cnhkmcp 2.1.2__py3-none-any.whl → 2.1.4__py3-none-any.whl

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/005_Risk_Neutralization_Default_setting_documentation.json

@@ -0,0 +1,75 @@
+{
+  "id": "getting-started-risk-neutralized-metrics",
+  "title": "Risk Neutralization: Default setting",
+  "lastModified": "2025-11-04T02:31:04.683695-05:00",
+  "content": [
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "Introduction"
+      },
+      "id": "35f3742b-6055-4df5-88f0-21367304b5a2"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>From now on when you simulate non–Risk Neutralized Alphas, you will see another set of PnLs and performance metrics. These new calculated statistics comes from the hypothesis case what if your Alpha is Risk Neutralized (using various Risk setting in Neutralization for Alphas for example “Slow Factors”, “Fast Factors”, “Slow + Fast Factors”).</p><p>These metrics won’t be calculated for Alpha already simulate with Risk Neutralization in setting.</p><p>If you don’t understand Risk-Neutralized Alpha concept, please check out this <a href=\"https://platform.worldquantbrain.com/learn/documentation/advanced-topics/getting-started-risk-neutralized-alphas\">documentation</a>.</p>",
+      "id": "3daea3d2-d248-4b38-9db6-4a894198c2df"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "Where to find the metrics"
+      },
+      "id": "efa40dbb-f47c-45e7-a77c-9517b6650803"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The new UI on simulation results page looks like this:</p>",
+      "id": "2840147b-8129-46b8-8b7b-51a19fb0c4a2"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "risk_neu_metric.png",
+        "width": 624,
+        "height": 329,
+        "fileSize": 36429,
+        "url": "https://api.worldquantbrain.com/content/images/D_kBxd1IRG8yhWWpaUIqnJpt7oQ=/324/original/risk_neu_metric.png"
+      },
+      "id": "38adfdcd-25a7-4a20-a850-46131088dbe1"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The IS Summary also has new aggregate data:</p>",
+      "id": "b36d8d17-96a7-46a7-866d-fc412784ae9a"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "risk_neu_metric2.png",
+        "width": 624,
+        "height": 421,
+        "fileSize": 89825,
+        "url": "https://api.worldquantbrain.com/content/images/HViQLkaXGpDjpE16dlcR3_AbykE=/325/original/risk_neu_metric2.png"
+      },
+      "id": "58234076-95d2-4fff-895d-e91dae2e651b"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "How to use the metrics in your Alpha research"
+      },
+      "id": "5133b8b5-7102-401d-a884-3535b02e7235"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>From these stats, you can examine how good does your Alphas capture market anomalies that's not in the risk factor databases.</p><p>Because the calculation isn’t exactly the same with Risk Neutralization in setting, the platform uses new technique to speed up the computation. So you will see a bit different performance between Risk Neutralized metrics and actual Risk Neutralization settings (in particular turnover won’t change in the Risk Neutralized metrics but normal Risk Neutralization settings can affect it).</p><p>In your Alphas optimization process or Alpha submission selections, you should rank Alphas by the ratio between Risk Neutralized Metrics' sharpe and original Alpha sharpe or between Risk Neutralized Metrics' returns and original Alpha returns and choose the one with higher ratio. An Alpha that retains more of its performance after Risk Neutralization means it's less susceptible to risk factors’ drawdown &amp; volatility and maybe less correlated too.</p>",
+      "id": "2e40e92b-cfd1-4876-8318-e83abc706e9f"
+    }
+  ],
+  "sequence": 14,
+  "category": "Advanced Topics"
+}

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/005_Risk_Neutralized_Alphas_documentation.json

