π―
Best Composite Correlation
T+5
Ο = -0.0594
(p = 0.0022)
π
Cross-Ticker Spread (T+5)
-0.7%
Win Rate: 49% Β· Long top / Short bottom
β‘
Strongest Component
Event Risk
Ο = 0.1202 at T+5
π°
Best Score Level
Bearish (<30)
+$13.97 per $1K at T+5
1. Composite Score β Forward Returns
Does a higher PulseScore today predict higher returns?
| Horizon | Spearman Ο | p-value | Pearson r | Observations | Per-Ticker Mean Ο |
|---|---|---|---|---|---|
| T+1 β | -0.0198 | 0.2899 | -0.0193 | 2869 | -0.0609 |
| T+5 βοΈ β | -0.0594 | 0.0022 | -0.0581 | 2669 | -0.1657 |
| T+10 β | -0.0432 | 0.0337 | -0.0228 | 2421 | -0.2082 |
| T+20 β | 0.0301 | 0.1859 | 0.0406 | 1931 | -0.2617 |
2. Component Predictive Power
Which sub-scores carry the most alpha?
| Component | T+1 | T+5 | T+10 | T+20 |
|---|---|---|---|---|
| Short Squeeze | -0.1648 | 0.0071 | 0.5489 | N/A |
| Technical Momentum | 0.0410 | 0.0967 | -0.5342 | N/A |
| Fundamental Trend | -0.0323 | -0.0510 | N/A | N/A |
| Broad Sentiment | -0.1350 | 0.0635 | 0.3939 | N/A |
| Event Risk | 0.0655 | 0.1202 | N/A | N/A |
| Macro | N/A | N/A | N/A | N/A |
3. Score Level β ROI
$1K invested at each score level β what do you make?
| Score Level | Count | T+5 Return | T+10 Return | T+5 P&L ($1K) | T+5 Win Rate |
|---|---|---|---|---|---|
| Bearish (<30) | 532 | +1.40% | +0.83% | +$13.97 | 50.8% |
| Cautious (30-50) | 1538 | -0.04% | +0.25% | $-0.39 | 50.3% |
| Bullish (50-70) | 816 | +0.00% | +0.07% | +$0.01 | 50.9% |
| Strong Bull (70+) | 33 | -3.46% | -2.45% | $-34.62 | 57.6% |
4. Score Change Momentum
Do big score jumps predict price moves?
| Score Change | Count | T+10 Return | T+5 Return | T+5 P&L ($1K) | Win Rate |
|---|---|---|---|---|---|
| (-52.001, -2.0] | 659 | -0.15% | +0.11% | +$1.07 | 49.4% |
| (-2.0, 0.0] | 1466 | +0.61% | +0.37% | +$3.71 | 53.0% |
| (0.0, 2.0] | 202 | -1.37% | +0.31% | +$3.13 | 45.5% |
| (2.0, 50.0] | 542 | -0.57% | -0.63% | $-6.33 | 44.6% |
5. Score Trend Reversal
Lowβrising = buy signal, Highβfalling = sell signal
π’ Buy Signal (Score β Crosses MA)
| Horizon | Count | Avg Return | Win Rate | P&L ($1K) |
|---|---|---|---|---|
| T+1 | 318 | +0.69% | 57.2% | +$6.90 |
| T+5 βοΈ | 290 | +0.28% | 46.6% | +$2.82 |
| T+10 | 264 | +0.56% | 48.9% | +$5.55 |
| T+20 | 215 | +0.29% | 47.9% | +$2.89 |
π΄ Sell Signal (Score β Crosses MA)
| Horizon | Count | Avg Return | Drop Rate | Avoided Loss |
|---|---|---|---|---|
| T+1 | 347 | +0.25% | 43.5% | $-2.53 |
| T+5 βοΈ | 329 | +0.40% | 46.8% | $-3.98 |
| T+10 | 302 | +0.98% | 47.4% | $-9.76 |
| T+20 | 249 | +1.03% | 48.2% | $-10.31 |
π΅ Recovery Buy (Low Score + 10pt Rise)
| Horizon | Count | Avg Return | Win Rate | P&L ($1K) |
|---|---|---|---|---|
| T+1 | 149 | -0.47% | 40.3% | $-4.69 |
| T+5 βοΈ | 136 | -2.20% | 39.7% | $-21.97 |
| T+10 | 118 | -3.08% | 37.3% | $-30.81 |
| T+20 | 78 | -5.71% | 39.7% | $-57.11 |
6. Cross-Ticker Ranking (Long/Short)
Long top-scored tickers, short bottom-scored β daily
| Horizon | Top Quintile | Bottom Quintile | Spread | Win Rate | L/S P&L ($1K) |
|---|---|---|---|---|---|
| T+1 | +0.14% | +0.25% | -0.12% | 55.9% | $-1.19 |
| T+5 βοΈ | +0.43% | +1.14% | -0.71% | 49.1% | $-7.10 |
| T+10 | +0.94% | +1.07% | -0.13% | 56.0% | $-1.26 |
| T+20 | +3.88% | +0.98% | +2.90% | 75.0% | +$28.98 |
Score β Price Overlay
Top tickers by data coverage β normalized score vs price
Per-Ticker Correlation Distribution
π Recommendations
Increase weight for Event Risk β strongest predictive correlation at T+5 (Ο=0.1202).
Review Macro β weakest signal (Ο=0.0000) at T+5. Consider reducing weight or improving data quality.
Bearish (<30) is the optimal entry zone β best risk-adjusted T+5 returns.