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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@@ -26,8 +26,8 @@ def combo():
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def combine(alpha_paths, combo_name, method, output_dir):
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"""Combine multiple alphas and save as parquet."""
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paths = [p.strip() for p in alpha_paths.split(",") if p.strip()]
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if len(paths) < 2:
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click.echo("Error: --alpha-paths requires at least 2 comma-separated paths", err=True)
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if len(paths) < 1:
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click.echo("Error: --alpha-paths requires at least 1 path", err=True)
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return
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result = combine_alphas(
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