Walk-forward backtest

Composite strategy: top-10 picks, equal weight, 21-day hold, rebalanced every 21 days.

Period
Final equity
Annualized Sharpe
Win rate
Max drawdown
Rebalances

Caveats we won't hide

Per-factor predictiveness

Spread = Q1 (best quintile) − Q5 (worst). Positive = factor predicts. Negative = factor inverted in this regime.

FactorQ1 (best)Q5 (worst)Spread