Quant Screen — Column Reference
Definitions for every column in the #quant results table on wadewilliams.uk · print and keep
How to read the table
- Universe: every APPROVED ticker (~4,200 across 11 sectors), joined with returns, technicals and fundamentals. The pinned S&P 500 row is a benchmark, not a screen result.
- Colors: green = positive / up, blue (#7BAFD4) = negative / down — the site-wide colorblind-safe convention (never red).
- Sorting: click any column header to sort; click again to flip direction (▲/▼).
- ▾ filters: the small ▾ on each header opens that column's filter (≥/≤ median, sector / industry / theme / subtheme medians, Above/Below S&P 500 on return + K-Ratio columns, Top/Bottom %, >, <, Between). The Anthropic Class / Pass / Data columns use checkbox filters instead — check one or more values, then hit Apply.
- TRAILING ⇄ MONTHLY: the toggle above the table swaps the trailing-return columns for one column per calendar month (current month first, labeled MTD).
- ✕ next to a ticker removes that stock from the current results (a per-run exclusion, not a database change).
- Group views (Show by Sectors / Industries / Themes / Subthemes): each row is a category; numeric cells show the median (default, switchable to mean) of the member stocks, market cap is the group total, and groups need ≥3 members by default.
Identity & size
| Column | Definition |
|---|
| Ticker | Exchange symbol. Click for the stock's full profile page; the ✕ removes it from the current results. |
| Company | Company name. |
| Theme | Investment theme — the second level of the custom taxonomy (sector → theme → sub-theme → sub-industry → ticker). |
| Sub-theme | Sub-theme — the taxonomy level under the investment theme. |
| Mkt Cap | Market capitalization = live price × shares outstanding, refreshed every 15 minutes during market hours. |
Fundamental momentum
| Column | Definition |
|---|
| Improving | Fundamental-momentum score 0–6 from point-in-time quarterly data: +1 each for (1) gross margin expanding quarter-over-quarter, (2) that GM expansion accelerating, (3) deleveraging (debt-to-equity falling), (4) EPS growing year-over-year, (5) trailing P/E compressing while the price holds or rises, and (6) revenue YoY growth accelerating. 6/6 = improving on every axis. |
Trend quality — K-Ratios
The K-Ratio (Lars Kestner) measures how smooth and persistent a trend is, not how big it is:
regress log(price) on time over the window, then K = slope ÷ (standard error of slope × √N).
High positive = a steady grinder; a one-day moonshot scores poorly. Scale-invariant; blank when the
stock has under 30 valid trading days in the window (15 for the 1-month window).
| Column | Window |
|---|
| K 1M | Last ~21 trading days. |
| K 3M | Last ~63 trading days. |
| K 6M | Last ~126 trading days. This is the table's default sort. |
| K 1Y | Last ~252 trading days. |
| K 12-1 | Months 2–12 back: drop the most recent ~21 trading days, regress the prior ~231. The trend-quality analog of the 12-1 return column — rewards the steadiest months-2–12 uptrend even if the latest month wobbled. |
Technicals
| Column | Definition |
|---|
| CMF-20d | Chaikin Money Flow over 20 days — volume-weighted accumulation/distribution. > 0 = net accumulation (money flowing in), < 0 = net distribution. |
| $ Vol 20d | Average daily dollar volume (price × shares traded) over the last 20 trading days — a liquidity measure. |
| Wkly StdDev | Volatility: standard deviation of weekly returns (sampled every 5 trading days over the trailing year), in percent. Higher = choppier. |
Trailing returns
Price returns over trading-day windows ending at the latest close (1D updates live during market
hours). Windows use ~21 trading days per "month": 1W = 5, 1M = 21, 3M = 63 (one quarter), 6M = 126,
9M = 189, 1Y = 252. The 2M and YTD columns are instead chained from the calendar-month buckets.
| Column | Definition |
|---|
| 1D | One-day return; live intraday move while the market is open. |
| 1W / 1M / 3M / 6M / 9M / 1Y | Return over the trailing window (trading days, as above). 3M is one calendar quarter's worth of trading days. |
| 2M | Two-month return chained from the calendar-month buckets: (1 + month-to-date) × (1 + prior full month) − 1 — so early in a new month it spans a little over one full month, not a fixed 42 trading days. |
| YTD | Year-to-date return, chained from this year's calendar-month buckets through the last finalized close (unlike the MTD column, it does not fold in today's live move). |
| 12-1 | Classic 12-1 momentum (Jegadeesh-Titman): the trailing YEAR with the most recent month removed = (1 + 1Y) ÷ (1 + 1M) − 1, on rolling 21-trading-day "months" (not calendar months). The latest month tends to mean-revert; months 2–12 persist. Blank for stocks without a full 1-year history (recent IPOs). |
Monthly columns (MONTHLY mode)
| Column | Definition |
|---|
| Jul (MTD), Jun, May, … | Return for each calendar month, newest first. The current month (MTD) live-folds today's price move on top of the finalized closes, so it is always current. Each month column has the same ▾ filter, including outperformed-S&P-500-that-month. |
Ⓐ Anthropic prescreen columns
These 21 columns appear at the right of the table only while the Ⓐ Anthropic stage is on.
Big idea: find businesses that grew at least as fast as their market caps — and flag pristine
charts that re-rated far beyond fundamentals. All growth rates are CAGRs over the selected window
(3/5/7/10 fiscal years, default 5); historical market cap is the point-in-time year-end cap
(that year's price × that year's share count — never today's), so buybacks can't masquerade as growth.
