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In the past data we checked, the stocks this screen picked did better than the ones it left out, but a cost-aware, out-of-sample portfolio built from them did not hold up well against our deflated-Sharpe bar.
AI-generated plain-language explanation
In the past data we checked, the stocks this screen picked did better than the ones it left out, but a portfolio built from them did not clear our test after trading costs. Each month across 64 months, we checked whether the stocks this screen picked did better over the following month (21 trading days) than the stocks it didn't pick. We score that from -1 (the picks always did worse) to +1 (always did better); 0 means no pattern. This screen scored 0.0230. As a measurement, the score is very small, but clearly above zero. If the screen had no real edge, a score at least this far from zero would show up less than 1 in 1,000 by luck alone. We also tested a portfolio of the screen's picks over 64 months, using only what was known at the time and after estimated trading costs: it earned 0.61 for each unit of ups and downs, per year. Because this screen has been tested 2 times, we mark down results that could be flukes. After that, the chance that it truly beats simply holding the index is 0.495, about 49 in 100. A pattern can exist and still not be worth trading after costs. This is a record of the past, not a prediction. A screen is still a way to narrow a list by your own rules, whatever the measurement says.
This content has been generated with the assistance of artificial intelligence tools by FINOME TECHNOLOGIES PVT LTD. It is for educational purposes only and does not constitute investment advice, a research report, or a recommendation under SEBI (Research Analysts) Regulations, 2014 or SEBI (Investment Advisers) Regulations, 2013. Not investment advice. Issued in compliance with SEBI circular SEBI/HO/MIRSD/MIRSD-SEC-5/P/CIR/2024/149.
In the past data we checked, the stocks this screen picked did better than the ones it left out, but a portfolio built from them did not clear our test after trading costs. Each month, across the whole period we have data for, we checked whether the stocks this screen picked did better, over the following month (21 trading days), than the stocks it didn't pick. We score that from -1 (the picks always did worse) to +1 (always did better); 0 means no pattern. This screen scored 0.0230. As a measurement, the score is very small, but clearly above zero. If the screen had no real edge, a score at least this far from zero would show up less than 1 in 1,000 by luck alone.
We also tested a portfolio of the screen's picks over 64 months, using only what was known at the time and after estimated trading costs: it earned 0.61 for each unit of ups and downs, per year. Because this screen has been tested 2 times, we mark down results that could be flukes. After that, the chance that it truly beats simply holding the index is 0.495, about 49 in 100.
A pattern can exist and still not be worth trading after costs. This is a record of the past, not a prediction. A screen is still a way to narrow a list by your own rules, whatever the measurement says.
This is a historical, statistical measurement produced by FINOME TECHNOLOGIES PVT LTD's research harness on past data. It is not a prediction, and past results do not indicate future results. The universe is today's Nifty 500 constituents, so the sample is affected by survivorship bias. It describes how a screen's selections behaved in the past and does not constitute investment advice or a recommendation.