Best 5-share basket by realized Sharpe

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Every combination, ranked

The Weights column is this basket's real inverse-variance weighting — the same weights already used to compute its return/volatility/Sharpe above, not a separate estimate — shown in the same order as the Basket column. Click Build → on any row to open it in the Portfolio Builder tab: a real $ allocation calculator, editable weights, and a one-click handoff to Quant-Lite's own optimizer.

What this page actually does

Ported from real, verified sandbox scripts, not built fresh from a description — both pieces below were checked by running the ORIGINAL Python prototypes (not just re-derived from memory) and comparing every output number directly.

A-Z glossary

Every technical term used on this page, in plain-enough language to look up mid-session. Coexists with the Methodology tab above — that page explains how this page's own math works; this one defines the vocabulary it's written in. For the main Quant 2.0 app's own broader glossary (regime-switching, robust optimization, Black-Litterman, etc.), see its Glossary tab instead — this list only covers terms actually used on THIS page.

ATR-14 (Average True Range)

The average size of a share's daily trading range over the last 14 days, including gaps — a standard measure of how much a share typically moves day to day. Used here both as a technical-signal column and as the basis for the position-sizing stop distance below.

Average pairwise correlation

The mean correlation across every pair of shares in a basket. Lower is more genuinely diversified — a basket where every share moves somewhat independently, rather than all rising and falling together.

Bollinger Band squeeze

Flags when a share's Bollinger Bands (a volatility envelope around its price) have narrowed unusually tight — often a sign that a bigger move, in either direction, may be building.

Divergence (RSI/price)

Flags when price makes a new high or low but RSI doesn't confirm it — a classic warning sign that the move's underlying momentum may be weaker than the price action alone suggests.

Inverse-variance weighting

Gives each share a weight inversely proportional to its own variance — a simple, fast diversification rule that leans away from the shakiest names in a basket without needing a full covariance-matrix optimizer.

Logistic sigmoid

An S-shaped curve that squashes any raw number into a smooth 0–1 range. Used here to turn the Meta-Score's blended Z-scores into a single continuous rank with no artificial cliff at some cutoff value.

Meta-Score

This page's headline ranking: 40% valuation, 30% quality, 30% volatility-adjusted momentum, each computed sector-neutral and blended through a logistic sigmoid. Higher is better; there's no hard pass/fail line, so use it to rank a candidate list, not as an automatic buy/don't-buy filter.

On-Balance-Volume (OBV) / Smart Money

Tracks whether trading volume has skewed toward up-days more than price alone would suggest (read as ACCUMULATION — "smart money" quietly buying) or toward down-days (DISTRIBUTION — quiet selling), independent of what the price chart shows on its own.

Position sizing

Given your account size and how much of it you're willing to risk on one trade, works backward to how many shares to buy and where a reasonable stop-loss sits — here, 2× ATR-14 away from entry, wide enough to sit outside ordinary daily noise (though never a guarantee against an overnight gap).

RSI-14 (Relative Strength Index)

A 0–100 momentum oscillator comparing the size of recent gains to recent losses over 14 days. Conventionally read as "overbought" above 70 and "oversold" below 30, though neither is a guaranteed reversal signal on its own.

Sector-neutral

Ranks each share only against others in its own sector, rather than the whole universe — so a miner's P/E is never compared directly against a bank's, which would be comparing fundamentally different valuation norms.

Sharpe ratio

Realized return divided by realized volatility — the standard reward-per-unit-of-risk measure used to rank baskets in Basket Combinatorics.

Volatility-adjusted momentum

Barroso & Santa-Clara (2015): scales a share's raw price momentum down when its own volatility is high — so a volatile share's momentum reading isn't overstated relative to a steadier one with the same raw price trend.

VWAP bias

Compares today's closing price to the 30-day volume-weighted average price — a read on whether the share is currently trading rich or cheap relative to where most of its recent volume actually traded.

Winsorized Z-score

A standard Z-score with extreme outlier values capped (winsorized) before ranking, so one freakishly high or low data point can't single-handedly distort the whole sector's ranking.

Z-score

How many standard deviations a value sits from its group's mean — the common unit the Meta-Score's Valuation, Quality, and Momentum components are all converted into before blending, so three differently-scaled measures can be combined fairly.