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+{
+  "id": "getting-started-risk-neutralized-alphas",
+  "title": "Risk Neutralized Alphas",
+  "lastModified": "2025-11-04T02:31:59.811219-05:00",
+  "content": [
+    {
+      "type": "TEXT",
+      "value": "<p></p><ul><li>Introducing a new way to neutralize Alphas* on BRAIN for the USA, EUR, ASI, CHN and GLB regions.</li><li>In addition to the existing neutralizations in simulation settings (Market, Sector, Industry, Subindustry), you will see other new risk factors’ sets for neutralizations: “Slow Factors”, “Fast Factors”, “Slow + Fast Factors”, “RAM”, “Statistical” and “Crowding” . Alphas created using these settings are called “Risk-Neutralized alphas” on BRAIN.</li></ul><p></p>",
+      "id": "9e2f65ce-6c4e-4180-a28f-f2cab95f5350"
+    },
+    {
+      "type": "TEXT",
+      "value": "<iframe width=\"743\" height=\"333\" src=\"https://www.youtube.com/embed/eTq8iPhL1Ys?list=PLmpIWlqVqfbeQeWM8_0yBgIOGZguQYdXo\" title=\"Learn2Quant: Risk Management | Lesson 9\" frameborder=\"0\" allow=\"accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture; web-share\" referrerpolicy=\"strict-origin-when-cross-origin\" allowfullscreen></iframe>",
+      "id": "32f2b2df-474d-4dfe-8209-7c6e14b52330"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Introduction"
+      },
+      "id": "7effa364-fe72-4232-a082-e53979ec1a3d"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>Often in academic studies, stock returns can be deconstructed into different risk factor drivers. Take the classical Fama-French Model for example, we can run a multi-linear regression on individual stocks, and show that stock returns (R<sub>it</sub>) can be decomposed to market factor, size factor and value factor:</p>",
+      "id": "4332a588-8533-4016-bdac-2f8daf21dff4"
+    },
+    {
+      "type": "EQUATION",
+      "value": "\\begin{equation} R_{it}−R_{riskfreereturn}=α_{it}+β_{1}*R_{marketpremium}+β_{2}*R_{sizepremium}+β_{3}*R_{valuepremium}+ε_{it}\\nonumber \\end{equation}",
+      "id": "7cac3dfb-c23b-463c-8af6-9cb3dc0911e4"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>In the world of alphas*, we can apply similar methods to deconstruct an alpha’s returns. The coefficient (beta) of each risk factor shows its importance to the alpha's return. If an alpha's return can be fully explained by these well-documented risk factors, it does not bring any additional value since it can be easily replicated by these factors. On the other hand, if an alpha shows a significantly positive residual  (Ɛ<sub>it</sub>), it means this alpha captures some market anomalies that is not yet documented in the risk factor databases.</p>",
+      "id": "c25c379e-8cf8-4c4b-a5e6-a8650f086695"
+    },
+    {
+      "type": "EQUATION",
+      "value": "\\begin{equation} R_{αt}=β_{1}*R_{marketpremium}+β_{2}*R_{sizepremium}+β_{3}*R_{valuepremium}+ε_{it} \\notag \\end{equation}",
+      "id": "cf4cf28b-7f4a-452f-b54e-bc2a5395b9d5"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>Here, our new risk neutralization feature will enable you to directly research on a risk-neutralized world and explore unique returns that have not been captured before.</p>",
+      "id": "5d39fb54-632a-4343-9bf4-72167e2229da"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "What are risk neutralized alphas?"
+      },
+      "id": "3f37e5e9-b688-4600-ba58-082d2c6f3541"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>In the past, the most rudimentary method of risk-handling is to set the neutralization to industry classification to avoid industry level risks. More advanced users may build their own set of risk factors, for example they may neutralize their alphas against the common size factor by defining a new group based on capitalization, and manually apply a layer of group_neutralize or vector_neut on their alpha.</p><p>Now let's imagine that instead of just neutralizing against one risk factor at a time - an alpha can be simultaneously controlled for a wide range of common, but yet comprehensive risk factors, its final return will be more representative of what the alpha intends to capture, instead of bearing unwanted risk factors. These unwanted risk factors may not pose a problem in the back-testing period, but it could be harmful if they experience drawdowns in the out-sample stage.</p>",
+      "id": "5d92258c-52bd-4729-8adf-2df63d39b2dc"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "How to use the risk neutralized feature"
+      },
+      "id": "c6f205bd-941f-4d10-a5e9-cef4e9e4e0ac"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>When opening the settings tab in the simulation stage, notice that besides the common market, and industry classifications, you will find additional new options under the neutralization setting. You may choose from these sets of risk factors. We provide you below with an overview of the feature. We cannot share granular details, due to confidentiality of the risk neutralized models and to prevent any potential overfitting of your alphas.</p>",
+      "id": "737a0d0a-278c-439e-a352-3ce1b54f7c0d"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "Risk_neutral.png",
+        "width": 736,
+        "height": 472,
+        "fileSize": 26607,
+        "url": "https://api.worldquantbrain.com/content/images/XC-Be3H4wCrRDnDGlHdmVg54bH0=/272/original/Risk_neutral.png"
+      },
+      "id": "e1335be4-7811-4283-9ec8-a23dc0093ab5"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "Risk factors' sets"
+      },
