Major modularization update

• Code is entirely rewritten
  • Now each data download is in its own file, and each signal construction is in its own file.
  • Most of the signal files can be run in parallel.
  • If signal file errors out, main program moves on to the next file (try-catch)
  • Huge improvement to usability
    • Easy to find which signal file you’re looking for
    • Easy to improve any individual signal file due to lack of dependencies
• Modular signals data structure
  • Each signal has its own firm-month csv (E.g. STreversal.csv has a short-term reversal signal for each permno-month in CRSP)
  • Some improvement to usability:
    • Allows for modular updates to the full dataset
    • Also allows users interested in specific signals to simply retrieve the signal
• Simplified portfolio code
  • Replaced complicated balanced matrix portfolio tracking with simple conditional weighted mean construction
  • Inputs are now just individual single signal csvs instead of the full dataset
  • Constructs all quantile-portfolios and long-shorts together
  • Accommodates daily portfolios (though signals must still be monthly)
  • Accommodates discrete signals as a generalization of binary
• Some improvement in transparency and error checking
  • Ensures consistency between all-quantile portfolios and long-shorts
• Improved classification and documentation of signals in SignalDocumentation.xlsx
  • For each signal, we hand collect the number of the table with predictability evidence, test in the table (port sort, regression), sign, t-stat, mean monthly return, quantile, portfolio assignment period, and filters.
  • We use the above to categorize signals by predictability in the original paper and signal replication quality. As a result, these categories are more true to the original papers.
• Improved signals and new signals
  • Improved/Fixed:
    • EarningsStreak (Loh and Warachka, formerly EarnIncrease)
    • DivSeason (Hartzmark and Salomon, formerly DivInd)
    • UpRecomm / DownRecomm (Barber et al, formerly UpForecast / DownForecast)
    • MomSeason* and MomOffSeason* (Heston and Sadka, formerly MomSeas*)
    • DivYieldST (Litzenberger and Ramaswamy, formerly DivYield_q)
    • Coskewness (Harvey and Siddique)
    • EquityDuraion (Dechow, Sloan, and Soliman)
    • Governance (Gompers, Ishii, Metrick)
    • DivInit and DivOmit (Michaely, Thaler, and Womack)
    • MS (Mohanoram)
    • ZScore, OScore (Dichev)
  • New signals
    • CoskewACX (Ang, Chen, and Xing)
    • AnalystRevision (Hawkins, Chamberlain, and Daniel)
    • FEPS (Cen, Wei, and Zhang)
    • OrderBacklogChg (Baik and Ahn)
  • Removed a couple of redundant signals