factor-research - Factor research framework for IC/IR evaluation and backtesting
Evaluates factor predictive power using IC/IR statistical tests, quantile backtests, and factor combination methods.
Tags
Updated: 2026-09-20Capabilities
Typical Inputs
Typical Outputs
What this skill does
- Calculate cross-sectional factor values
- Calculate forward instrument returns
- Run factor analysis tool
- Evaluate factor IC and IR
- Perform quantile group backtests
- Combine factors using weighted methods
- Compute pre-built zoo alphas
Inputs
- SigmX Data Hub API credentials
- Stock daily market data
- Stock daily basic data
- Instrument OHLCV panel data
- Factor CSV file
- Return CSV file
Outputs
- ic_series.csv file
- ic_summary.json file
- group_equity.csv file
- Computed factor CSV file
- Degraded execution log or error message
Requirements
- Python environment with pandas numpy and scipy
- SigmX Data Hub API credentials
- factor_analysis tool availability
- Access to China A-share market data