The Factor Lab back-tests price-derived factors the way a quant desk would: it ranks a universe on each rebalance date, splits it into equal-weight quantile portfolios, holds each until the next rebalance, and reports decile spreads, an equity curve and the standard risk statistics over real historical prices.
Factors
- 12-1 Momentum. Trailing 12-month price return, skipping the most recent month. The classic cross-sectional momentum factor; high scores = strong recent trend.
- 6-1 Momentum. Trailing 6-month price return, skipping the most recent month. A faster momentum signal than 12-1.
- Low Volatility. Inverse of trailing 63-day realised volatility. High scores = the calmest names; tests the low-volatility anomaly.
- Short-term Reversal. Negative of the last 21-day return. High scores = recent losers, betting on a one-month bounce.
- 52-Week High Proximity. Current price divided by the trailing 252-day high. High scores = names trading near their one-year peak.
How decile back-tests work
On every rebalance date the chosen universe is sorted by the chosen factor. The top quantile forms the long book and the bottom quantile the short book; both are equal-weighted and held until the next rebalance. The chart and tables show cumulative and average returns versus the benchmark. A persistently positive top-minus-bottom spread indicates the factor carries information about future returns within that universe.
Coverage & limitations
Universes are fixed-membership snapshots, so survivorship bias applies. Only price-derived factors are offered because daily bars are the one input we can source honestly for every covered name; point-in-time fundamentals are intentionally out of scope rather than synthesised.
Returns are gross of fees, slippage and borrow costs. This is research, not trade execution — the platform does not route orders.