19 lines
373 B
Markdown
19 lines
373 B
Markdown
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# Factor Pipeline (Draft)
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1) Load universe + prices + fundamentals
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2) Compute raw factor values
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3) Clean:
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- missing handling
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- winsorize (per-date cross section)
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- z-score (per-date cross section)
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4) Neutralize (optional):
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- industry
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- size
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5) Evaluate:
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- IC / Rank IC
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- decay
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- turnover
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6) Backtest:
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- long-short / top-k
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- transaction costs
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