Knowledge center · Validation & statistics
Factor Stability (sign stability)
The fraction of rolling windows where a factor's relationship with future returns kept the same sign as its overall average.
Formula
Sign stability = (# rolling windows where sign(window IC) = sign(overall IC)) / (# rolling windows)
Interpretation
A factor with a positive average IC that flips negative in half its rolling windows is not a reliable contributor, even though its headline number looks fine.
What good looks like
0.7 or higher — the factor points the same direction in most windows.
What bad looks like
Below 0.5 — the factor's relationship with returns is essentially a coin flip over time, so its average IC is likely noise rather than skill.
Typical range
0.5–0.9 across the engine's factor set; momentum factors tend to sit higher than fundamental factors given fewer point-in-time data points.
How OmniSignal uses it
This is the per-factor version of rolling IC — it is what the engine's own KEEP / MODIFY / REMOVE factor audit is based on, so it's shown here rather than only in an internal doc.
References
Grinold & Kahn, "Active Portfolio Management" (factor stability and IC decay)
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