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Quant Real Factor 5d Volatility Scaled Return Momentum

Use when computing the 5D Volatility Scaled Return Momentum factor from user-supplied real OHLCV data or reviewing its bundled real-data validation metrics.

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5D Volatility Scaled Return Momentum

Use this Skill to compute 5日波动缩放收益动量 / 5D Volatility Scaled Return Momentum from caller-provided OHLCV data.

Workflow

  1. Load a pandas.DataFrame with open, high, low, close, volume; include date and symbol for cross-sectional research.
  2. Call scripts/factor.py::compute_factor(df) to compute the factor column.
  3. Call generate_signals(df) for a simple rank-based long/short signal.
  4. Review validation_real/report.md before using the factor in a model.

Runtime Contract

  • Framework-neutral Python: pandas and numpy.
  • The caller owns data vendor, universe, calendar, costs, slippage, and execution modeling.

quantskills/skill-quant-factor-directional-alpha/tree/main/factors/R133-5d-volatility-scaled-return-momentum commit 30110d6ca6

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npx skillmds@latest add quantskills/quant-real-factor-5d-volatility-scaled-return-momentum