 0.274 at the 100th percentile.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is +0.2737, at +100.0 percentile of the factor's own history.
    Model
    The latest daily IC of +0.2737 at the 100th percentile shows higher‑ranked stocks led on this day. The short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → of –4.6651 indicates that over the past ten days lower‑ranked stocks led, showing a reversal in rank direction between horizons.
    Interpretation
    This factor ranks stocks using the registered LQ1 Low breakout long-return volume rank definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-4.67
    ICIR · 20D-4.09
    ICIR · 60D-0.72
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.2737
    IC historical percentile100.0%
    IC robust z+3.40
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →46.9%
    Spread Sharpe-1.05
    Evaluation dates113
    Peer percentile · 10D44.0%
    Measured peers207
    Nearest-peer IC correlation+1.00

    Factor

    #LQ1 Low breakout long-return volume rank

    Multi SourceDaily outlier2-5 dayshistorical-evaluation
  30. Latest
    Positioning and flowsHorizon disagreement

    LQ5 Short crowding risk adjusted: Higher ranks led over 10 days; lower ranks led over 60 days.

    Now
    Higher ranks led over 10 days; lower ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +7.47: higher-ranked stocks led. The 20-day ICIR is -0.14: lower-ranked stocks led. The 60-day ICIR is -0.48: lower-ranked stocks led. Since the previously published evaluation (2026-09-28), ICIR 10d moved from -7.30 to +7.47. Evaluation through 2026-10-21.
    Interpretation
    This factor looks for positioning that may be shared by many investors, where a reversal could be amplified as similar trades are unwound.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.47
    ICIR · 20D-0.14
    ICIR · 60D-0.48
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0255
    IC historical percentile36.1%
    IC robust z-0.40
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →45.1%
    Spread Sharpe-1.42
    Evaluation dates193
    Peer percentile · 10D95.0%
    Measured peers358
    Nearest-peer IC correlation+0.97

    Factor

    #LQ5 Short crowding risk adjusted

    Positioning and flowsHorizon disagreementIntradayhistorical-evaluation
  31. Latest
    Derivatives OptionsStronger short window

    LQ1 Options premium intensity: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.35: lower-ranked stocks led. The 20-day ICIR is -5.89: lower-ranked stocks led. The 60-day ICIR is -0.62: lower-ranked stocks led. Since the previously published evaluation (2026-10-15), ICIR 20d moved from -4.51 to -5.89. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ1 Options premium intensity definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.35
    ICIR · 20D-5.89
    ICIR · 60D-0.62
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1121
    IC historical percentile80.6%
    IC robust z+0.82
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.5%
    Spread Sharpe-2.00
    Evaluation dates99
    Peer percentile · 10D25.0%
    Measured peers24
    Nearest-peer IC correlation+1.00

    Factor

    #LQ1 Options premium intensity

    Derivatives OptionsStronger short windowNext dayhistorical-evaluation
  32. Latest
    Positioning and flowsHorizon disagreement

    LQ1 High short volume ratio: Higher ranks led over 10 days; lower ranks led over 60 days.

    Now
    Higher ranks led over 10 days; lower ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +5.28: higher-ranked stocks led. The 20-day ICIR is +0.94: higher-ranked stocks led. The 60-day ICIR is -2.18: lower-ranked stocks led. Since the previously published evaluation (2026-10-20), ICIR 10d moved from +6.21 to +5.28. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ1 High short volume ratio definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+5.28
    ICIR · 20D+0.94
    ICIR · 60D-2.18
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0448
    IC historical percentile24.4%
    IC robust z-0.70
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →40.7%
    Spread Sharpe-2.88
    Evaluation dates194
    Peer percentile · 10D63.6%
    Measured peers11
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 High short volume ratio

    Positioning and flowsHorizon disagreementNext dayhistorical-evaluation
  33. Latest
    Price TechnicalHorizon disagreement

    LQ25 Lower wick support 20d: Lower ranks led over 10 days; higher ranks led over 60 days.

    Now
    Lower ranks led over 10 days; higher ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -6.83: lower-ranked stocks led. The 20-day ICIR is +0.20: higher-ranked stocks led. The 60-day ICIR is +1.91: higher-ranked stocks led. Since the previously published evaluation (2026-10-20), ICIR 20d moved from +0.82 to +0.20. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ25 Lower wick support 20d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-6.83
    ICIR · 20D+0.20
    ICIR · 60D+1.91
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0092
    IC historical percentile42.9%
    IC robust z-0.24
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →56.0%
    Spread Sharpe+0.83
    Evaluation dates318
    Peer percentile · 10D15.0%
    Measured peers180
    Nearest-peer IC correlation+0.96

    Factor

    #LQ25 Lower wick support 20d

    Price TechnicalHorizon disagreementIntradayhistorical-evaluation
  34. Latest
    Positioning and flowsHorizon disagreement

    LQ25 High short volume ratio: Higher ranks led over 10 days; lower ranks led over 60 days.

