quant-factor-research/docs/FACTOR_PIPELINE.md

Factor Pipeline (Draft)

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