Signal Decay and Research Hygiene in Quantitative Finance

Blackmark Dominion Research Inc. · December 15, 2025 · 16 min read

Abstract

Every quantitative signal has a finite lifespan. As more participants discover and trade on a signal, its efficacy diminishes.

Measuring Half-Life

We study 47 well-documented signal families across equities, rates, and commodities:

Value signals: median half-life 8–12 years

Momentum signals: median half-life 3–5 years

Microstructure signals: median half-life 6–18 months

Alternative data signals: often less than 12 months

Research Hygiene Framework

Four pillars: continuous monitoring, decay detection, graceful deprecation, and pipeline velocity.

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