evaluate-time-series

What problem does it solve?

This Skill eliminates the tedious, error-prone manual work of evaluating time-series factor performance, ensuring consistent, reliable assessments for timing and rotation trading signals.

Core Features & Use Cases

• Multi-Horizon Performance Metrics: Calculates hit rate, profit/loss ratio, and decay curves across 1, 5, and 20 day forward return periods.
• Standardized Tearsheet Generation: Produces shareable, consistent performance reports with all key factor evaluation data.
• Use Case: If you have developed a factor that predicts individual stock or small basket price direction, use this Skill to validate its predictive power across multiple time horizons and determine if it is suitable for a live trading strategy.

Quick Start

Use the evaluate-time-series skill to evaluate the performance of your time-series price direction factor across 1, 5, and 20 day forward returns and generate a full performance tearsheet.