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>
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@@ -4,4 +4,9 @@ Importing this package imports each alpha module, which registers the alpha via
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the ``@register_alpha`` decorator. Add a new built-in by dropping a module here
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and importing it below.
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"""
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from pipeline.alpha.library import momentum, reversal, reversal_vol # noqa: F401
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from pipeline.alpha.library import ( # noqa: F401
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momentum,
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reversal,
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reversal_rank,
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reversal_vol,
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)
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