Quant-Research-Toolkit

Quant Research Toolkit

Clean-room utilities for time-safe factor research. This repository is a public, educational slice of a broader quant-research workflow: it keeps the parts that are useful to inspect on GitHub while excluding employer code, private data, credentials, and raw experiment logs.

What it shows

• Market-panel validation: sorted date/asset panels, required columns, and explicit feature/label separation.
• Leakage guardrails: labels and future-looking fields cannot enter the feature set.
• First-pass factor diagnostics: cross-sectional Rank IC, coverage, turnover, and top-quantile gross/net return.
• Exposure neutralization: per-date residualization against style/risk fields, with before/after exposure-correlation diagnostics.
• Factor family hygiene: average cross-sectional correlation matrices and redundant-pair flags for crowded factor families.
• Factor registry: small metadata contracts for point-in-time rules, family, data requirements, and status.
• Deterministic demo: synthetic data only, intended as a smoke test rather than evidence of a tradable strategy.

Quick Start

python -m pip install -e .
python -m quant_toolkit.demo
python -m unittest discover -s tests -v

Expected demo behavior: the toy signal produces a diagnostics table and a conservative verdict. The verdict is deliberately bounded by cost-aware performance and sample-size checks.

Minimal API

from quant_toolkit.contracts import MarketPanelContract
from quant_toolkit.correlation import factor_correlation_matrix, find_redundant_factor_pairs
from quant_toolkit.metrics import evaluate_factor
from quant_toolkit.neutralization import diagnose_neutralization, neutralize_cross_section
from quant_toolkit.registry import FactorRegistry, FactorSpec

contract = MarketPanelContract(
    date_col="date",
    asset_col="asset",
    label_col="label_ret_1d",
    feature_cols=["momentum_5d"],
)
contract.validate(panel)

diagnostics = evaluate_factor(
    panel,
    factor_col="momentum_5d",
    label_col="label_ret_1d",
    date_col="date",
    asset_col="asset",
    transaction_cost_bps=30,
)

panel["momentum_5d_neutralized"] = neutralize_cross_section(
    panel,
    value_col="momentum_5d",
    exposure_cols=["size", "volatility"],
)
neutralization_report = diagnose_neutralization(
    panel,
    value_col="momentum_5d",
    exposure_cols=["size", "volatility"],
    neutralized_col="momentum_5d_neutralized",
)

corr = factor_correlation_matrix(panel, ["momentum_5d", "reversal_5d", "quality"])
crowded_pairs = find_redundant_factor_pairs(corr, threshold=0.85)

Evidence Boundary

See evidence/validation-boundary.md. The current repository is a public toolkit foundation, not a production backtest. The disclosure boundary is recorded in DISCLOSURE.md, and sample_data/market_panel_sample.csv is a synthetic schema fixture.

This site is open source. Improve this page.