S-001Passed
Indicator promotion gate
Which listed names show an indicator edge strong enough to be worth a locked forward test?
Result
93 of 886 names passed the gate after multiple-testing correction.
- Names screened
- 886
- Promoted to forward test
- 93
- Correction
- Benjamini-Hochberg
What it means
A screen, not a result. Passing here only earns a name a place in the locked forward test (S-002), which is where the edge has to hold up on data the model never saw.
Locked setup
- Universe
- S&P 500 and Nifty 500
- Window
- 5 walk-forward windows per name
- Method
- Walk-forward comparison of a point-of-control indicator model against the full feature set and a placebo, over 5 windows per name. Paired wins tested for significance, Benjamini-Hochberg correction across the whole universe, then a promotion gate.
Breakdown
| Universe | Benchmark | Screened | Promoted | Beat placebo |
|---|---|---|---|---|
| S&P 500 | SPY | 500 | 56 | 476 |
| Nifty 500 | Nifty 500 index | 386 | 37 | 371 |
Replay it
python scripts/poc_indicator_study.pyOutputs: data/research/poc_sp500_summary.csv, data/research/poc_nifty500_summary.csv