Add 5-day reversal end-to-end pipeline report and repro scripts

Browse Source

Runs the 5-day reversal signal through data→alpha→combo→portfolio on the
full A-share universe and documents the finding: the naive z-score book
loses to outlier concentration, rank weighting on a liquid universe
recovers a real edge, and turnover-driven cost is the binding constraint.
Includes the e2e driver and figure generator that produce the report.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

...

This commit is contained in:

Yuxuan Yan

2026-06-11 17:40:52 +08:00

parent 07ed6ad917

commit b7dd94b032

8 changed files with 1093 additions and 0 deletions

Show all changes Ignore whitespace when comparing lines Ignore changes in amount of whitespace Ignore changes in whitespace at EOL

Download Patch File Download Diff File Expand all files Collapse all files

docs/assets/reversal_5d_exec_vs_research.png

BIN

Binary file not shown.

Side by Side After Width:  |  Height:  |  Size: 181 KiB