Quant Lab

Find steady baskets of stocks, and test them before you invest

Quant Lab is the research workspace inside CapLens. It builds small groups of stocks that hold up well in market falls, tries hard to break them, and tells you whether now is a sensible time to buy.

In plain words

What Quant Lab does, without the jargon

Quant Lab answers one question: which group of stocks could I hold calmly for years, and is now a sensible time to buy it?

What is a basket?

A basket is a small group of stocks held together with set weights, like a home-made ETF. You choose the rules; Quant Lab finds the combinations that fit them.

What is “defensive”?

A defensive basket falls less in bad markets, spends less time below its previous high and recovers faster. Quant Lab scores every basket on exactly that.

Why the testing?

Any strategy can look good on one backtest. Quant Lab then tries to break each basket with tests it was not tuned for, and says plainly when the evidence is thin.

Follow one idea through five questions

1. Which stocks deserve a look?

Screener. Rank thousands of listings on value, quality, past falls and trend, and keep the ones you like.

2. Which combination holds up best?

Defensive Baskets. Set your rules, such as maximum weight per sector, and get a ranked list of baskets.

3. Can I trust that result?

Trust report. Seven checks, including a test on data the basket never saw, different market environments and trading costs.

4. Is now a good time?

Deployment analysis. Compares today with similar past entries and shows how long they took to pay off.

5. How much of each?

Allocation and rebalance. Turns the basket into exact amounts per stock, with the reason for each weight.

The workflow

From thousands of listings to a deployment plan

Screen

Rank the universe on valuation, quality, drawdown, volatility and trend. Export or hand names to the next stage.

Discover

Generate all-sector or defensive-only baskets with caps on sector, single name, correlation and PE.

Validate

Out-of-sample, walk-forward, regime, bias and execution tests, plus stress events and a deployment verdict.

Deploy

Entry readiness, staged deployment plan, allocation, rebalance preview and ongoing drawdown watch.

The toolkit

The research tools, in one workspace

Stock Screener

Rank thousands of names with server-side filters, then narrow the grid column by column.

Mean Reversion

Find stocks that pull back in a controlled way and recover with repeatable discipline.

Defensive Baskets

Auto-discover ETF-like baskets ranked on survivability and psychological stability.

Custom Basket Lab

Pick your own stocks, set weighting and rebalance rules, and get the same survivability analysis.

Bucket Builder

Persist a basket as a saved bucket and track it through time.

Strategy Backtester

Backtest a rule set or a saved bucket, with equity curve, drawdown and trust validation.

Risk Analyzer and Factor Rankings

Review risk behaviour and factor rank for the names you are considering.

Jobs and Monitor

Heavy analyses run in the background, with progress, status and API telemetry.

Discovery filters

You set the rules. Quant Lab finds the baskets.

Every constraint is explicit and visible, so a basket can be explained to an investment committee.

  • Strictness: how rigorous the survivability and quality screen is
  • Sector scope: defensive only, or all sectors competing on risk behaviour
  • Basket size and weighting: equal, inverse volatility, risk parity, minimum ulcer and more
  • Guard rails: maximum PE, sector weight, single-name weight and pairwise correlation
  • Trend and rejection rules: minimum trend score, EMA stack, RSI, parabolic and gap filters
Discovery filters for strictness, sector scope, basket size, weighting, PE, sector and name caps, correlation and rejection rules
Ranked results

Compare baskets on what matters to a cautious investor

Each discovered basket is ranked by survivability, psychological stability, maximum drawdown, recovery, continuation risk and weighted PE, with its sector mix and how many holdings are non-defensive. Open any row to see its holdings, weights and fundamentals.

Because discovery and detail views are computed on different windows, CapLens states clearly that their numbers are not expected to match one-for-one.

Ranked table of discovered baskets with survivability, psychological stability, maximum drawdown, recovery, continuation and weighted PE
The selected basket

Holdings, weights and fundamentals at a glance

Capital, weighting method, rebalance cadence, psychological stability, continuation risk after a pullback, average underwater episode, weighted volatility and ulcer index, plus weighted PE, ROE, dividend yield, beta and PEG.

Selected basket detail with fundamentals and constituent weights
Institutional trust report

Seven views that try to break your idea

A heavier, on-demand validation layer. It asks whether a basket only looked good in one backtest, or still earns confidence under harder evidence.

Trust report headline cards showing operator confidence, out-of-sample status, regime survivability and deployment verdict
Regime survivability by market environment and Monte Carlo stress results

Out of sample

Train versus validation windows compared on CAGR, drawdown, ulcer, Sharpe, Sortino, win rate and recovery.

Walk-forward

Monthly replay across past windows, with confidence calibration by bucket. Shows “not available” when samples are missing.

