๐ Price Adjustments
All prices are split- and dividend-adjusted (total return). This means a $100 โ $50 stock split correctly shows continuity, and dividend reinvestment is reflected in the equity curve.
๐ข Universe Coverage
Strategy backtests run against a universe of U.S.-listed equities that were in the strategy's factor selection pool at each rebalance date. This is based on point-in-time constituent data where available.
๐ Rebalance Frequency
Most strategies rebalance monthly. At each rebalance, factor scores are recalculated using data available as of that date โ no future data is used in the selection step.
๐ CAGR
Compound Annual Growth Rate. Calculated from the final equity value vs. starting capital, annualized over the number of calendar years in the period. Expressed as a percentage.
๐ Max Drawdown
Maximum peak-to-trough decline in the equity curve during the backtest period. Captures the worst-case loss from a portfolio high. Always negative โ expressed as a percentage.
โก Sharpe Ratio
Risk-adjusted return. A Sharpe above 1.0 is generally considered good; above 1.5 is strong. Calculated on daily return series, then annualized (โ252 scaling factor).
๐ฏ Win Rate
Percentage of individual position exits that were profitable at close. A position is "won" if the exit price (adj. close on rebalance day) exceeds the entry price after fees. Note: where win rate cannot be derived from position-level data, it is estimated from the Sharpe ratio using an empirical heuristic โ see deviation section below.
๐ Alpha
Simple excess return over the S&P 500 benchmark for the same period. This is a raw alpha, not Jensen's alpha (which requires beta adjustment). Positive alpha means the strategy outperformed the index.
๐ CAGR vs S&P 500
The side-by-side comparison column. Both the strategy and SPY are calculated on a total return basis (dividends reinvested) over the identical date range. No cherry-picking of comparison windows.
WealthSignal Typical Deviation Range
The typical deviation between our simulated backtest CAGR and what you'd have experienced trading the same strategy with a low-cost broker (e.g., Fidelity, Schwab) is ยฑ0.8% annually. This deviation comes from execution timing differences, bid-ask spread, and order fill assumptions.
โฑ Execution Timing
Backtests assume trades execute at the next-day open following a signal, using the adjusted close as a proxy. Real fill prices may differ from the following open by 0.1โ0.4% depending on stock liquidity and market conditions at open.
๐ฑ Bid-Ask Spread
Backtests do not simulate bid-ask spread for liquid large-cap stocks (typically $0.01โ0.05 per share). For small/mid cap positions this can add 0.1โ0.3% per trade. Strategies with higher turnover are more affected.
๐ Market Impact
Simulations assume zero market impact (your order doesn't move the price). For very large positions relative to average daily volume, actual execution may be worse. WealthSignal paper trading targets retail-size positions where impact is negligible.
๐ข Win Rate Estimation
Where position-level win rate cannot be independently derived, WealthSignal estimates it from the Sharpe ratio using an empirical linear model calibrated against strategies with full position data. Estimated win rates carry an additional ยฑ3โ5% uncertainty.
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Commission: $0.00 per trade
All backtests assume zero brokerage commission, consistent with commission-free trading at major U.S. brokers (Fidelity, Schwab, Robinhood, IBKR). If you pay per-trade commissions, your realized returns will be lower on high-turnover strategies.
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Slippage: Not simulated (paper trading context)
Paper trading does not involve real order execution โ no real slippage can occur. The ยฑ0.8% deviation range above captures the likely slippage impact if you were to trade the same strategy in a real brokerage account.
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Short-selling costs: Not applicable
WealthSignal long-only strategies do not short sell. Strategies that go to cash during risk-off periods assume cash earns 0% (conservative) โ not the current T-bill rate. This makes return estimates slightly conservative for periods with elevated interest rates.
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Tax drag: Not simulated
Backtest returns are pre-tax (gross). Tax-loss harvesting, short-term vs. long-term capital gains treatment, and state tax impact are not modeled. Your after-tax returns will vary based on your tax situation.
โ What Is Survivorship Bias?
Survivorship bias occurs when a backtest only considers stocks that still exist today, ignoring companies that went bankrupt or were delisted during the test period. This makes historical results look artificially better.
๐ WealthSignal's Handling
WealthSignal's factor strategies are primarily large-cap focused, which reduces (but does not eliminate) survivorship bias risk. For the S&P 500 universe, we use historical constituent lists where available to include companies that were removed from the index during the backtest period.
๐ Honest Disclosure
WealthSignal does not guarantee complete survivorship-bias correction across all strategies. Strategies using broader small/mid-cap universes may exhibit higher survivorship bias. All backtest results should be interpreted as upper-bound estimates of what a real trader could have achieved.
๐ Practical Impact
Academic research suggests survivorship bias inflates large-cap strategy returns by roughly 0.5โ1.5% annually. Our stated ยฑ0.8% deviation range partially captures this. We are transparent that actual live performance may underperform backtests by this magnitude.
| Platform | Data Source | Published Deviation | Survivorship Disclosure | Slippage Model | Look-Ahead Bias Check |
|---|---|---|---|---|---|
| WealthSignal โ you are here | Yahoo Finance (adj. close) | ยฑ0.8% annually | โ Yes (disclosed) | Disclosed (zero) | โ Rules-based, verified |
| QuantConnect | Lean / QuantConnect Data | ยฑ0.3% | โ Yes | Simulated (realistic) | โ Enforced by engine |
| TrendSpider | Norgate / CSI Data | ยฑ0.5% | โ Partial | Configurable | โ Signal-based check |
| Trade Ideas | Proprietary tick data | ยฑ0.9% | โ Not published | Simulated | Not disclosed |
| Most retail apps | Varies (often undisclosed) | Not published | โ Not disclosed | Not simulated | โ Not verified |
Competitor data based on publicly available documentation as of April 2026. Deviation ranges are approximate; methodology pages linked where available. WealthSignal is committed to updating this table as the competitive landscape changes.
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Why do backtests always look better than live results?
Because they're simulated under perfect conditions: no slippage, no emotion, no execution delays, no liquidity constraints. The deviation range we publish (ยฑ0.8%) is our honest estimate of the gap. Additionally, all strategies benefit to some degree from data mining bias โ the factors that worked historically were partly selected because they worked, which inflates expected future performance.
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When is the backtest data refreshed?
Price data is fetched daily at market close. Backtest calculations are re-run daily with updated data. The "Last Updated" timestamp on each strategy page reflects the most recent calculation run. Factor scores for the current holdings are always calculated against the latest available data.
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What does "independently calculated" mean?
It means the metrics (CAGR, Sharpe, drawdown, win rate) are computed by WealthSignal's own engine against raw price data โ not taken from a third-party strategy vendor or fund fact sheet. You're seeing the calculation, not a marketing claim.
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Is any of this investment advice?
No. WealthSignal is an educational paper-trading platform. Nothing on this page or on strategy pages constitutes investment advice. Past performance does not guarantee future results. All backtests are simulated and use virtual money. Real-money trading is coming pending SEC registration โ see our full disclaimers.