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rgourleyrgourley/quant-garage/skills/factor-research/SKILL.md

factor-research

Skill7 starsChanged 4 months agoLicence not identifiedView on GitHub

Run a quant-style multi-factor backtest on a defined US equity universe. For momentum, value, quality, and low-vol factors, compute decile spreads, information coefficients with t-stats, IC decay curves at 1M/3M/6M/12M forward horizons, single-name attribution at the long and short tails, and the factor correlation matrix. Emits FactSet/Axioma factor research-style table output a buy-side quant would hand to a PM. First skill to exercise the flat-files foundation: a 5-year x top-500 daily aggregates pull is ~80,000 ticker-days, done via a few day-bucket downloads instead of 80,000 REST calls.

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1 rule. About 0 are common, 1 is distinctive, and 0 are very specific to this project.

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≈ “Common” is an estimate: at least 1 in 5 of the 350,495 skill files we read have a rule of the same kind, not the same words. “Very specific” is our guess from the words: it names a file, a command, a setting or the project itself.

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