Retired models
Models we stopped tracking, and why. Kept so the record stays complete.
Models we published and later retired, kept here so the record includes the ones that didn't work. They are read-only: no current holdings, no updates and no alerts. Figures are hypothetical backtests, not live results.
Core + Leaders (reference)Retired
Retired 2026-10-18 · Reference replication of the Core/Leaders rules; retired by the author to keep the line-up focused
Per year, 2016–2026
+17.1%
SPY +15.2%
Max drop
-37.8%
Sharpe 0.72
2016–2021: +21.0% vs SPY +18.3% · 2022–2026: +12.9% vs SPY +12.0%
Test rules
- Replication of Jason's published Core/Leaders rules without the regime switch, price/volume only (no value tilt or revenue filter historically).
- Weekly rebuild.
- Trading costs: 10 bps per side.
Quality + MomentumRetired
Retired 2026-10-18 · Trailed SPY
Per year, 2016–2026
+12.8%
SPY +15.2%
Max drop
-28.7%
Sharpe 0.68
2016–2021: +18.6% vs SPY +18.3% · 2022–2026: +6.6% vs SPY +12.0%
Test rules
- Checklist of 7: ROE >= 15%, gross profit/assets top 40%, long-term debt < 80% of equity, cash-backed earnings, above the 200-day average, 12-1 momentum top 30%, within 25% of the 52-week high.
- Eligible: at least 6 of 7 pass (missing data = fail). Top 15 by checks passed then momentum, max 4 per sector, equal weight, monthly.
- Analyst upside and estimate revisions are shown on the live page as information only (no history).
- Trading costs: 10 bps per side.
Quant (original)Retired
Retired 2026-10-18 · Trailed SPY
Per year, 2016–2026
+7.2%
SPY +15.2%
Max drop
-28.7%
Sharpe 0.54
2016–2021: +9.6% vs SPY +18.3% · 2022–2026: +4.7% vs SPY +12.0%
Test rules
- Pillars: momentum (12-1), quality (ROE, gross profit/assets), value (earnings yield, FCF yield), low risk (1-year volatility); whole-market percentiles, equal-weighted.
- The original model also scores estimate revisions; no point-in-time revisions history is available, so that pillar is LEFT OUT of the backtest and the live model alike.
- Top 30, equal weight, monthly; liquidity: price > $5 and 20-day dollar volume >= $10M.
- Trading costs: 10 bps per side.
Quant v2Retired
Retired 2026-10-18 · Trailed SPY
Per year, 2016–2026
+7.7%
SPY +15.2%
Max drop
-23.6%
Sharpe 0.58
2016–2021: +11.0% vs SPY +18.3% · 2022–2026: +4.1% vs SPY +12.0%
Test rules
- Changes vs original (set from the factor literature before testing, not fitted on 2022+): quality and value ranked within sector; quality adds ROA, low accruals, low leverage and improving ROA; value adds sales yield; momentum adds 52-week-high proximity; loss-makers excluded.
- Weights 35% momentum, 30% quality, 20% value, 15% low risk. Top 30, max 6 per sector, a held name stays while it ranks in the top 60 (cuts turnover).
- Fundamentals: SEC XBRL annual filings (frames), each year treated as public from June 1 of the following year; annual data only, restatements can leak in.
- Trading costs: 10 bps per side.
Undervalued QualityRetired
Retired 2026-10-18 · Trailed SPY
Per year, 2016–2026
+9.9%
SPY +15.2%
Max drop
-32.5%
Sharpe 0.57
2016–2021: +15.6% vs SPY +18.3% · 2022–2026: +4.0% vs SPY +12.0%
Test rules
- Profitable, FCF-positive companies whose quality score (ROE, gross profit/assets, low accruals, low leverage; within sector) is in the top 40% of their sector and whose momentum is not in the bottom 20%.
- The 20 cheapest of those on earnings and free-cash-flow yield (within sector), max 5 per sector, equal weight, monthly.
- Forward P/E and the DCF value are shown on the live page as information only (no point-in-time history).
- Trading costs: 10 bps per side.
Growth LeadersRetired
Retired 2026-10-19 · Trailed SPY in-sample (2016-21) and over the full period in the strict point-in-time test
Per year, 2016–2026
+10.3%
SPY +15.2%
Max drop
-53.2%
Sharpe 0.46
2016–2021: +6.3% vs SPY +18.3% · 2022–2026: +14.9% vs SPY +12.0%
Test rules
- Backtest is a price/volume proxy: an 8%+ gap on 2x volume stands in for an earnings gap, and the 25% revenue-growth rule is NOT applied historically (no point-in-time data).
- Backtest only counts stocks after they joined the S&P 1500. Point-in-time S&P 500/400/600 membership; S&P 600 changes before Dec 2019 are not available, so small-cap membership before then uses the Dec 2019 list.
- Only 5 names: volatility ~45% a year.
- Trading costs: 10 bps per side.
- Backtest only counts stocks after they joined the S&P 1500.
Momentum Top 15 + SPY 10-month brakeRetired
Retired 2026-10-19 · Brake variant of Momentum Top 15; trailed SPY in every window of the strict point-in-time test
Per year, 2016–2026
+5.7%
SPY +15.2%
Max drop
-32.0%
Sharpe 0.38
2016–2021: +3.9% vs SPY +18.3% · 2022–2026: +7.6% vs SPY +12.0%
Test rules
- Brake ON (100% cash, 0% return) in 20 of 120 months.
- Backtest only counts stocks after they joined the S&P 500.
- Trading costs: 10 bps per side.
Backtest figures are hypothetical: rules applied to past prices and filings after trading costs. Past results don't predict future returns. Research only, not personal advice. Current models ›
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Independent research · Not investment advice · Important disclosures · Contact desk@coteau.app
Coteau Systematic Strategies publishes stock research and model portfolios. Results are hypothetical unless marked Live. Data: Yahoo Finance (15-min delayed), SEC EDGAR and the House Clerk.
Beta 0.9 · Oct 21, 2026