Fundamental factor: 12 Backtests
9 of 12 strategies finished ahead of the benchmark on the raw number, and 2 had an unadjusted p-value under 0.05. None cleared the correction for trying 801 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-11, using data up to 2025-03-15.
Strategies here tested on US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).
Results
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| Earnings-growth momentum receipt Source: none published (Tickfloor research-desk test) | US stocks | +6.5 pts/yr | 102 rebalances | 0.023 | 1.000 | Result file not published yet View on-site receipt |
| Low accruals (Sloan) receipt Source: none published (Tickfloor research-desk test) | US stocks | +5.2 pts/yr | 102 rebalances | 0.031 | 1.000 | Result file not published yet View on-site receipt |
| Gross profitability (Novy-Marx) receipt Source: none published (Tickfloor research-desk test) | US stocks | +3.3 pts/yr | 102 rebalances | 0.162 | 1.000 | Result file not published yet View on-site receipt |
| Value + quality (rank blend of earnings yield and gross profitability) receipt Source: none published (Tickfloor research-desk test) | US stocks | +3.0 pts/yr | 102 rebalances | 0.156 | 1.000 | Result file not published yet View on-site receipt |
| Shareholder yield (div + net buyback) receipt Source: none published (Tickfloor research-desk test) | US stocks | +2.4 pts/yr | 102 rebalances | 0.277 | 1.000 | Result file not published yet View on-site receipt |
| Low P/S (sales/market) receipt Source: none published (Tickfloor research-desk test) | US stocks | +2.0 pts/yr | 102 rebalances | 0.278 | 1.000 | Result file not published yet View on-site receipt |
| ROE receipt Source: none published (Tickfloor research-desk test) | US stocks | +1.8 pts/yr | 102 rebalances | 0.258 | 1.000 | Result file not published yet View on-site receipt |
| Low leverage (liabilities/equity) receipt Source: none published (Tickfloor research-desk test) | US stocks | +1.7 pts/yr | 102 rebalances | 0.273 | 1.000 | Result file not published yet View on-site receipt |
| Free-cash-flow yield receipt Source: none published (Tickfloor research-desk test) | US stocks | +1.3 pts/yr | 102 rebalances | 0.321 | 1.000 | Result file not published yet View on-site receipt |
| Low P/B (book/market) receipt Source: none published (Tickfloor research-desk test) | US stocks | −1.2 pts/yr | 102 rebalances | 1.000 | 1.000 | Result file not published yet View on-site receipt |
| Low P/E (earnings yield) receipt Source: none published (Tickfloor research-desk test) | US stocks | −1.2 pts/yr | 102 rebalances | 1.000 | 1.000 | Result file not published yet View on-site receipt |
| Piotroski F-score >= 8 receipt Source: none published (Tickfloor research-desk test) | US stocks | −3.7 pts/yr | 98 rebalances | 1.000 | 1.000 | Result file not published yet View on-site receipt |
- Earnings-growth momentum
US stocks · +6.5 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.023
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Low accruals (Sloan)
US stocks · +5.2 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.031
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Gross profitability (Novy-Marx)
US stocks · +3.3 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.162
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Value + quality (rank blend of earnings yield and gross profitability)
US stocks · +3.0 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.156
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Shareholder yield (div + net buyback)
US stocks · +2.4 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.277
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Low P/S (sales/market)
US stocks · +2.0 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.278
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- ROE
US stocks · +1.8 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.258
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Low leverage (liabilities/equity)
US stocks · +1.7 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.273
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Free-cash-flow yield
US stocks · +1.3 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 0.321
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Low P/B (book/market)
US stocks · −1.2 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Low P/E (earnings yield)
US stocks · −1.2 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
- Piotroski F-score >= 8
US stocks · −3.7 pts/yr · 98 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- none published (Tickfloor research-desk test)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- Result file not published yet
View on-site receipt
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 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.