ML-based long-short factor investing pipeline for Taiwan stocks using Size, BM & Momentum factors — OLS, RF, NN, XGBoost, LSTM
Cross-sectional equity alpha research & backtesting engine: ~10 point-in-time factors on the S&P 500 with IC/ICIR analysis, decile long-short portfolios, walk-forward IC-weighted composite, transaction costs, and strict no-lookahead tests.
Cross-sectional multi-factor stock selection — momentum/volatility/reversal factors, Information Coefficient evaluation, quantile portfolios, and composite alpha.
Tiny dependency-free calculator: fit an exponential decay to a trading signal's Information Coefficient and read off its half-life + rebalancing cadence. By microalphas.com
Tiny dependency-free calculator: compute the Pearson & Spearman rank Information Coefficient of a trading signal from predictions vs realized returns. By microalphas.com
IC-Gated Deployment Framework (ICGDF): two-stage ML deployment filter for cross-sectional equity prediction. Under review at QFE (AIMS Press).
Factor analysis & IC tear sheets for PSAE — analogous to Quantopian Alphalens
PnL attribution and alpha decay framework for FinBERT sentiment signals — Information Coefficient decay curves, Spearman rank correlation, statistical significance bands, rolling signal quality monitoring.
Statistical lead–lag analysis for paired time series with overlapping returns using IC curves and HAC inference.
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