Fama-French Style Factor Backtesting

A practical guide to SurgeFlow's FF-inspired daily backtests, including active return, costs, robustness, and benchmark comparison.

Category: Factor Research

Daily research, not official replication

SurgeFlow uses Fama-French vocabulary, but the live factors are custom daily research factors. They are not official Dartmouth/Ken French monthly research returns and should be judged as a trading research layer.

Backtest rules

Backtests use point-in-time membership, execution lag, transaction cost assumptions, benchmark subtraction, and robustness checks. The basic identity is active return = sleeve return - benchmark return. The goal is not to maximize one historical Sharpe ratio but to see whether evidence survives multiple stress lenses.

What survives consumption

The optimizer can rank sleeves, but the publication gate still controls whether the sleeve is eligible for agent use. A high point estimate with weak diagnostics remains research-only.