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>
Yuxuan Yan