Signal Tearsheet — rank_day_20

Strategy: lagging_indecies • Quantiles: 5 • Horizons: [1, 5, 20] • Delay used: 0 bar(s)

Index Strategy (QuantStats)Attribution (this signal)

Avg coverage: 0.685

Avg q-turnover: 0.269

Mask: long_candidates

What is this?

How to read this page

This is an ex-ante signal diagnostics page (Alphalens-style). It answers: does the signal predict forward returns (IC / quantile return spread), and is it stable enough to trade (coverage/turnover)? For realized impact under portfolio constraints and costs, use the Attribution page.

coverage: Fraction of instruments with a valid signal value each day.

quantile_turnover: Fraction of names that change quantile bucket vs previous day.

rank_ic: Spearman rank correlation between signal and forward returns.

ic_tstat: t-stat of the IC series; bigger magnitude suggests more consistent IC.

ls_fwd_ret: Forward return of top quantile minus bottom quantile (ex-ante, unconstrained).

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Quick jump

Signal Quality Information Coefficient Quantile Returns Stability & Coverage Config

Signal Quality

High-level diagnostics

Avg Coverage

0.685

Avg Quantile Turnover

0.269

Horizons

[1, 5, 20]

Delay Bars

coverage: Fraction of instruments with a valid signal value each day.

quantile_turnover: Fraction of names that change quantile bucket vs previous day.

Information Coefficient

Rank IC (Spearman) vs forward returns

	count	mean	std	tstat	min	max
1	324.0000	-0.0117	0.7453	-0.2819	-1.0000	1.0000
5	327.0000	-0.0369	0.7213	-0.9262	-1.0000	1.0000
20	317.0000	-0.0700	0.6940	-1.7966	-1.0000	1.0000

Quantile Returns

Forward returns by quantile + L–S spread

Notes: quantiles computed from the signal aligned to execution timing using delay=0.

Stability & Coverage

Data availability & cross-section behavior

Config

Exact parameters used

signals                    [rank_mom, rank_on_20, rank_day_20]
horizons                                            [1, 5, 20]
quantiles                                                    5
store_values                                             False
store_quantile                                            True
store_rank                                               False
within_mask                                    long_candidates
signal_delay_bars                                            0
max_instruments                                           None
store_only_traded_names                                  False

Generated by quantdsl_backtest • Signal tear sheet focuses on ex-ante predictiveness (IC / forward returns), not portfolio constraints.