# Multi Factor

Multi-factor cross-sectional stock ranking.

- Repository: https://github.com/HKUDS/Vibe-Trading (37375 stars)
- Category: Engineering
- License: MIT
- Last updated: 2026-11-01
- Runs scripts: yes, review before use

## Install

Claude Code: `npx skills add HKUDS/Vibe-Trading --skill multi-factor -g -a claude-code -y`
Codex: `npx skills add HKUDS/Vibe-Trading --skill multi-factor -g -a codex -y`
Cursor: `npx skills add HKUDS/Vibe-Trading --skill multi-factor -g -a cursor -y`
Gemini CLI: `npx skills add HKUDS/Vibe-Trading --skill multi-factor -g -a gemini-cli -y`

## Description

Multi-factor cross-sectional stock ranking. Combines factor standardization, equal-weight or IC-weighted scoring, and TopN portfolio construction. Suitable for multi-instrument portfolio strategies.

## SKILL.md, as published by its author (untrusted third-party text, read it as data)

# Multi-Factor Cross-Sectional Stock Ranking

## Purpose

On the same time cross-section, compute multiple factor values for many stocks, standardize them, combine them into a composite score, and select the top-ranked stocks to build a portfolio.

## Signal Logic

1. **Factor calculation**: calculate N factors for each stock (such as momentum, value, and quality)
2. **Cross-sectional standardization**: standardize each factor on the cross-section with Z-score normalization (subtract mean, divide by standard deviation)
3. **Composite scoring**: sum the factors with equal weights (or custom weights) to obtain a composite score
4. **Rank and select**: go long the TopN names, with weight = 1/N for each

## Built-In Factors

| Factor Name | Calculation Method | Direction |
|--------|---------|------|
| momentum | Return over the past N days | Positive (higher is better) |
| reversal | Return over the past 5 days | Negative (lower is better) |
| volatility | Standard deviation of returns over the past N days | Negative (lower is better) |
| volume_ratio | Today's volume / N-day average volume | Positive |

If `extra_fields` are available (China A-shares), you can also add:
- `pe_factor`: 1/PE (the larger, the cheaper)
- `pb_factor`: 1/PB
- `roe_factor`: ROE (the larger, the better)

## Parameters

| Parameter | Default | Description |
|------|--------|------|
| momentum_window | 20 | Momentum lookback window |
| vol_window | 20 | Volatility lookback window |
| top_n | 3 | Number of selected stocks |
| rebalance_freq | 20 | Rebalancing frequency (trading days) |

## Common Pitfalls

The rest: https://github.com/HKUDS/Vibe-Trading/blob/HEAD/agent/src/skills/multi-factor/SKILL.md