InsidersTradesSigma
V15 has ranked signals since 2026-07-05. Its observed history is still too short to publish a live return. Results below are versioned historical simulations.
Each month, the simulated portfolio buys the 10 highest-scored insider BUY signals (EU markets) in equal weights, then sells each position 90 days later. Result is net of 0.6% round-trip fees.
选择市场和期间：以下每个数字都可以从公开数据集逐格复现。观察值少于 30 的单元格会如实标注，而不是展示不稳定的数字。
在严格 point-in-time 口径下对实际服务排序的回测：每月 top 10，持有 T+90，扣除成本（审计 200）。
金点：2025-2026 处于异常行情，绝非可保证的基础收益率。
扣除 0.6% 往返成本，收益按 +-50% 缩尾，持有 T+90。审计 200 为消除前视偏差而主动下调了全部数字：所有输入均为 point-in-time。来源：SCENARIO_RETURNS（审计 200）。 基于公开申报的回测，不构成投资建议。过往表现不代表未来收益。 完整方法论 →
前 5 / 10 / 20
“前 N 个信号”组合到底是什么？
每个月，我们保留复合评分（0 到 100）最高的申报，以等权重买入，每个持仓持有 90 天，然后轮换。前 5、10 或 20 只是指您跟随其中多少个每月最佳信号。
完整回测窗口（51 个月回测（2022-2026Q1，严格 point-in-time）），不挑选子区间。每个收益均与其最大回撤和样本量一同展示。
| 每月信号数 | 指数基准达到 | 年化 | 最大回撤 | 个信号 |
|---|---|---|---|---|
| 每月前 5 | 56,970 € | +50.6% | -31.2% | 255 |
| 每月前 10当前服务配置 | 27,069 € | +26.4% | -26.6% | 510 |
| 每月前 20 | 13,802 € | +7.9% | -31.0% | 1,020 |
此区间依赖 2025-26 年的强势行情。请将其视为单一的有利行情，绝非年化承诺。
Last updated: 01 Sept 2026, 09:18 · Period covered: 119 months
Regime-dependent simulation on real data, not a live return. Point-in-time strict: the figures were deliberately revised down (audit 200) to remove look-ahead bias, and re-measured on the repaired corpus (audit 216). The live ranking has run this construction since 2026-08-16, but these figures remain a backtest: no live window exists yet, and the served book covers more venues than the backtest universe. Past performance does not predict future returns.
Every day, we freeze the BUY ranking and its entry price. Choose a rank group and a fixed horizon to see realized results with no retrospective reshuffling.
高管在看好自己公司时会买入自家股票。我们跟踪 43 个市场的公开申报，并为符合条件的买入给出 0 到 100 分。每笔买入只在所属市场内排名。 目前尚无市场达到历史配置标准。信号仍作为观察项显示，不提供建议仓位。
这些回报如何产生
基于真实数据的模拟，结果依赖市场状态，并非实际上线收益。严格 point-in-time 口径：为消除前视偏差，数字已在审计 200 中主动下调，并在修复后的语料上重新测量（审计 216）。线上排名自 2026 年 8 月 16 日起运行该构造，但这些数字仍属回测：目前尚无实盘窗口，且线上名单覆盖的交易场所多于回测范围。过往表现不预示未来收益。 Detailed methodology ↗
Internal backtest on public regulator filings (43 markets). Window Mar 2023 · Aug 2025. T+365 returns from Yahoo Finance EOD prices.
Historical backtest. Returns are indicative; past performance does not guarantee future results. This is not investment advice. CI95 and DSR documented in the methodology.
Backtest coverage: XPAR, XTKS and BVMF prioritised (T+365 returns computed). SEC (US) and LSE (UK) still being processed.
V14e archive, the former out-of-sample test
V14e EU OOS · archived strategy (2026-05 to 2026-07) · test window 2025-01-01 to 2026-03-31 · net of 0.6% per round-trip
Sigma v1.0, in-sample discovery cohort: n=3,864 of 391,106 observations (43 markets), 2022-2025.
On the 1st of every month, the V14e ensemble is refit on a 36-month window. The OOS Sharpe is measured on the following 6 full calendar months, shifted back 93 days so every T+90 return is realized, with a bootstrap 95% CI and the number of signals tested. A Sharpe below 0 (amber badge) flags a drift to watch. Fewer than 6 full months: the row is marked insufficient and no figure is published.
| Version | Fitted at | Sharpe OOS | CI95 | Months | Signals | CAGR | MaxDD | Deflated |
|---|---|---|---|---|---|---|---|---|
| V13.202609DRIFT | 01 Sept 2026 | -5.76 | [-38.62, -3.01] | 6 | 23,859 | -80.0% | -55.3% | -9.08 |
| V13.202608DRIFT | 21 Aug 2026 | -1.93 | [-18.36, 0.73] | 6 | 19,147 | -49.2% | -35.9% | -5.24 |
| V13.202607DRIFT | 21 Aug 2026 | -2.27 | [-7.41, 0.28] | 6 | 15,502 | -67.2% | -42.7% | -5.58 |
| V14e | 04 Jun 2026 | 0.83 | [-0.94, 3.22] | 15 | · | +27.1% | -25.8% | 0.21 |
The deflated Sharpe (Bailey-Lopez de Prado) corrects for multiple-testing selection bias. A negative value means the raw Sharpe is not statistically distinguishable from zero over this window.
这是另一套规则下的另一项测算：保守的前 5 名再投资组合（含费用），不应与上方展示的前 10 名回测相比较。
测试 180 种无杠杆配置，单次往返成本为 0.6%。参数基于 2022-2024 年选择，并在 2025-2026 年第一季度测试前冻结。
每月前 5 名，持有 90 天。规则在训练期选定，测试期不再调整。
历史研究模拟，不代表预期收益、投资建议或保证。市值和汇率数据尚未完全实现时点一致。
This measures what a reader captures AFTER publication, not the strategy's performance.
Key question for a retail investor: how much of the stock's total return happens between the insider trade and the regulatory filing (leak) vs. after (exploitable by you)? We measured the Yahoo price at transactionDate, at pubDate+1, and at tx+90d for 76,401 trades.
Local regulations (MAR 596/2014 in the EU for AMF/BaFin, SEC Form 4 in the US, SIX SER in Switzerland) require executives to file their transactions within a short window (3 business days in the EU, 2 in the US). But do they comply? On our sample of 103,702 filings:
Conclusion: the majority (70%) comply with MAR. The median is 1.5 days, meaning that when you see a signal on the site, the transaction already occurred 1.5 days ago on average. The market has had time to price the information.
returnFromPub30d/90d/365d (entry at pubDate+1) in addition to insider-view returns (transactionDate). Future backtests will be more honest by default.Sigma reduces a global public-filings dataset to a watchlist worth examining. The ranking prioritises research. It currently provides neither a validated allocation nor an expected return.