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
154
Win rate
20.78%
Median return
-4.99%
Median excess
-1.02%
Median MFE
+3.67%
Median MAE
-7.80%
Cohort drawdown
-39.40%
Evidence
30+ sample
8 Sept 2026 to 22 Sept 2026Regime benchmark: Nifty 500
| Market Regime | Sample | Win rate | Median return | Median excess | MFE | MAE | Drawdown | Evidence |
|---|---|---|---|---|---|---|---|---|
| Sideways | 154 | 20.78% | -4.99% | -1.02% | +3.67% | -7.80% | -39.40% | 30+ sample |
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.