    Now
    Higher ranks led over 10 days; lower ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +7.46: higher-ranked stocks led. The 20-day ICIR is +2.69: higher-ranked stocks led. The 60-day ICIR is -1.21: lower-ranked stocks led. Since the previously published evaluation (2026-09-28), ICIR 10d moved from -7.85 to +7.46. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ25 High short volume ratio definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.46
    ICIR · 20D+2.69
    ICIR · 60D-1.21
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0431
    IC historical percentile21.8%
    IC robust z-0.88
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →48.7%
    Spread Sharpe-1.86
    Evaluation dates197
    Peer percentile · 10D81.8%
    Measured peers11
    Nearest-peer IC correlation+0.98

    Factor

    #LQ25 High short volume ratio

    Positioning and flowsHorizon disagreementNext dayhistorical-evaluation
  35. Latest
    Price momentumHorizon disagreement

    LQ1 Prior close to ASOF nowcast return: Higher ranks led over 10 days; lower ranks led over 60 days.

    Now
    Higher ranks led over 10 days; lower ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +1.59: higher-ranked stocks led. The 20-day ICIR is -5.75: lower-ranked stocks led. The 60-day ICIR is -5.75: lower-ranked stocks led. Evaluation through 2026-10-22.
    Interpretation
    This factor tests whether stocks that rank strongly on its inputs continue to lead peers.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+1.59
    ICIR · 20D-5.75
    ICIR · 60D-5.75
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.4101
    IC historical percentile99.2%
    IC robust z+3.24
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →29.7%
    Spread Sharpe-3.02
    Evaluation dates703
    Peer percentile · 10D76.1%
    Measured peers72
    Nearest-peer IC correlation+1.00

    Factor

    #LQ1 Prior close to ASOF nowcast return

    Price momentumHorizon disagreementSame day to closehistorical-evaluation
  36. Latest
    QualityDaily outlier

    LQ25 Momentum plus quality: lower‑ranked stocks led on the latest day with an IC of –0.435, the lowest percentile ever recorded.

    Now
    The latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry → is -0.4348, at +0.0 percentile of the factor's own history.
    Model
    The latest daily IC of –0.435 places the factor at the 0.0th percentile, meaning lower‑ranked stocks led that day. Yet the short‑window rolling ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +2.52, showing that over recent periods higher‑ranked stocks usually lead. This contrast indicates a temporary reversal in the factor’s ranking relationship, highlighting an unusual intraday outlier.
    Interpretation
    This factor combines relative price strength with company-quality measures, looking for momentum that is supported by stronger underlying businesses.
    What to watch
    Wait for another daily observation before changing the factor horizon or weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+2.52
    ICIR · 20D+7.57
    ICIR · 60D+2.11
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.4348
    IC historical percentile0.0%
    IC robust z-3.11
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →55.0%
    Spread Sharpe+0.18
    Evaluation dates318
    Peer percentile · 10D78.2%
    Measured peers358
    Nearest-peer IC correlation+0.95

    Factor

    #LQ25 Momentum plus quality

    QualityDaily outlierIntradayhistorical-evaluation
  37. Latest
    Positioning and flowsHorizon disagreement

    LQ25 Low days to cover: Lower ranks led over 10 days; higher ranks led over 60 days.

    Now
    Lower ranks led over 10 days; higher ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -6.80: lower-ranked stocks led. The 20-day ICIR is -1.03: lower-ranked stocks led. The 60-day ICIR is +3.16: higher-ranked stocks led. Since the previously published evaluation (2026-09-16), ICIR 10d moved from +7.94 to -6.80. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ25 Low days to cover definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-6.80
    ICIR · 20D-1.03
    ICIR · 60D+3.16
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1344
    IC historical percentile88.2%
    IC robust z+0.98
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →56.5%
    Spread Sharpe-0.09
    Evaluation dates191
    Peer percentile · 10D43.8%
    Measured peers16
    Nearest-peer IC correlation+0.99

    Factor

    #LQ25 Low days to cover

    Positioning and flowsHorizon disagreementIntradayhistorical-evaluation
  38. Latest
    Price momentumHorizon disagreement

    LQ5 Three day reversal: Lower ranks led over 10 days; higher ranks led over 60 days.