Values are percent (%/yr) or percentage points (pp); "—" or N/A = data not available (the score
reweights rather than failing the stock).
| Column | Definition |
|---|
| Anth Score | Composite score 0–100: 35% revenue-growth spread · 25% FCF spread · 15% operating-margin Δ · 10% FCF-margin Δ · 10% gross-margin Δ · 5% share discipline — each percentile-ranked across the stocks entering the stage, reweighted when a component is missing. Invalid comparisons are never scored. |
| Class | Classification of business growth vs valuation growth — see the legend below. |
| Pass | ✓ Pass = clears all enabled quality filters AND satisfies the spread condition (spread ≥ −tolerance, default 5pp, or a Justified Re-Rating — the re-rating substitutes only for the spread test, never for the quality filters). ✗ Fail otherwise. "Pass only ⇄ Show all" on the Anthropic filter row controls whether fails stay visible. |
| Rev CAGR | Revenue CAGR over the window (latest annual report vs the report N years back). |
| MCap CAGR | Market-cap CAGR between the same fiscal years, from point-in-time year-end caps. When the latest report year is the current calendar year, the live cap is the ending point. |
| Spread | The primary metric. Revenue CAGR − Market-cap CAGR, in pp/yr. Positive = the business outgrew its valuation; negative = the valuation outran the business. |
| Capture | Revenue CAGR ÷ Market-cap CAGR (secondary diagnostic). Shows N/M when |MCap CAGR| < 1% (division by ~zero) and ⚠ when a negative CAGR would make the ratio misleading. |
| FCF CAGR | Free-cash-flow CAGR — only computed when both endpoints are positive; otherwise shows the endpoint sign status ("neg start" / "neg end" / N/M). |
| FCF Spr | FCF CAGR − Market-cap CAGR, in pp/yr (only when FCF CAGR is meaningful). |
| GP CAGR | Gross-profit CAGR over the window. |
| OpInc CAGR | Operating-income CAGR — N/M when an endpoint is zero or negative (raw values in the ℹ detail panel). |
| GM Δ | Gross-margin change over the window, in percentage points. |
| OpM Δ | Operating-margin change over the window, in percentage points. |
| FCFM Δ | FCF-margin change over the window, in percentage points. |
| Shares CAGR | Share-count CAGR (year-end basic shares). Negative = net buybacks (reads green), positive = net dilution. |
| Price CAGR | Per-share price CAGR derived from the same point-in-time caps and share counts. |
| Buyback Δ | Approximation: Price CAGR − MCap CAGR ≈ how much per-share growth differed from total-equity growth because the share count changed. |
| P/S beg | Price-to-sales at the start of the window (beginning cap ÷ beginning revenue). |
| P/S end | Price-to-sales at the end of the window (ending cap ÷ ending revenue). |
| P/S CAGR | Multiple-expansion rate — the exact multiplicative complement: (1 + MCap CAGR) = (1 + Rev CAGR) × (1 + P/S CAGR). It answers "how much of the cap growth was re-rating rather than revenue". |
| Data | Data-quality status for the row's computation. Click the ℹ to open the per-stock detail panel: fiscal-year endpoints, every CAGR, the margin walk, pass/fail reasons and the full decomposition. |
Class legend
| Class | Meaning |
|---|
| ▲ Fundamentals Ahead | Any positive spread (revenue CAGR > market-cap CAGR). The business outran its valuation. |
| ◆ Roughly Aligned | Market cap ahead of revenue by no more than the tolerance (spread between −tolerance and 0; default 5pp, editable) — valuation roughly tracked the business. |
| ✦ Justified Re-Rating | Market cap outran revenue by more than the tolerance, but objective evidence justifies it: operating/FCF/gross margin up ≥5pp, FCF CAGR ≥ revenue CAGR + 10pp, or a negative→positive FCF flip with a ≥5% ending margin. Satisfies the spread condition despite the negative spread (the quality filters still apply); kept visually distinct. |
| ▽ Fundamentals Lagging | Market cap outran revenue by more than the tolerance with no justifying evidence. |
| ⛔ Severe Overrun | Market cap outran revenue by more than the severe threshold (default 15pp/yr, editable) with no justification — the re-rating risk case the screen exists to catch. |
| ⚠ Invalid Comparison | The spread would be meaningless, so the stock is flagged, never force-ranked: revenue CAGR ≤ −7%/yr, market-cap CAGR ≤ −15%/yr, |share-count CAGR| ≥ 25%/yr (corporate-action scale), beginning P/S < 0.1, or insufficient history for the window. |
Data column vocabulary
- Complete — every input present.
- Minor fallback — a secondary input was approximated (e.g. ending FCF estimated from FCF yield × live cap).
- Historical shares missing — share-count series unavailable; share/price/buyback metrics blank.
- FCF/op-income history unavailable — those CAGRs/margin walks read N/A; the score reweights.
- Invalid comparison — one of the ⚠ guards above tripped.
- Insufficient history — fewer fiscal years on record than the window needs.
- Incomplete financial data — core revenue/market-cap endpoints missing.
Default quality filters (each individually toggleable on the Anthropic row):
market cap ≥ $2B · revenue ≥ $500M · revenue CAGR ≥ 8% · positive FCF · FCF margin ≥ 5% ·
dilution ≤ 2%/yr. Operating-margin and ROIC filters exist but default off; the Net-debt/EBITDA
filter has no stored data yet — always N/A, never fails anyone. (EV/Sales likewise has no stored
data; it is not a filter and appears only as N/A in the ℹ detail panel.)