Evidence by cohort
Signal performance laboratory
Fixed-horizon outcomes grouped without removing failures. Medians reduce outlier distortion; MAE and drawdown expose risk that a headline win rate can hide.
Signal set
Sample
140
Win rate
20.71%
Median return
-4.51%
Median excess
-0.94%
Median MFE
+4.31%
Median MAE
-7.65%
Cohort drawdown
-34.37%
Evidence
30+ sample
8 Sept 2026 to 21 Sept 2026Regime benchmark: Nifty 500
| Market cap | Sample | Win rate | Median return | Median excess | MFE | MAE | Drawdown | Evidence |
|---|---|---|---|---|---|---|---|---|
| Large | 68 | 19.12% | -4.52% | -1.05% | +4.75% | -7.56% | -34.06% | 30+ sample |
| Small | 47 | 27.66% | -3.02% | +0.59% | +4.28% | -7.23% | -31.52% | 30+ sample |
| Mid | 25 | 12.00% | -6.63% | -2.15% | +1.91% | -8.04% | -56.89% | Early |
Returns: Median is used for return, excess return, MFE, and MAE to reduce outlier distortion. Return greater than 0% at the selected fixed horizon.
Drawdown: Signals from the same publication date are equal-weighted as one cohort, then cohort returns are compounded chronologically.
Market regime: Bullish, bearish, or sideways uses the benchmark close versus its trailing 50-session average and trailing 20-session return, using only data available by publication day.
Sample discipline: Groups below 10 outcomes are insufficient; 10-29 are early evidence; 30 or more are established samples, not proof of future performance.