Performance
SimulatedSurvivorship biasPrice returnHistorical simulation of the ranking process: rank after the close, execute at the next open, charge commission and slippage on every fill, and compare the resulting equity curve against the benchmark.
Simulated results from historical data. Signals are generated after the close and executed at the next trading day's open, with commission and slippage applied. No live capital was deployed.
The universe is today's constituent list applied to the whole history. Companies that were delisted, acquired or that failed are absent, which biases results upward.
Price bars are not dividend-adjusted, so total return is understated for dividend payers and the comparison against the benchmark is not like-for-like.
Run a backtest
Signals are generated after the close on each rebalance date and executed at the next trading day's open.