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notebook 04

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Pawel Sarkowicz
2026-07-02 16:30:24 -04:00
parent 026503146e
commit 7bbeee47f4
2 changed files with 1691 additions and 10 deletions
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notebooks/03_factor_construction_and_composite_signal.ipynb
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"\n", "\n",
"## Outputs\n", "## Outputs\n",
"\n", "\n",
"- `composite_signal.csv` — the **momentum-only** sector-neutralized signal (this is what will backtest trades)\n", "- `momentum_signal.csv` — the **momentum-only** sector-neutralized signal (this is what will backtest trades)\n",
"- `composite_4factor.csv` — the 4-factor equal weight composite (kept for comparison)\n", "- `composite_4factor.csv` — the 4-factor equal weight composite (kept for comparison)\n",
"- Per-factor neutralized exposures\n", "- Per-factor neutralized exposures\n",
"\n", "\n",
@@ -87,7 +87,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 3, "execution_count": 2,
"id": "0090dab7", "id": "0090dab7",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
@@ -134,7 +134,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 4, "execution_count": 3,
"id": "83a54dbc", "id": "83a54dbc",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
@@ -205,7 +205,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 7, "execution_count": 4,
"id": "b7ce2018", "id": "b7ce2018",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
@@ -291,7 +291,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 8, "execution_count": 5,
"id": "792e547e", "id": "792e547e",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
@@ -350,7 +350,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 10, "execution_count": 6,
"id": "25e7a046", "id": "25e7a046",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
@@ -505,7 +505,7 @@
}, },
{ {
"cell_type": "code", "cell_type": "code",
"execution_count": 11, "execution_count": 7,
"id": "9c9cc628", "id": "9c9cc628",
"metadata": {}, "metadata": {},
"outputs": [ "outputs": [
@@ -514,7 +514,7 @@
"output_type": "stream", "output_type": "stream",
"text": [ "text": [
"Saved:\n", "Saved:\n",
" - composite_signal.csv (momentum-only, sector-neutralized — THE HEADLINE)\n", " - momentum_signal.csv (momentum-only, sector-neutralized — THE HEADLINE)\n",
" - composite_4factor.csv (4-factor equal-weight — comparison only)\n", " - composite_4factor.csv (4-factor equal-weight — comparison only)\n",
" - factor_momentum_neutralized.csv\n", " - factor_momentum_neutralized.csv\n",
" - factor_value_neutralized.csv\n", " - factor_value_neutralized.csv\n",
@@ -530,7 +530,7 @@
"==================================\n", "==================================\n",
"\"\"\"\n", "\"\"\"\n",
"# The headline signal: momentum-only, sector-neutralized\n", "# The headline signal: momentum-only, sector-neutralized\n",
"df_momentum_signal.to_csv('../data/processed/composite_signal.csv')\n", "df_momentum_signal.to_csv('../data/processed/momentum_signal.csv')\n",
"\n", "\n",
"# The 4-factor composite: kept for comparison\n", "# The 4-factor composite: kept for comparison\n",
"df_composite_4f.to_csv('../data/processed/composite_4factor.csv')\n", "df_composite_4f.to_csv('../data/processed/composite_4factor.csv')\n",
@@ -540,7 +540,7 @@
" factor_neut[name].to_csv(f'../data/processed/factor_{name}_neutralized.csv')\n", " factor_neut[name].to_csv(f'../data/processed/factor_{name}_neutralized.csv')\n",
"\n", "\n",
"print(\"Saved:\")\n", "print(\"Saved:\")\n",
"print(\" - composite_signal.csv (momentum-only, sector-neutralized — THE HEADLINE)\")\n", "print(\" - momentum_signal.csv (momentum-only, sector-neutralized — THE HEADLINE)\")\n",
"print(\" - composite_4factor.csv (4-factor equal-weight — comparison only)\")\n", "print(\" - composite_4factor.csv (4-factor equal-weight — comparison only)\")\n",
"for name in factor_names:\n", "for name in factor_names:\n",
" print(f\" - factor_{name}_neutralized.csv\")" " print(f\" - factor_{name}_neutralized.csv\")"
notebooks/04_backtest_and_performance.ipynb
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