initial import: etf strategy project

scripts/smoke.py

@@ -0,0 +1,26 @@
+from __future__ import annotations
+
+import numpy as np
+import pandas as pd
+
+from qfr.factors import winsorize_by_date, zscore_by_date
+from qfr.metrics import information_coefficient
+
+
+def main() -> None:
+    dates = pd.to_datetime(["2026-01-01", "2026-01-02", "2026-01-03"])
+    assets = ["A", "B", "C", "D"]
+    idx = pd.MultiIndex.from_product([dates, assets], names=["date", "asset"])
+
+    rng = np.random.default_rng(42)
+    factor = pd.Series(rng.normal(size=len(idx)), index=idx)
+    fwd_ret = pd.Series(rng.normal(scale=0.01, size=len(idx)), index=idx)
+
+    factor2 = zscore_by_date(winsorize_by_date(factor))
+    ic = information_coefficient(factor2, fwd_ret)
+
+    print("IC mean:", float(ic.mean()))
+
+
+if __name__ == "__main__":
+    main()