Breadth dispersion backtests: 2 tested
Data last updated
Rules that use how widely stock returns differ from one another as a market-timing signal.
In-sample, not a promise. Every figure here comes from a backtest on past data.
0 of 2 strategies finished ahead of the benchmark. None passed the luck check, which allows for all 1,778 tests we ran (a corrected q under 0.10), so no result here is a proven edge. Scored 5 November 2026, using data up to 15 March 2025.
These strategies were tested on US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
How to read these results
"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q (the luck check: passed below 0.10) allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.
"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Details |
|---|---|---|---|---|---|---|
| Cross-sectional return dispersion as an equity timing gate Source: Maio (2016) cross‑sectional return dispersion and the equity premium; Stivers & Sun (2010) | US stocks | −10.9 pts/yr | 146 rebalances | 1.000 | 1.000 | On-site receipt |
| Control: realized market-move gate (same shape, vol instead of dispersion) Source: none published (Tickfloor research‑desk test) | US stocks | −14.6 pts/yr | 121 rebalances | 1.000 | 1.000 | On-site receipt |
- Cross‑sectional return dispersion as an equity timing gate
Source, p-value and result file
- Source
- Maio (2016) cross‑sectional return dispersion and the equity premium; Stivers & Sun (2010)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Control: realized market‑move gate (same shape, vol instead of dispersion)
Source, p-value and result file
- Source
- none published (Tickfloor research‑desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt