Substrate Hit Rate

For each substrate, the average forward return on its primary asset at the substrate's declared horizon, grouped by where the substrate's value sat at signal time (rolling 5-year percentile). This is the credibility document: every substrate is graded honestly, including the ones that don't work.

The four columns show forward returns by percentile bucket: Cold = substrate in bottom quintile (suppressed/calm); Cool = mid-low; Warm = mid-high; Hot = top quintile (stretched/stressed). The Spread column shows hot-minus-cold — a positive spread means the substrate's "hot" state predicts higher forward returns on its primary asset (after adjusting for short theses), validating the rule. Negative spread means the rule's direction is wrong in the historical sample.

Method: For each observation in a substrate's history, we compute the 5-year rolling percentile of its value. The substrate's primary asset's forward return is measured at the substrate's declared horizon. Sample sizes (n) appear under each bucket. The hit rate (% of windows with positive forward return) appears next to n. For substrates whose direction-when-firing is "short," we invert the sign so positive numbers always mean "the rule worked."