Alpha Signal Construction with Factor Exposure Analysis
Alpha Signal Construction with Factor Exposure Analysis: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). You are given daily returns for 20 stocks over 504 trading days, plus daily Fama-French-style factor returns and strategy parameters. Construct a…
The task
You are given daily returns for 20 stocks over 504 trading days, plus daily Fama-French-style factor returns and strategy parameters. Construct a cross-sectional alpha signal, run a long-short backtest with realistic frictions, and then measure how much of the strategy's return is residual alpha versus passive factor…
Part of codeslord/skilltrainbench-public.