Small-cap ranking system white paper- timestamping for 2-year follow-up

https://drive.google.com/file/d/1Ne_GdrlI5hPDu-Bu9sbFV1-T11Cic0eY/view?usp=drive_link

This is a white paper for a multi-factor stock ranking system, most suitable for small-caps. The ranking system blends 51 factors from value, growth, quality, and momentum primarily. I used two frameworks (a community-sourced ranking system with OOS success & an internally built ElasticNet ML model) and coordinate descent with walk-forward validation of expanding windows to come to these factors. I tried to minimize overfitting the best I could.

I'm posting here for commentary but also record-keeping. The headline backtest numbers are probably unrealistic as time goes on, but even with a 30-40% shave, I'd be thrilled. Anyways, I want to trade this for two years then come back here for a follow-up.