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PokéAlpha

Signal Backtest

Proof, not promises. This page replays PokéAlpha's Fair Value discounts and Opportunity Scores against history to measure whether high-scoring assets actually went on to outperform — by hit-rate, realized return, and the equity curve of acting on the top signals.

Do the signals predict outperformance?

modest edge

Yes — high-conviction signals beat the market 52% of the time over 30 days, a modest and measurable edge (long/short spread +3.5%, IC 0.07).

Measured over 40 weekly as-of dates across 360 tracked assets (28,800 point-in-time signals), from Aug 9 to May 11.

Hit-rate & realized returns

How often a high-conviction signal (top quintile by Opportunity Score on each date) beat the equal-weight market, and the average benchmark-relative return it earned.

30d hit-rate (high)
52%
beat the market (2,880 signals)
30d avg excess (high)
+2.0%
vs equal-weight market
90d hit-rate (high)
52%
beat the market (2,880 signals)
90d avg excess (high)
+3.4%
vs equal-weight market

High-conviction vs low-conviction

If the score is real, the top cohort should out-earn the bottom cohort over the same window. The long/short spread is that gap in benchmark-relative return.

HorizonCohortSignalsAvg returnvs marketHit-rateLong/short
30-dayHigh conviction2880+3.1%+2.0%52%+3.5%
Low conviction2880-0.4%-1.5%44%
90-dayHigh conviction2880+5.2%+3.4%52%+6.0%
Low conviction2880-0.8%-2.7%41%

Equity curve — acting on the top signals

A portfolio that rebalances monthly into the 15 highest-scoring assets (equal-weighted, net of turnover cost) versus simply holding the whole market.

98138179Aug 9May 16
Act on top signals 175Buy the whole market 110Both indexed to 100 at the start.
Strategy return
+75.5%
Top-signal portfolio, total
Market return
+10.3%
Equal-weight benchmark, total
Max drawdown
-1.0%
Worst peak-to-trough
Sharpe ratio
6.17
Annualized, monthly periods

Information coefficient

The Spearman rank correlation between a signal's score and its realized forward return. 0 means no predictive power; a small positive value (0.03–0.10) is a genuine, usable edge in real-world quant terms.

30-day IC
0.072
across 14,400 signals
90-day IC
0.093
across 14,400 signals

Methodology & honesty

A backtest is only trustworthy if it can't cheat. Here is exactly how these numbers are produced — point-in-time, with no look-ahead, measured against the market, not in a vacuum.

  • Point-in-time: at each weekly as-of date the Fair Value and Opportunity Score are recomputed using ONLY the price/comp history available up to that date — no future data leaks into a signal.
  • No look-ahead: realized returns are read forward from the same continuous price series the signal was scored on, 30 and 90 calendar days later.
  • Benchmark-relative: every outcome is measured against the equal-weight return of the whole tracked universe over the identical window, so a rising tide doesn't masquerade as alpha.
  • Hit-rate counts how often a high-conviction signal beat that benchmark; the Information Coefficient is the Spearman rank correlation between score and forward return.
  • The equity curve rebalances monthly into the top-scoring assets, equal-weighted and net of a turnover cost, versus holding the whole market.
  • A genuine edge is modest and noisy: a hit-rate in the high-50s to low-60s is meaningful, not a crystal ball. This backtest runs over PokéAlpha's deterministic market model, not live trading.