Class Factors

java.lang.Object

com.quantfinlib.alpha.Factors

public final class Factors
extends Object

The standard alpha factor library — nine signal generators covering the classic technical, factor-investing and defensive families. Each returns an AlphaFactor producing raw cross-sectional scores where higher = more attractive long (see the interface contract).

Sign conventions are chosen so every factor is usable long/short as-is:

• Trend (MA crossover, MACD, momentum) score positively when the trend is up;
• Mean reversion (RSI, Bollinger, mean reversion) score positively when the price is depressed — the contrarian orientation, since these signals bet on the snap-back;
• Defensive/fundamental (value, quality, low volatility) score positively for cheap, profitable, calm names — the Fama-French/AQR orientation of each anomaly.

All computations read only bars <= index (the no-look-ahead contract) and cost O(window) per symbol per call — stateless by design so factors are trivially safe to evaluate at arbitrary dates, at the price of recomputing windows the streaming indicators would carry. EMAs are truncated at 4× their period, where the dropped tail weight is (1−2/(p+1))^{4p} < 0.04% — far below signal noise.

Method Summary

Modifier and Type	Method	Description
static AlphaFactor	bollinger(int period, double stdDevs)	Bollinger mean reversion: −(close − SMA) / (k·σ) — the negative band position, +1 at the lower band, −1 at the upper.
static AlphaFactor	lowVolatility(int lookback)	Low-volatility anomaly: −σ(returns) over the lookback — calm names score high.
static AlphaFactor	macd(int fast, int slow, int signal)	MACD histogram normalized by price: (macdLine − signalLine) / close.
static AlphaFactor	meanReversion(int lookback)	Plain mean reversion: −(close / SMA − 1) — how far the price sits below its own average, as a fraction.
static AlphaFactor	momentum(int lookback, int skip)	Cross-sectional momentum: close[i−skip] / close[i−lookback] − 1.
static AlphaFactor	movingAverageCrossover(int fast, int slow)	Moving-average crossover: (SMA_fast − SMA_slow) / SMA_slow.
static AlphaFactor	quality()	Quality composite: profitability minus leverage — ROE − 0.1 × debt/equity.
static AlphaFactor	rsi(int period)	Contrarian RSI: (50 − RSI) / 50, in [−1, +1].
static AlphaFactor	value()	Value composite: the average of earnings yield (1/PE) and book yield (1/PB) — yields, not ratios, so "cheap" is high and negative-earnings names contribute a negative yield rather than a meaningless negative PE rank.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

movingAverageCrossover

public static AlphaFactor movingAverageCrossover(int fast,
 int slow)

Moving-average crossover: (SMA_fast − SMA_slow) / SMA_slow. Positive when the fast average rides above the slow — the % spread makes scores comparable across price levels.

macd

public static AlphaFactor macd(int fast,
 int slow,
 int signal)

MACD histogram normalized by price: (macdLine − signalLine) / close. Positive while bullish momentum is accelerating; the price normalization keeps a $10 and a $1000 stock on one scale.

momentum

public static AlphaFactor momentum(int lookback,
 int skip)

Cross-sectional momentum: close[i−skip] / close[i−lookback] − 1. The academic 12-1 form when called as momentum(252, 21) — skipping the last month sidesteps short-term reversal (Jegadeesh-Titman 1993).

rsi

public static AlphaFactor rsi(int period)

Contrarian RSI: (50 − RSI) / 50, in [−1, +1]. Oversold names (RSI 30 → +0.4) score positively.

Definition note: this is Cutler's RSI (arithmetic average of gains/losses over the window), chosen because it is stateless and exactly recomputable at any bar. It is NOT the same number as indicators.Indicators#rsi, which uses Wilder smoothing — after a trend the two can disagree near the 30/70 thresholds. The factor name says so to keep reports unambiguous.

bollinger

public static AlphaFactor bollinger(int period,
 double stdDevs)

Bollinger mean reversion: −(close − SMA) / (k·σ) — the negative band position, +1 at the lower band, −1 at the upper.

meanReversion

public static AlphaFactor meanReversion(int lookback)

Plain mean reversion: −(close / SMA − 1) — how far the price sits below its own average, as a fraction.

value

public static AlphaFactor value()

Value composite: the average of earnings yield (1/PE) and book yield (1/PB) — yields, not ratios, so "cheap" is high and negative-earnings names contribute a negative yield rather than a meaningless negative PE rank. NaN without fundamentals.

quality

public static AlphaFactor quality()

Quality composite: profitability minus leverage — ROE − 0.1 × debt/equity. The 0.1 haircut puts one turn of leverage on the same scale as 10 points of ROE, the usual quality-minus-junk shape (profitable AND conservatively financed).

lowVolatility

public static AlphaFactor lowVolatility(int lookback)

Low-volatility anomaly: −σ(returns) over the lookback — calm names score high. Ranking only needs the negative sign, not annualization.