- Average return
- The mean gross return of every trade the rule counted, from entry to exit, in its direction.
- Same-holding return
- What holding the same symbol, in the same direction, for the same number of sessions made on average, over every such hold before the research cutoff. It is what the trade would have earned without any calendar idea.For a short, it is the rise the short has to overcome, so it is usually negative for the trade. The registered strategies call it an ordinary same-length hold, and older research documents call it drift.
- Average excess
- Each trade’s return minus its same-holding return, averaged over every counted trade. Above zero, the calendar added something beyond the symbol simply moving.The registered strategies’ studies and the research documents call it the edge over holding, or the excess over drift.
- Median excess
- The middle trade’s excess: half the trades beat holding by more, half by less. Far below the average excess means a few large trades carry the average.
- Excess / year
- Each year’s total excess, that year’s trade excesses added up, averaged over the years observed. It puts a rule that trades once a year and one that trades every week on the same one-year footing. A sum, not compounded: it is not the growth of an account, and a rule that trades often can show a large figure from small trades.The Scan lists rules by it, largest first, unless you sort by another column.
- Trades / year
- The counted trades divided by the years observed.
- Years
- The calendar years with at least one counted trade. For a weekday, week-of-month or month-end rule, only years the symbol’s prices cover in full count, so a partial first or last year never skews a total.
- Years with a profit
- The share of observed years whose average trade made money, with the count. A year that lost less than holding beats the hold but is not a year with a profit.
- Years beating hold
- The share of observed years whose average trade beat holding the same symbol for the same length, a year mean excess above zero. Not the years a trade made money: a short can beat a rising stock’s hold and still lose. Around half is what chance gives.
- Rolling 4Y positive
- The share of four-consecutive-year windows whose average yearly excess was above zero. A missing year breaks a window.The windows overlap, so they are not independent: it measures how steady the rule was, not how likely it is to work.
- Latest 4Y, per trade
- The average excess per trade over the four years ending in the research cutoff’s year: each year’s average trade, averaged over the four. Per trade, unlike Excess / year and Last 2Y, which add up a year’s trades. Empty when any of the four is missing.
- Last 2Y, summed
- The excess of every trade in the research cutoff’s year and the year before it, added up. A sum, unlike Latest 4Y, which is per trade. Empty unless both years are observed.
- Without best year, per trade
- The average excess per trade, each year’s average trade averaged over the years, with the single best year left out. If it falls to near zero, one year made the rule.
- Worst year, per trade
- The year whose trades did worst against holding, and that year’s average excess per trade. Per trade, not the year’s total, and not a loss: it can be positive.
- Next occurrence
- The rule’s next entry and exit on the exchange’s calendar, from today on, and how many sessions remain before the entry.
- Since the cutoff
- What the rule did after the research cutoff: the sum of the gross returns of every trade that has closed since, with how many there were. Out of sample: none of these trades reached a figure the rule was found or ranked by.The research figures stop at the cutoff, the end of the last completed year, so this is the current year. The excess beside it compares each trade with the same-length hold as it was known at the cutoff.