Strategy Iteration Report

All Variants Ranked by Composite Score

#	Name	CV	n_test	Spearman	p-value	Q5-Q1 med	Composite	Detail
1	long-only+small@auto-pca	walk_forward	55	+0.328	0.0145 **	+16.5%	1.982	1 folds
2	long-only+small@pca50	walk_forward	55	+0.318	0.0181 **	+16.5%	1.972	1 folds
3	best@365d	kfold	146	+0.171	0.4318	+13.7%	1.392	5 folds
4	long-only+small	walk_forward	55	+0.228	0.0938 *	+12.5%	1.362	1 folds
5	long-only+small@pca150	walk_forward	55	+0.228	0.0938 *	+12.5%	1.362	1 folds
6	long-only+small@pca200	walk_forward	55	+0.228	0.0938 *	+12.5%	1.362	1 folds
7	value-only	walk_forward	70	+0.160	0.1858	+10.9%	1.110	1 folds
8	long-only+hiq@log-flip	walk_forward	275	+0.199	0.0373 **	+9.1%	1.108	2 folds
9	long-only+hiq@pca50	walk_forward	275	+0.206	0.0232 **	+8.8%	1.091	2 folds
10	long-only+hiq	walk_forward	275	+0.203	0.0240 **	+8.3%	1.032	2 folds
11	long-only+hiq@auto-pca	walk_forward	275	+0.174	0.0944 *	+8.6%	0.945	2 folds
12	long-only	walk_forward	292	+0.175	0.1791	+8.0%	0.820	2 folds
13	financials-only	kfold	38	+0.144	0.3000	+9.7%	0.751	4 folds
14	long-only+value	walk_forward	70	+0.210	0.0813 *	+6.3%	0.738	1 folds
15	baseline-log	walk_forward	337	+0.167	0.0323 **	+5.6%	0.731	2 folds
16	long-only+hiq@pca150	walk_forward	275	+0.171	0.0465 **	+4.9%	0.659	2 folds
17	baseline-no-fund	walk_forward	375	+0.126	0.0987 *	+4.7%	0.535	2 folds
18	long-only+hiq@pca200	walk_forward	275	+0.162	0.0626 *	+4.4%	0.521	2 folds
19	baseline	walk_forward	337	+0.163	0.0654 *	+4.3%	0.508	2 folds
20	large-cap	walk_forward	45	+0.336	0.0240 **	+2.2%	0.499	1 folds
21	tech-only	kfold	48	+0.264	0.4093	+4.8%	0.490	5 folds
22	baseline-no-fund-log	walk_forward	375	+0.123	0.1193	+3.9%	0.401	2 folds
23	long-only+small@log-flip	walk_forward	55	+0.131	0.3397	+1.5%	0.167	1 folds
24	financials-only+long	kfold	34	-0.018	0.4091	+1.5%	0.098	4 folds
25	value-only+hiq	walk_forward	67	+0.090	0.4695	+0.8%	0.086	1 folds
26	growth-only	kfold	88	-0.037	0.5784	+0.8%	0.080	5 folds
27	value-only+long	walk_forward	70	+0.167	0.1677	+0.1%	0.032	1 folds
28	mid-cap	walk_forward	39	+0.116	0.4827	-1.3%	-0.096	1 folds
29	financials-only+hiq	kfold	34	-0.034	0.6110	-1.7%	-0.117	4 folds
30	small-cap	walk_forward	60	+0.077	0.5597	-2.2%	-0.209	1 folds
31	financials-only+value	kfold	21	-0.203	0.5631	-6.6%	-0.284	2 folds
32	special-sit	kfold	44	+0.056	0.4866	-4.8%	-0.415	5 folds
33	value-only+small	walk_forward	30	-0.180	0.3425	-11.3%	-0.687	1 folds
34	short-only	kfold	63	-0.203	0.5572	-12.4%	-1.261	5 folds
35	short-thesis	kfold	63	-0.203	0.5572	-12.4%	-1.261	5 folds
36	best@90d	walk_forward	54	-0.223	0.1050	-17.9%	-1.814	1 folds