+      "id": "9c4209f4-c90b-4062-8461-f8ba1f5b42b6"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>The turnover space you intend to work on should help you decide which risk factors’ set to use. As a rule of thumb, we recommend adopting the Slow Factors for low-turnover signals and Fast Factors or Slow + Fast factors for high-turnover signals. The Slow + Fast Factors incorporates both of the above factors together. However, there is no universal rule as to which alpha should apply certain risk factors. We recommend giving them a try and finding the most suitable risk factors for your needs.</p><p>When applying neutralization, please remember the turnover of the output alpha is likely to increase versus the input one, and more so when neutralizing to the Fast Factors. Fast Factors comprises high turnover factors that would change the position weights of your alpha more so than the Slow Factors (See table below) and thus increase alpha turnover. Thus using “Fast Factors” or “Slow + Fast Factors” neutralization would be beneficial in cases where the increase in turnover comes with a corresponding increase in Sharpe. You should balance the benefits from better risk-neutralization (higher Sharpe or lower drawdown) and increased turnover by sourcing the most relevant set of factors for each alpha and leveraging the knowledge of the alpha properties : for instance, if your alpha is not susceptible to some fast factors (i.e., reversion) by design, neutralizing to Fast factors might be redundant.</p><p>All of these risk factors’ settings will also assume long-short balanced with market neutralization for the risk-neutralized alphas. Besides the style factors, all risk factors’ settings include industries and market risk as well.</p><p></p><p></p>",
+      "id": "0f5951d8-809c-4282-871e-0f2aeeb3d6dc"
+    },
+    {
+      "type": "TABLE",
+      "value": {
+        "data": [
+          [
+            "Risk Factor Setting",
+            "Description"
+          ],
+          [
+            "Slow Factors",
+            "Includes market and industry factors as well as other common lower turnover style factors."
+          ],
+          [
+            "Fast Factors",
+            "Includes market, industry factors and higher turnover style factors, such as reversion alpha."
+          ],
+          [
+            "Slow + Fast Factors",
+            "Combines both slow and fast factors."
+          ],
+          [
+            "RAM",
+            "Includes risk factors that capture the impact of short-term mean reversion and long-term momentum trends in stock prices."
+          ],
+          [
+            "Statistical",
+            "Includes risk factors which use techniques to identify patterns in historical returns, neutralize risks, and enhance Alpha stability with diverse, data-driven insights."
+          ],
+          [
+            "Crowding",
+            "Includes risk factors of excessive investor concentration in similar positions, which can lead to reduced profitability by heightened impact during concentrated unwinding."
+          ]
+        ],
+        "firstRowIsTableHeader": true,
+        "firstColIsHeader": false
+      },
+      "id": "d03a5bf9-69ff-40e7-8c00-ab39fc3a50a1"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "How should you start your risk neutralized alpha research?"
+      },
+      "id": "57211031-bb6e-4e2c-b38d-b5860f402c2f"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><ul><li>We recommend first trying this new feature out on your previous submitted alphas. You may notice some of them greatly improve your original alphas while also having less correlation to the submitted alpha.</li><li>After understanding how this feature affects your alphas, we suggest setting risk-neutralized settings as default in the simulation setting, and see if you can discover new, unique alphas from here on!</li></ul><p></p><p>We recommend you also go through the <a href=\"https://www8.gsb.columbia.edu/programs/sites/programs/files/finance/Finance%20Seminar/spring%202014/ken%20french.pdf\">classical 5-factor FAMA French-Model</a> to have a deeper understanding of style factors.</p>",
+      "id": "4797daca-7f25-4a8f-bcd5-3d2d047bd132"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Summary"
+      },
+      "id": "45b871ed-0011-4b24-8573-8289d0f4d57b"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><ul><li>Risk-neutralized alphas are alphas that show orthogonal and unique returns after accounting for market, industries and style factors.</li><li>Choose \"Slow Factors\" or \"Fast Factors\" / \"Slow + Fast factors\" in neutralization settings depending on the signal's turnover.</li><li>Start searching for innovative ideas through risk-neutralized alphas!</li><li>Read “<a href=\"https://support.worldquantbrain.com/hc/en-us/community/posts/16107745494807-Risk-Neutralized-Alpha-How-to-start-risk-neutralize-research-\">How to start risk neutralize research</a>?” on the forum .</li><li>Read \" <a href=\"https://support.worldquantbrain.com/hc/en-us/community/posts/16133457218199-Risk-Neutralized-Alpha-How-to-choose-risk-factors-set-\">Risk Neutralized Alpha: How to choose risk factors’ set?</a><b>\"</b> on the forum .</li></ul><p></p><p></p>",
+      "id": "25e40e9f-6f46-4ec1-8ca1-c1745997eeb1"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p><i>*WorldQuant defines alphas as mathematical models that seek to predict the future price movements of various financial instruments</i></p>",
+      "id": "a4199b31-75e3-45dc-af7b-4fde057cda58"
+    }
+  ],
+  "sequence": 6,
+  "category": "Advanced Topics"
+}

