Knowledge center · Validation & statistics
Rolling IC
The same IC recomputed on a moving window, to see if predictive skill is stable over time.
Formula
Rolling IC_w = Spearman correlation over the most recent w signal dates
Interpretation
A single IC number hides whether a signal worked steadily or only during one lucky stretch. Plotting it over rolling windows shows whether skill is persistent, decaying, or regime-dependent.
What good looks like
A rolling IC that stays on the same side of zero across most windows, even if the magnitude wobbles.
What bad looks like
A rolling IC that flips sign repeatedly, or that was strong historically but has decayed to zero in the most recent windows.
Typical range
Same scale as IC (roughly ±0.15); the useful signal here is the trend and sign-stability, not any single window's value.
How OmniSignal uses it
A model whose average IC looks fine can still be quietly broken in the present — rolling IC is how that gets caught.
References
Grinold & Kahn, "Active Portfolio Management"
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