How Midas Edge validates portfolio risk forecasts against realized outcomes before exposing model confidence to users.
As of -. No computed_at timestamp.
Computed as a daily Spearman rank correlation, then rolled across the latest validation window.
-
Target > 0.50
Cross-sectional rank correlation between forecast scores and realized next-period returns.
Values near 1.00 mean forecasted risk and realized risk are calibrated.
-
Target 0.98-1.02
Ratio of predicted volatility to realized volatility across the validation sample.
Computed from realized returns versus the predicted two-sided 95% risk interval.
-
Target 93.0%-97.0%
Share of realized returns contained inside the model's predicted 95% interval.
Each factor is scored from 0 to 100 by multiplying positive IC strength, 12-month half-life IC stability, IC coverage, and the latest outlier penalty.
The validation dashboard flags factor-return moves above five rolling standard deviations, shows 90-day factor-return autocorrelation, and reports each factor contribution to rolling factor variance.