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/005_Statistical_Risk-Neutralized_Alphas_documentation.json

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+{
+  "id": "getting-started-statistical-risk-neutralized-alphas",
+  "title": "Statistical Risk-Neutralized Alphas",
+  "lastModified": "2025-11-04T02:32:32.455124-05:00",
+  "content": [
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "What is the Statistical Risk Model?"
+      },
+      "id": "a4586afe-08df-4cc1-843d-3261d38f5cba"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>Literature classifies factor models into two main categories:</p><p><b>Fundamental Factor Models</b></p><p>Fundamental factor models use attributes that explain the cross-sectional differences in stock prices. These factors often include a company's financial health, profitability, growth potential, and other fundamental characteristics. Essential metrics such as the price-to-earnings (P/E) ratio, debt-to-equity ratio, and earnings growth rate are used to evaluate the intrinsic value of stocks and inform investment decisions.</p><p>For example, a classic and seminal paper in this domain is \"The Cross-Section of Expected Stock Returns\" by Eugene F. Fama and Kenneth R. French, published in 1992. This paper introduced the Fama-French Three-Factor Model, which includes market risk, size (SMB, Small Minus Big), and value (HML, High Minus Low) as key factors in explaining stock returns.</p><p><b>Statistical Factor Models</b></p><p>Statistical factor models apply statistical techniques to analyze the returns of various securities. These models identify patterns and relationships in market data to develop Alphas. Statistical methods such as Principal Component Analysis (PCA) or cluster analysis can be used to explore correlations between stock returns. Statistical models rely on historical return data to seek to predict future performance or optimize portfolio risk.</p><p>A notable work in this area is \"<a href=\"https://www.jstor.org/stable/2327087?seq=1\">An Empirical Investigation of the Arbitrage Pricing Theory</a>\" by Richard Roll and Stephen Ross. This paper investigates the Arbitrage Pricing Theory (APT), which emphasizes the importance of using statistical methods to identify multiple factors that influence asset returns. The paper employs techniques such as Principal Component Analysis (PCA) to extract key factors from historical return data and analyze their impact on asset prices. This approach allows for the identification of complex, non-linear relationships within the data, providing a more sophisticated means of risk management and prediction.</p><p>In BRAIN Research, fundamental models such as SLOW, FAST, and SLOW_AND_FAST are already represented. Thus, we have chosen to focus on the statistical approach, which offers a distinctly different perspective. Statistical models provide opportunities to capture various factors, promoting portfolio diversification. The model allows for the creation of signals that perform well in the specific returns space, adding diversity to the pool of available Alphas.</p>",
+      "id": "aadf43fa-8d68-4789-9636-290b68eb9f8b"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "How to Simulate Statistical Risk-Neutralized Alphas"
+      },
+      "id": "fcd98811-da5c-4a8b-9f89-6f77b90e02d2"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>To manage statistical risk in Alphas, BRAIN has developed a risk model incorporating various risk factors. By monitoring and controlling these factors, BRAIN consultants can mitigate statistical risks that may be overlooked by fundamental factor models and enhance the robustness of Alphas. Consultants can neutralize Alphas using statistical risk factors by configuring the settings to use STATISTICAL neutralization:</p>",
+      "id": "99888362-135d-46bd-92be-1500121f772b"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "statistical_risk-neutralized.png",
+        "width": 609,
+        "height": 356,
+        "fileSize": 18775,
+        "url": "https://api.worldquantbrain.com/content/images/loa44R5iUtEdDSrZc4s-vSUVuY4=/377/original/statistical_risk-neutralized.png"
+      },
+      "id": "b6513c33-600b-491f-8f80-d9c25b0b5358"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>settings_dict = {</p><p>'instrumentType': 'EQUITY',</p><p>'region': 'USA',</p><p>'universe': 'TOP3000',</p><p>'delay': 1,</p><p>'decay': 0,</p><p>'neutralization': 'STATISTICAL',</p><p>'truncation': 0.1,</p><p>'pasteurization': 'ON',</p><p>'unitHandling': 'VERIFY',</p><p>'nanHandling': 'ON',</p><p>'language': 'FASTEXPR',</p><p>'visualization': False</p><p>}</p><p></p><p>By adjusting these settings, consultants can effectively implement statistical risk-neutralized Alphas, enhancing their stability and performance in diverse market conditions. Notably, this feature has been shown to retain performance while significantly reducing risk. The statistical risk-neutralization process ensures that Alphas maintain their profitability while mitigating potential risks, thereby providing a more stable and reliable performance over time.</p><p>Additionally, the existing page on Learn <a href=\"https://platform.worldquantbrain.com/learn/documentation/advanced-topics/getting-started-risk-neutralized-alphas\">here</a> has a useful section at the bottom on how to get started with this new feature. It is recommended to try this neutralization on your existing alphas and \"An Empirical Investigation of the Arbitrage Pricing Theory\" for further insights.</p><p></p>",
+      "id": "11bc24d7-7a0d-447f-bed7-8c4c578de8c2"
+    }
+  ],
+  "sequence": 17,
+  "category": "Advanced Topics"
+}

