27 lines
749 B
Python
27 lines
749 B
Python
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from __future__ import annotations
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import numpy as np
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import pandas as pd
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from qfr.factors import winsorize_by_date, zscore_by_date
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from qfr.metrics import information_coefficient
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def main() -> None:
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dates = pd.to_datetime(["2026-01-01", "2026-01-02", "2026-01-03"])
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assets = ["A", "B", "C", "D"]
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idx = pd.MultiIndex.from_product([dates, assets], names=["date", "asset"])
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rng = np.random.default_rng(42)
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factor = pd.Series(rng.normal(size=len(idx)), index=idx)
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fwd_ret = pd.Series(rng.normal(scale=0.01, size=len(idx)), index=idx)
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factor2 = zscore_by_date(winsorize_by_date(factor))
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ic = information_coefficient(factor2, fwd_ret)
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print("IC mean:", float(ic.mean()))
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if __name__ == "__main__":
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main()
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