multi-factor

Rank stocks using momentum, reversal, volatility, and volume-based factors to score each security. The system applies cross-sectional Z-score standardization, combines factors into a composite score, and selects the TopN stocks for long-only portfolios.

Cross-sectional standardization uses Z-score normalization to compare factor values across the entire stock universe simultaneously. This ensures each factor contributes equally to the composite score, preventing factors with larger scales from dominating the ranking.

The system includes robust handling for missing data during factor computation and standardization. This ensures securities with incomplete data do not disrupt the cross-sectional Z-score normalization or skew the final composite ranking.

Yes, the system supports both equal-weight and weighted aggregation methods. You can assign different weights to momentum, volatility, and volume-based factors to customize the composite score according to your portfolio strategy.

Yes, the cross-sectional multi-factor ranking is designed for multi-instrument portfolios and periodic rebalancing. It screens hundreds of stocks at each rebalance to assemble a compact TopN list of long candidates.

Use a multi-factor cross-sectional scoring system that ranks the universe by momentum, reversal, and volatility. After Z-score standardization and aggregation, select the TopN securities to form a focused long portfolio.