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