Name

n_test

Spearman

p-value

Q5-Q1 med

Composite

Detail

long-only+small@auto-pca

walk_forward

+0.328

0.0145 **

+16.5%

1.982

1 folds

long-only+small@pca50

walk_forward

+0.318

0.0181 **

+16.5%

1.972

1 folds

best@365d

kfold

146

+0.171

0.4318

+13.7%

1.392

5 folds

long-only+small

walk_forward

+0.228

0.0938 *

+12.5%

1.362

1 folds

long-only+small@pca150

walk_forward

+0.228

0.0938 *

+12.5%

1.362

1 folds

long-only+small@pca200

walk_forward

+0.228

0.0938 *

+12.5%

1.362

1 folds

value-only

walk_forward

+0.160

0.1858

+10.9%

1.110

1 folds

long-only+hiq@log-flip

walk_forward

275

+0.199

0.0373 **

+9.1%

1.108

2 folds

long-only+hiq@pca50

walk_forward

275

+0.206

0.0232 **

+8.8%

1.091

2 folds

long-only+hiq

walk_forward

275

+0.203

0.0240 **

+8.3%

1.032

2 folds

long-only+hiq@auto-pca

walk_forward

275

+0.174

0.0944 *

+8.6%

0.945

2 folds

long-only

walk_forward

292

+0.175

0.1791

+8.0%

0.820

2 folds

financials-only

kfold

+0.144

0.3000

+9.7%

0.751

4 folds

long-only+value

walk_forward

+0.210

0.0813 *

+6.3%

0.738

1 folds

baseline-log

walk_forward

337

+0.167

0.0323 **

+5.6%

0.731

2 folds

long-only+hiq@pca150

walk_forward

275

+0.171

0.0465 **

+4.9%

0.659

2 folds

baseline-no-fund

walk_forward

375

+0.126

0.0987 *

+4.7%

0.535

2 folds

long-only+hiq@pca200

walk_forward

275

+0.162

0.0626 *

+4.4%

0.521

2 folds

baseline

walk_forward

337

+0.163

0.0654 *

+4.3%

0.508

2 folds

large-cap

walk_forward

+0.336

0.0240 **

+2.2%

0.499

1 folds

tech-only

kfold

+0.264

0.4093

+4.8%

0.490

5 folds

baseline-no-fund-log

walk_forward

375

+0.123

0.1193

+3.9%

0.401

2 folds

long-only+small@log-flip

walk_forward

+0.131

0.3397

+1.5%

0.167

1 folds

financials-only+long

kfold

-0.018

0.4091

+1.5%

0.098

4 folds

value-only+hiq

walk_forward

+0.090

0.4695

+0.8%

0.086

1 folds

growth-only

kfold

-0.037

0.5784

+0.8%

0.080

5 folds

value-only+long

walk_forward

+0.167

0.1677

+0.1%

0.032

1 folds

mid-cap

walk_forward

+0.116

0.4827

-1.3%

-0.096

1 folds

financials-only+hiq

kfold

-0.034

0.6110

-1.7%

-0.117

4 folds

small-cap

walk_forward

+0.077

0.5597

-2.2%

-0.209

1 folds

financials-only+value

kfold

-0.203

0.5631

-6.6%

-0.284

2 folds

special-sit

kfold

+0.056

0.4866

-4.8%

-0.415

5 folds

value-only+small

walk_forward

-0.180

0.3425

-11.3%

-0.687

1 folds

short-only

kfold

-0.203

0.5572

-12.4%

-1.261

5 folds

short-thesis

kfold

-0.203

0.5572

-12.4%

-1.261

5 folds

best@90d

walk_forward

-0.223

0.1050

-17.9%

-1.814

1 folds

Name	Status	Reason	n_filtered
financials-only+small	skipped	Too few samples: 11 < 20	13

Name

Status

Reason

n_filtered

financials-only+small

skipped

Too few samples: 11 < 20

Rounds

Round 1: Baselines + Sweeps

15/15 variants evaluated successfully

Top 3: value-only, long-only, financials-only

Round 2: Combinations

9/10 variants evaluated successfully

Top 3: long-only+small, long-only+hiq, long-only+value

Round 3: Parameter Tuning

10/10 variants evaluated successfully

Top 3: long-only+small@auto-pca, long-only+small@pca50, long-only+small@pca150

Round 4: Horizon Check

2/2 variants evaluated successfully

Top 3: best@365d, best@90d

Best Variant: long-only+small@auto-pca

Fold-by-Fold

Fold	n_train	n_test	Spearman	p-val	Q5-Q1 med	Ridge α	PCA dims	Bootstrap CI
2024	98	55	+0.328	0.0145	+16.5%	1000.0	50	[+0.085, +0.545]

Fold

n_train

n_test

Spearman

p-val

Q5-Q1 med

Ridge α

PCA dims

Bootstrap CI

2024

+0.328

0.0145

+16.5%

1000.0

[+0.085, +0.545]

Aggregate: Spearman = +0.328 ± 0.000, Q5-Q1 median spread = +16.5%, composite = 1.982

Horizon	30d
Direction	LONG
Cap filter	small
Thesis types	all
Industry	all
Fundamentals	yes
Log transform	no
PCA	auto

All Variants Ranked by Composite Score

Skipped Variants

Rounds

Round 1: Baselines + Sweeps

Round 2: Combinations

Round 3: Parameter Tuning

Round 4: Horizon Check

Best Variant: long-only+small@auto-pca

Fold-by-Fold

Key Findings