What 52,777 replay rows said about stock selection versus QQQ
The expanded model produced positive average raw returns, but every tested horizon still had negative average excess return versus QQQ.
The expanded model produced positive average raw returns, but every tested horizon still had negative average excess return versus QQQ.
| Replay window | 2026-02-03 to 2026-07-27, 120 U.S. trading dates |
| Universe requested | 516 stocks; 514 had usable daily bars |
| Total signal rows | 52,777 across seven controlled experiments |
| Unique signaled stocks | 483 |
| Entry assumption | Next session open after daily discovery |
| Holding horizons | 1, 3, 5, 10 and 20 sessions |
| Benchmark basis | Same entry-to-horizon-close return for QQQ |
The strict control generated 3,881 rows. The expanded V4.67.1 experiment generated 19,788. Expansion increased coverage and average raw returns at longer horizons, but not benchmark-relative performance.
| Holding horizon | Strict raw return | Strict excess vs QQQ | Expanded raw return | Expanded excess vs QQQ |
|---|---|---|---|---|
| 1 session | -0.02% | -0.08% | 0.00% | -0.05% |
| 3 sessions | +0.06% | -0.23% | +0.16% | -0.12% |
| 5 sessions | +0.19% | -0.20% | +0.25% | -0.20% |
| 10 sessions | +0.29% | -0.58% | +0.48% | -0.50% |
| 20 sessions | +0.14% | -0.91% | +0.65% | -0.97% |
A positive average stock return is not enough in a rising market. At 20 sessions, the expanded experiment averaged approximately +0.65%, yet lagged QQQ by about 0.97 percentage points on average. More opportunities were found, but the additional signal density was not evidence of alpha.
The evidence supports using broad ETFs as the default benchmark and treating individual-stock signals as an unproven research overlay. It does not support presenting the model as a reliable replacement for long-term index investing.
Source: V4.67.1 dated study record and ablation summary generated 2026-08-25. The public table rounds source decimals to two percentage points for readability.
Research record: 120 dates, 514 tickers with bars, 52,777 replay rows. Results have not been independently audited.