Signal Definition
The formula, the universe, the rebalancing frequency, and the holding period, precise enough to be rebuilt.
Quantitative Research · Alpha Note · Example
Alpha Note · Example A
The Alpha Note format: one signal, registered before testing, judged out of sample
Placeholder entry. It shows the publication format and contains no research results. Each field below describes what the published Alpha Note contains.
Economic Rationale
Why the signal should predict returns: the behaviour, constraint, or information delay it captures.
Registered Test Design
Sample periods, success criterion, cost assumptions, and benchmark, recorded and dated before the first test.
In-Sample Results
Reported as context: the period in which the signal was built.
Out-of-Sample Results
Returns after costs in the period the signal did not see, with turnover, capacity, and decay.
Status
Active, under observation, or retired. Reproduced by a second researcher before publication.