Individual skill

multi-factor

Multi-factor cross-sectional stock ranking. Combines factor standardization, equal-weight or IC-weighted scoring, and TopN portfolio construction. Suitable for multi-instrument portfolio strategies.

agent/src/skills/multi-factor/SKILL.md

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Last checked: Nov 9, 2026

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Repository stars (not skill ratings): 38,046
Repository last updated: Nov 10, 2026
License: MIT

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backtesting Repository topic
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quantitative-finance Repository topic
trading Repository topic
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algorithmic-trading Repository topic
fintech Repository topic
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# Multi-Factor Cross-Sectional Stock Ranking

## Purpose

On the same time cross-section, compute multiple factor values for many stocks, standardize them, combine them into a composite score, and select the top-ranked stocks to build a portfolio.

## Signal Logic

1. **Factor calculation**: calculate N factors for each stock (such as momentum, value, and quality)
2. **Cross-sectional standardization**: standardize each factor on the cross-section with Z-score normalization (subtract mean, divide by standard deviation)
3. **Composite scoring**: sum the factors with equal weights (or custom weights) to obtain a composite score
4. **Rank and select**: go long the TopN names, with weight = 1/N for each

## Built-In Factors