quantlab.factor.predefined.membership_cap_weight.MembershipCapWeight#

class quantlab.factor.predefined.membership_cap_weight.MembershipCapWeight(config)[source]#

Bases: Factor

Cap weights of an index’s members at each bar.

Parameters:

configMembershipCapWeightConfig: The market-cap dataset, the membership and cap_column.

Examples

With daily a dataset of market caps and us3000 a membership:

>>> weights = MembershipCapWeight(MembershipCapWeightConfig(dataset=daily, membership=us3000))
>>> weights.compute("2026-10-01", "2026-10-02")["benchmark_weight"].sum("symbol").values
array([1., 1.])

config_cls#: alias of MembershipCapWeightConfig