    Now
    Lower ranks led over 10 days; higher ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -6.93: lower-ranked stocks led. The 20-day ICIR is -5.61: lower-ranked stocks led. The 60-day ICIR is +2.28: higher-ranked stocks led. Since the previously published evaluation (2026-10-12), ICIR 10d moved from -6.03 to -6.93. Evaluation through 2026-10-21.
    Interpretation
    Within its liquid-stock universe, this factor looks for stocks whose recent move appears stretched relative to peers and may reverse.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-6.93
    ICIR · 20D-5.61
    ICIR · 60D+2.28
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.3348
    IC historical percentile95.0%
    IC robust z+1.78
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →53.5%
    Spread Sharpe+2.17
    Evaluation dates101
    Peer percentile · 10D1.0%
    Measured peers104
    Nearest-peer IC correlation+1.00

    Factor

    #LQ5 Three day reversal

    Price momentumHorizon disagreementIntradayhistorical-evaluation
  39. Latest
    Positioning and flowsHorizon disagreement

    LQ10 Low days to cover: Lower ranks led over 10 days; higher ranks led over 60 days.

    Now
    Lower ranks led over 10 days; higher ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.16: lower-ranked stocks led. The 20-day ICIR is -2.30: lower-ranked stocks led. The 60-day ICIR is +2.55: higher-ranked stocks led. Since the previously published evaluation (2026-09-23), ICIR 10d moved from +7.87 to -7.16. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ10 Low days to cover definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.16
    ICIR · 20D-2.30
    ICIR · 60D+2.55
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1980
    IC historical percentile94.1%
    IC robust z+1.11
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →58.6%
    Spread Sharpe+0.58
    Evaluation dates191
    Peer percentile · 10D31.2%
    Measured peers16
    Nearest-peer IC correlation+0.98

    Factor

    #LQ10 Low days to cover

    Positioning and flowsHorizon disagreementIntradayhistorical-evaluation
  40. Latest
    Multi SourceStronger short window

    LQ25 Broad cross-category consensus: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.76: lower-ranked stocks led. The 20-day ICIR is -7.05: lower-ranked stocks led. The 60-day ICIR is -0.60: lower-ranked stocks led. Since the previously published evaluation (2026-10-19), ICIR 10d moved from -6.46 to -7.76. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ25 Broad cross-category consensus definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.76
    ICIR · 20D-7.05
    ICIR · 60D-0.60
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0667
    IC historical percentile87.1%
    IC robust z+0.95
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →55.6%
    Spread Sharpe+2.60
    Evaluation dates117
    Peer percentile · 10D25.7%
    Measured peers358
    Nearest-peer IC correlation+0.98

    Factor

    #LQ25 Broad cross-category consensus

    Multi SourceStronger short windowIntradayhistorical-evaluation
  41. Latest
    LiquidityStronger short window

    LQ1 ETF risk outflow pressure 5d: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.95: lower-ranked stocks led. The 20-day ICIR is -6.10: lower-ranked stocks led. The 60-day ICIR is -2.61: lower-ranked stocks led. Since the previously published evaluation (2026-10-12), ICIR 10d moved from -6.69 to -7.95. Evaluation through 2026-10-21.
    Interpretation
    This factor compares stocks by the size and instability of their price moves, highlighting where market risk is concentrated.
    What to watch
    Watch whether the stronger 10-day result persists before increasing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.95
    ICIR · 20D-6.10
    ICIR · 60D-2.61
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0655
    IC historical percentile14.0%
    IC robust z-0.88
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →41.6%
    Spread Sharpe-1.88
    Evaluation dates101
    Peer percentile · 10D26.0%
    Measured peers50
    Nearest-peer IC correlation+0.94

    Factor

    #LQ1 ETF risk outflow pressure 5d

    LiquidityStronger short windowNext dayhistorical-evaluation
  42. Latest
    Derivatives marketsStronger short window

    LQ1 Volume-weighted option moneyness: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -5.01: lower-ranked stocks led. The 20-day ICIR is -6.12: lower-ranked stocks led. The 60-day ICIR is -3.23: lower-ranked stocks led. Since the previously published evaluation (2026-10-01), ICIR 10d moved from -3.75 to -5.01. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ1 Volume-weighted option moneyness definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.01
    ICIR · 20D-6.12
    ICIR · 60D-3.23
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.1113
    IC historical percentile88.8%
    IC robust z+1.18
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →43.2%
    Spread Sharpe-1.81
    Evaluation dates81
    Peer percentile · 10D50.0%
    Measured peers24
    Nearest-peer IC correlation+0.99

    Factor

    #LQ1 Volume-weighted option moneyness

    Derivatives marketsStronger short windowNext dayhistorical-evaluation
  43. Latest
    Price TechnicalHorizon disagreement

    LQ25 Upper wick pressure 20d: Lower ranks led over 10 days; higher ranks led over 60 days.

