quantlab.factor.predefined#

Modules

`alpha101`	Alpha101 factor sets computed with the KunQuant backend.
`alpha158`	Alpha158 factor sets computed with the KunQuant backend.
`alternative_alpha`	Literature-backed short-selling, news, 8-K event and 10-K text factors in one KunQuant graph.
`barra`	Barra-style risk-factor exposures in the manner of MSCI's USE4 model.
`benchmark_beta`	Benchmark beta: each symbol's rolling OLS beta of one-bar returns on a single-symbol benchmark.
`daily_anomaly_alpha`	Twenty daily equity anomalies from mechanisms the other factor bundles do not cover, in one KunQuant graph.
`fundamental_alpha`	Twenty-three literature-backed fundamental, institutional and insider factors in one KunQuant graph.
`intraday`	High-frequency factors: daily statistics of each session's one-minute bars.
`literature_alpha`	Literature-backed equity alpha factors implemented as one KunQuant graph.
`market`	Market features: index or ETF series broadcast to every symbol of a panel.
`membership_cap_weight`	An index's capitalization weights: `MembershipCapWeight`.
`membership_mask`	Membership-masked factor: another factor kept only where its symbol is an index member at t.
`momentum`	N-bar price momentum, the reference factor for the Polars backend.
`neutralized`	Neutralized factor: another factor's outputs neutralized against industry and size.
`residual_momentum`	Residual momentum from a rolling Fama-French three-factor regression.
`roster`	Roster factor: another factor read on a roster only.
`short_horizon`	Short-horizon equity factors from the literature on next-day and next-week returns, as one KunQuant graph.
`start_clipped`	Start-clipped factor: another factor read from its store's first bar on.