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

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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>

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Yuxuan Yan

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

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docs/assets/reversal_5d_weight_distributions.png

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