FactorAnalyser is a powerful toolkit designed to analyze cross-sectional factors and optimize alpha strategies. It comprises two core components: FactorBacktester and FactorFactory, each providing essential functionalities for comprehensive factor analysis.
FactorBacktester is dedicated to backtesting cross-sectional factors. Key features include:
- Computing rankICs, quantile returns, and factor returns through various methods.
- Planned Enhancements:
- Risk Evaluation Module: Implement a risk assessment framework (e.g., Barra) to evaluate factor risks.
- Base Correlation Integration: Add correlation analysis with baseline factors to improve model robustness.
- IC Attenuation Testing: Develop lead-lag tests to measure IC variation over time, evaluating IC attenuation over n days.
FactorFactory is designed to streamline the creation and management of cross-sectional factors. It is tightly integrated with FactorBacktester, offering advanced capabilities for factor refinement and analysis.
For detailed usage, please refer to the functional demo included in the repository.
This project is released under the MIT License. Please note that FactorAnalyser is still in active development, and feedback or contributions are welcome!