Add outlier-robust reversal_rank alpha and investable-universe filter

reversal_rank weights the 5-day reversal signal by bounded cross-sectional
rank instead of z-score, so a few extreme A-share pct_change outliers
(newly listed / post-suspension / limit-up names) can no longer dominate
the book. compute_alpha gains an optional per-date investable-universe
mask (tradable, non-ST, seasoned, top-liquidity) applied to the signal
before weighting, exposed via --liquid-universe/--universe-top-n.

combo combine now accepts a single alpha as an identity passthrough so a
one-alpha pipeline run needs no synthetic second input.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
Yuxuan Yan
2026-06-11 17:40:28 +08:00
parent 0a6f367fbf
commit 07ed6ad917
6 changed files with 219 additions and 8 deletions
+6 -1
View File
@@ -4,4 +4,9 @@ Importing this package imports each alpha module, which registers the alpha via
the ``@register_alpha`` decorator. Add a new built-in by dropping a module here
and importing it below.
"""
from pipeline.alpha.library import momentum, reversal, reversal_vol # noqa: F401
from pipeline.alpha.library import ( # noqa: F401
momentum,
reversal,
reversal_rank,
reversal_vol,
)