We built a simple score for about 100 large US stocks. It combines five things: trend, stability, company fundamentals, the market backdrop and news tone. Each part is a percentile against the other stocks on the same day, and the five parts are averaged with equal weights.
The question we cared about: do stocks with a higher score do better over the next month than stocks with a lower one?
The test
We split the data in two:
- Development, 2020–2025. This is where we built and checked the score.
- A sealed final year. Locked away. We froze every rule first, then opened it once.
The measure is the information coefficient (IC): the rank correlation between today's scores and each stock's result over the following month, relative to the S&P 500. Zero means no skill.
The result
| Period | IC | t-statistic |
|---|---|---|
| Development | +0.0085 | 0.46 |
| Sealed year | −0.0585 | −2.47 |
In development the score was indistinguishable from random. On the sealed year it was significantly negative: the stocks the score liked tended to lag.
What we did with it
We published it, and we changed how the site talks about the score. It now says plainly: the score describes a stock; it does not predict it. The bands on the site read "above / around / below average", never anything that sounds like a recommendation.
We also did not reopen the sealed year to try a better version. That's the whole point of sealing it: one look, one answer. A second look turns the test set into a training set.
Why a negative result is worth sharing
Most backtests you see were the best of many attempts, checked on data the author had already looked at. A result that survives that process tells you very little. A frozen rule tested once on unseen data, published whatever it says, tells you a lot, even when the answer is "no".
The full table, the controls and the code are public.
From Quantooo Lab, the makers of quantooo.com, a free, open and educational quant lab: every formula, every test and every failure is public. See it here: https://quantooo.com/research
Educational, not investment advice.
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