代码题库

Shrinkage Blend of Two Alpha Sources with Z-Score Normalization

As-of Merge — Attach Most-Recent Mid-Price to Each Trade

As-of Merge — Trades against Quotes

Daily Backtest with Overnight Borrow Cost

Blocked Time-Respecting CV: Contiguous Folds with Train-Before-Test

IC-IR-Weighted Composite of Three Sub-Factors

Covariance to Correlation Matrix

Cross-Sectional Demean of an Alpha Factor

Rank-to-Percentile Transform on a Cross-Section of Alpha Factors

Decile-Spread Forward Return Averaged Across Dates

Equal-Risk-Contribution Portfolio Weights

Toy Equal-Risk-Contribution Solver (Fixed-Point Iteration)

Exponentially-Weighted Sharpe Ratio

EWMA Volatility Update

Excess Returns Over a Benchmark

Groupby-Mean by Key with a Min-Count Gate

IC-Weighted Alpha Signal Combination

Idiosyncratic Volatility Factor — Rolling Residual Std After Market Beta

Annualized Information Ratio

Lag/Lead Shift by Key — Within-Group Time-Series Offset

Limit-Order Fill Simulation against High-Low Bars

Look-Ahead Bias Detector via Lagged-Correlation Comparison

Robust Cross-Sectional Z-Score via Median and MAD

Maximum-Diversification Portfolio (Choueifaty-Coignard)

Max Drawdown Decomposition

Mean-Reversion Factor — Residualized Last-K Return

Long-Only Mean-Variance Efficient Frontier

Two-Asset Minimum-Variance Portfolio (Closed Form)

Long-Only Minimum-Variance Portfolio Weights

Rank Features by Histogram-Estimated Mutual Information with the Target

Group-Neutralize a Factor by Sector Tag

Online PCA via Oja's Rule (Streaming PC1)

Online Z-Score Anomaly Flag

Classical Gram-Schmidt Orthogonalization of Priority-Ordered Alpha Signals

Closed-Form 2x2 PCA Eigendecomposition

PCA Explained-Variance Ratio for Top-k Components

Optimal Ledoit-Wolf Shrinkage (Frobenius)

Post-Earnings Announcement Drift Signal (D+1 to D+60 Excess Return)

Percent-Change from a Configurable Base

Long-to-Wide Pivot — Reshape a (Date, Ticker, Value) Panel into a Matrix

Per-Asset and Portfolio Cap Clamping for Target Weights

Position P&L With Transaction Fees

Purged k-Fold CV with Embargo

Purged k-Fold Cross-Validation for Time-Series ML

Quintile (k-tile) Bucketing of a Cross-Sectional Factor

Rank-Average Multi-Factor Signal Combination

Cross-Sectional Rank Bucketing into Deciles with Ordinal Tie-Breaks

Spearman Rank Correlation with Average-Rank Tie Breaking

RankGauss Transform on a Cross-Section of Alpha Factors

Turnover-Aware Rebalance on Bucketed-Signal Change

Resample Tick Prints into Fixed-Interval OHLC Bars

Rolling Beta — Strategy vs. Benchmark

Rolling Beta vs Benchmark

Rolling Engle-Granger Cointegration Test for Pairs Trading

Rolling Pearson Correlation Between Two Series

Rolling Max-Min Spread

Rolling Z-Score Anomaly Flags

Sector-Neutralize an Alpha Factor Cross-Section

Toy Ledoit-Wolf Shrinkage Covariance

Multi-Horizon Signal Blend with Time Decay

Size Factor as Negative Log Market Cap (Cross-Sectional Z-Score)

Annualized Sortino Ratio

Survivorship-Aware Tradeable Universe on a Date

Target-Volatility Scaling with Leverage Cap

Equal-Weight Long-Top-K / Short-Bottom-K Portfolio

Trailing 12-1 Momentum Factor (Skip Last Month)

Transaction-Cost-Aware Target Weights from Alpha Signal

Turnover-Constrained Portfolio Rebalance

Vectorized PnL with Time-Varying Borrow Fee Curve

Vectorized Per-Period PnL with Transaction Costs

Inverse-Vol Portfolio with Position Cap

Walk-Forward Train/Test Splits with Embargo

Walk-forward CV: Expanding and Rolling-window Folds

Walk-Forward Validation for Time-Series Backtests

Welford's Online Variance

Cross-Sectional Winsorization of Alpha-Factor Values

Cross-Sectional Z-Score with Optional Winsorization