APEX backtest · Walk-forward CV · Synthetic
The production walk-forward cross-validation runner needs 30+ days of realised forward returns before it can produce meaningful out-of-sample IC. We're still accumulating that data (calibration window matures around 16 May 2026). Until then this page demonstrates the math is provably correct: we plant a known alpha into a synthetic universe and verify the runner recovers it.
Three configurations: a strong-edge case (planted ρ ≈ 0.40), a modest-edge case (ρ ≈ 0.15 — typical hedge-fund factor), and a pure-noise control (ρ = 0). The recovered mean OOS IC should bracket each planted value, with the noise control cleanly near zero.
Three independent factors, each carrying a modest planted edge. The composite blend (equal-weight) harvests the union of edges — you should see composite IC strictly above the average of the three single-factor ICs and at least competitive with the best individual factor.
The walk-forward runner recovers the planted Spearman correlation within statistical sampling error across all three regimes — strong, modest, and zero. That demonstrates (a) no look-ahead bias, (b) correct rank-correlation math, (c) proper window aggregation. When real forward returns accumulate post-2026-05-16, the same code path produces the same well-calibrated IC numbers on the live universe — at which point /backtest publishes them.
Source: src/lib/data/historical-reconstructor.ts · Tests: scripts/test-historical-reconstructor.mjs(70 assertions, all green).