Regimes

Crash, inflation shock, rate cycle, bull, bear and sideways markets, plus 1,000-path Monte Carlo stress.

Bias

Survivorship and look-ahead bias audits with plain-language residual risks.

Execution

Gross versus net return after commission, rebalance cost, slippage and delayed execution.

Deployment and live tracking

An institutional verdict, a deterioration ejector simulation, factor attribution, and drift readiness for ongoing tracking.

When evidence is thin, CapLens says so instead of hiding it. That honesty is the point.

Historical deployment analysis

Is today a good entry? How long did similar entries take?

A read-only timing study for the exact basket on screen. Choose a target return and CapLens finds clustered historical analogues, then reports entry quality, an opportunity score, the expected holding period and the quality of the sample behind it.

  • Deployment summary versus typical historical drawdowns
  • Time-to-target statistics from 1% to 10%
  • Probability of success by holding window
  • Pullback distribution with recovery rates and ratings
  • Closest historical analogues by date, drawdown and return
Historical deployment analysis with entry quality, opportunity score, expected hold and sample quality
Deployment summary comparing current drawdown with typical history
Historical pullback distribution with frequency, recovery days and ratings
Diagnostics

See why names were accepted, and why they were not

Quant Lab audits its own discovery process, so surprising concentration or over-restrictive rules are visible.

Sector bias diagnostics with accepted candidates, acceptance rate and classification labels
Hidden concentration detection and survivability penalty heatmap
  • Sector bias classification: healthy, optimizer bias or over-restrictive
  • Top rejection reasons across all rejected candidates
  • Fairness validation for strong non-defensive names
  • Hidden concentration and false-diversification checks
  • Survivability penalty heatmap by factor
  • Scoring contribution for every accepted candidate
Basket analytics

Judge the basket as one ETF-like object

Collective underwater charts, an ETF-like smoothness score, risk-adjusted returns, named stress events, recovery maps and benchmark comparisons, all computed from the exact selected symbols and weights.

  • Underwater depth and persistence across 5 to 100 trading days
  • Stress windows: 2008, COVID, oil shock, Fed shock, banking panic, Iran conflict
  • Benchmarks such as SPY, QQQ and XLP side by side
Collective underwater chart with ETF-like smoothness score
Stress event snapshot with event return, drawdown and spread versus SPY
Entry readiness with status, confidence, pullback recovery and continuation risk
Entry readiness

Deploy in stages, only while the evidence holds

A readiness gauge combines pullback depth, continuation risk, crowding and correlation, and a staged deployment plan sets pullback triggers for each tranche. A recent-condition overlay and 100-day add-on check that today still supports the idea.

Basket entry readiness gauge with staged deployment plan and pullback heatmap
Allocation and rebalance

From idea to order sizes

Every holding’s weight, dollar allocation, volatility, ulcer, survivability and risk contribution, with the reason it earned its weight, plus a rebalance preview against an equal-weight baseline with exact buy and sell amounts.

Holdings allocation table with weight, allocation, volatility, ulcer, survivability and allocation reason
Rebalance preview comparing target weights with an equal-weight baseline
ETF survivability dashboard with total return, drawdown, ulcer index, recovery success, Sharpe and Sortino
Glossary

The terms on these screens, explained

Drawdown
The fall from a previous high to a later low, shown as a percentage.
Underwater period
How long a basket stays below its previous high before it recovers.
Ulcer index
A single number for how deep and how long the dips were. Higher means a more painful ride.
Survivability score
CapLens’s score for how well a basket withstands and recovers from falls.
Psychological stability
CapLens’s score for how comfortable the basket is to hold: fewer deep, long dips.
Out-of-sample test
Testing on a period the basket was not selected on, to see if the result holds up.
Walk-forward test
Repeating the select-and-test process month by month through history.
Market regime
A type of market environment, such as bull, bear, sideways, crash, inflation shock or rate cycle.
Survivorship bias
Only looking at companies that still exist today, which makes history look better than it was.
Look-ahead bias
Accidentally using information that was not yet known at the time being tested.
Monte Carlo
Many randomised simulations of possible futures (1,000 paths here) to see the range of outcomes.
Execution drag
Return lost to commissions, rebalancing costs, slippage and delayed trades.
Staged deployment
Investing in tranches, each triggered by a pullback, instead of all at once.
ETF NAV and equity curve with drawdown overlay and survivability snapshot
ETF health score dashboard and monthly stability heatmap
A note on the figures. Quant Lab output depends on the data in your database and the filters you choose. Screens here come from a demonstration dataset. Quant Lab is analysis software and does not constitute investment advice.

See Quant Lab on your own filters

Bring the constraints you actually use and we will run discovery, trust report and deployment study live.