quantlab.factor.predefined.literature_alpha.LiteratureAlphaParameters

class quantlab.factor.predefined.literature_alpha.LiteratureAlphaParameters(high_52week_window=252, short_reversal_window=21, max_return_window=21, idio_vol_window=21, amihud_window=21, ff3_ridge=1e-10, determinant_floor=1e-24, variance_floor=1e-14, denominator_floor=1e-12, dollar_volume_floor=1.0, amihud_scale=1000000.0, emit_diagnostics=False, fama_french_csv=None, return_column='ret', split_adjusted_close_column='adjClose', raw_close_column='close', volume_column='volume', risk_free_column='risk_free', market_column='mkt_rf', smb_column='smb', hml_column='hml', gross_profit_column='gross_profit', total_assets_column='total_assets', prior_year_total_assets_column='prior_year_total_assets', eps_actual_event_column='eps_actual_event', eps_consensus_event_column='eps_consensus_event', eps_scale_price_event_column='eps_scale_price_event')

Bases: object

Formula settings and panel-column aliases for LiteratureAlpha.

Every field is read from FactorConfig.kwargs. Windows count bars of the input panel, so the daily defaults use 252 bars for one year and 21 bars for one month. Fundamental and earnings-event inputs must already be point-in-time aligned by the caller.

Parameters:

high_52week_windowint, default 252

Bars in the rolling price high.

short_reversal_windowint, default 21

Bars compounded for the short-term reversal signal.

max_return_windowint, default 21

Bars searched for the maximum daily return.

idio_vol_windowint, default 21

Bars in the Fama-French three-factor regression.

amihud_windowint, default 21

Bars averaged for the Amihud price-impact ratio.

ff3_ridgefloat, default 1e-10

Ridge added to the three factor variances.

determinant_floor, variance_floor, denominator_floorfloat

Positive numerical safeguards.

dollar_volume_floorfloat, default 1.0

Smallest valid raw-close times raw-volume observation.

amihud_scalefloat, default 1e6

Positive scale applied before taking the logarithm.

emit_diagnosticsbool, default False

Whether default outputs include MAX, IVOL, the betas and determinant.

fama_french_csvstr or None, default None

Optional daily Fama-French CSV. When set, FF3 series are injected in batch mode instead of read from the panel.

*_columnstr

Panel variable names used by each formula.

property ff3_columns

Return the four graph names supplied by the FF3 panel or CSV.

classmethod from_config(config)

Build validated parameters from config.kwargs.

Parameters:

configFactorConfig

Factor configuration carrying optional overrides.

Returns:

LiteratureAlphaParameters

Validated immutable parameters.

Raises:

ValueError

If a key is unknown or a value is invalid.

required_panel_columns(outputs)

Return panel inputs needed by outputs, preserving stable order.

Fama-French inputs are omitted when fama_french_csv is set because the factor broadcasts them into the batch graph itself.

Parameters:

outputstuple of str

Selected factor or diagnostic output names.

Returns:

tuple of str

Exact set of columns FactorConfig.data_columns must name.

validate()

Raise when a window, safeguard or input-column name is invalid.