ML-based long-short factor investing pipeline for Taiwan stocks using Size, BM & Momentum factors — OLS, RF, NN, XGBoost, LSTM
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
IC-Gated Deployment Framework (ICGDF): two-stage ML deployment filter for cross-sectional equity prediction. Under review at QFE (AIMS Press).
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.
Tiny dependency-free calculator: compute the Pearson & Spearman rank Information Coefficient of a trading signal from predictions vs realized returns. By microalphas.com
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.
Factor analysis & IC tear sheets for PSAE — analogous to Quantopian Alphalens
Cross-sectional multi-factor stock selection — momentum/volatility/reversal factors, Information Coefficient evaluation, quantile portfolios, and composite alpha.
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