    Now
    Lower ranks led over 10 days; higher ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -7.29: lower-ranked stocks led. The 20-day ICIR is -0.73: lower-ranked stocks led. The 60-day ICIR is +3.12: higher-ranked stocks led. Since the previously published evaluation (2026-07-23), ICIR 10d moved from +7.41 to -7.29. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ25 Upper wick pressure 20d definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-7.29
    ICIR · 20D-0.73
    ICIR · 60D+3.12
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →+0.0148
    IC historical percentile50.4%
    IC robust z+0.03
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →56.2%
    Spread Sharpe+1.64
    Evaluation dates274
    Peer percentile · 10D13.9%
    Measured peers180
    Nearest-peer IC correlation+0.99

    Factor

    #LQ25 Upper wick pressure 20d

    Price TechnicalHorizon disagreementIntradayhistorical-evaluation
  44. Latest
    ValuationStronger short window

    LQ25 full-input Ridge value quality tech v1: The 10-day ranking relationship is stronger than the 60-day relationship.

    Now
    The 10-day ranking relationship is stronger than the 60-day relationship.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is -5.42: lower-ranked stocks led. The 20-day ICIR is -7.29: lower-ranked stocks led. The 60-day ICIR is -3.54: lower-ranked stocks led. Evaluation through 2026-10-20.
    Interpretation
    This factor looks for attractively valued companies whose profitability and financial strength help distinguish durable value from businesses that are cheap for a reason.
    What to watch
    Track sign consistency, hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →, and spread Sharpe for evidence that the ranking is weakening.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D-5.42
    ICIR · 20D-7.29
    ICIR · 60D-3.54
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0004
    IC historical percentile60.4%
    IC robust z+0.22
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →39.3%
    Spread Sharpe-2.30
    Evaluation dates112
    Peer percentile · 10D50.3%
    Measured peers358
    Nearest-peer IC correlation+0.87

    Factor

    #LQ25 full-input Ridge value quality tech v1

    ValuationStronger short windowIntradayhistorical-evaluation
  45. Latest
    Positioning and flowsHorizon disagreement

    LQ5 High short volume ratio: Higher ranks led over 10 days; lower ranks led over 60 days.

    Now
    Higher ranks led over 10 days; lower ranks led over 60 days.
    Model
    The 10-day ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → is +7.51: higher-ranked stocks led. The 20-day ICIR is +1.78: higher-ranked stocks led. The 60-day ICIR is -1.43: lower-ranked stocks led. Since the previously published evaluation (2026-10-13), ICIR 10d moved from -0.23 to +7.51. Evaluation through 2026-10-21.
    Interpretation
    This factor ranks stocks using the registered LQ5 High short volume ratio definition so their relative behavior can be compared with subsequent returns.
    What to watch
    Compare short- and long-horizon results before changing the factor weight.

    Evidence

    MeasureReading
    ICIRRolling ICIRThe mean information coefficient divided by its standard deviation over a trailing window, usually annualized. It measures the persistence of ranking skill across observations in the window.Open glossary entry → · 10D+7.51
    ICIR · 20D+1.78
    ICIR · 60D-1.43
    Latest daily ICInformation coefficient (IC)The cross-sectional correlation between a signal score and a subsequent return. Rank IC uses ranked values and measures whether the signal orders securities correctly.Open glossary entry →-0.0495
    IC historical percentile20.2%
    IC robust z-0.75
    IC hit rateIC hit rateThe share of completed evaluation dates on which a factor’s date-level information coefficient has the registered positive sign.Open glossary entry →43.8%
    Spread Sharpe-2.20
    Evaluation dates194
    Peer percentile · 10D90.9%
    Measured peers11
    Nearest-peer IC correlation+0.96

    Factor

    #LQ5 High short volume ratio

    Positioning and flowsHorizon disagreementNext dayhistorical-evaluation

Factor commentary is provided for research and educational purposes. It is not investment advice, a recommendation, or an instruction to trade any security.