Quality#21tier 1live in production

`qmj`

cadence: Quarterlydata: medium

Mechanism

Combine quality (gross profit / assets, ROE) with momentum: long when both are in their respective top buckets relative to their own history. Stock-level adaptation; the cross-sectional implementation would rank across the universe but we approximate with self-relative

Signal rule

composite z of profitability + growth + safety + payout; long top, short bottom decile

Data dependencies

fundamentals_quarterly
Quarterly fundamentals (income, balance, cash-flow) from FMP + SEC.
daily_bars
Daily OHLCV bars used by all price-based generators.

Expected edge

0.6-0.9 Sharpe globally (Asness-Frazzini-Pedersen 2019)

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Example tickers where this is likely to fire

MSFT V MA

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

babQuality

For a single stock, "BAB strategy" can be expressed as: scale exposure inversely to rolling beta vs SPY. Lower-beta moments → bigger position; high-beta moments → reduced. The stock-level analog of the BAB

novy marx gross profitabilityAccounting

(Revenue − COGS) / total_assets — gross profitability — predicts cross-sectional returns as strongly as book-to-market, and has been the mainstream "profitability" leg of the FF5 model since 2015. Distinct from QMJ which composites profitability+growth+safety; standalone GP is the high-beta version that explains more of the

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qmj