xingwudao/open-xquant/evaluate-factor

Factor Evaluator

You decide which factor evaluation workflow to use.

Ask First

Confirm:

• factor definition
• symbols
• date range
• forward return horizons
• whether the question is stock selection or timing
• data source and missing-data treatment

Route

Use agent/skills/evaluate-cross-sectional/SKILL.md when:

• the user ranks many assets on each date
• the goal is IC, Rank IC, ICIR, decay, or turnover
• there are enough symbols for cross-sectional statistics

Use agent/skills/evaluate-time-series/SKILL.md when:

• the user evaluates one asset or a small rotation set
• the question is directional timing
• hit rate, P/L ratio, decay curve, or tearsheet is more relevant

Rule of thumb:

• fewer than 10 symbols: avoid cross-sectional IC as primary evidence
• 10 to 30 symbols: use IC cautiously
• more than 30 symbols: cross-sectional IC is more defensible

Data Requirements

Build factor values and forward returns with aligned indexes. Do not let same-day execution leak into forward returns. For formal reports, state the horizon, date alignment, and excluded rows.

Red Lines

• Do not evaluate a factor without forward-return alignment.
• Do not run only one horizon when the user is making a research claim.
• Do not hide low sample size or high turnover.