Is that your final answer? Yes. Maybe.
After much toying with different models and different model responses the current (and hopefully final) prediction response is the Geometric Daily Return Average. Well the difference of that for the symbol and the market respectively. The averaging is over the prediction horizon which is currently the 3 months from financial statement date - not today and not when it was filed but rather the statement period ending date. The return is not in percent terms so multiply by 100 (until I do so in code).
I believe this is much better than any scale no matter how granular let alone the outperform/perform/underperform one. Yes, predicting the expected return is crazy impossible so the system will be used very much (as a classifier) along the lines of outperform/perform/underperform (basically go long, ignore or go short vs market). Regardless there's power in that bit of information.
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