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/006_EUR_TOP2500_Universe_documentation.json

@@ -0,0 +1,35 @@
+{
+  "id": "getting-started-eur-top2500-universe",
+  "title": "EUR TOP2500 Universe",
+  "lastModified": "2025-11-04T02:35:32.827518-05:00",
+  "content": [
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Characteristics of the EUR TOP2500 Universe"
+      },
+      "id": "7d4f2c7c-018e-4205-9fd0-6caf04d6b759"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The EUR TOP2500 universe expands from the TOP1200, covering around 2500 instruments. This offers a broader area for analysis.</p>",
+      "id": "64925827-96b8-4ed2-a77b-c3990a7898e3"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Tips for Success"
+      },
+      "id": "8cdfb99e-41cc-4459-bbec-89eeb0ccf851"
+    },
+    {
+      "type": "TEXT",
+      "value": "<ul><li>Resimulate your TOP1200 Alphas on the new TOP2500 universe.</li><li>Adapt GLB region Alphas to the EUR TOP2500 universe.</li><li>Start with datasets in price volume, analyst, fundamental, option, and short interest categories.</li><li>In addition to sub-universe test, check Alpha's performance on the TOP800 universe to evaluate performance on liquid instruments.</li><li><b>Apply Double Neutralization</b>:<ul><li>With the expanded EUR TOP2500 universe, more instruments are available within each group. This increased number of instruments per group enhances the reliability and robustness of your Alphas.</li><li><b>Country Neutralization</b>: Remove country-specific risk by neutralizing by country mean values.</li><li><b>Sector/Industry Neutralization</b>: Further refine by neutralizing by sector or industry.</li><li><b>Example</b>: new_group = group_cartesian_product(country, industry), or new_group = densify(country) + densify(industry)*100</li></ul></li><li>Neutralize EUR Alphas against a group of risk factors using group neutralize operators or use SLOW, FAST, SLOW_AND_FAST, CROWDING, STATISTICAL neutralization in settings.</li></ul><p>Take advantage of the expanded EUR TOP2500 universe for more reliable and robust Alphas.</p><p>Happy simulating!</p>",
+      "id": "4623fc65-cf58-45ff-aa33-d17dbf5efa25"
+    }
+  ],
+  "sequence": 101,
+  "category": "Regions and Universes"
+}

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/006_GLB_TOPDIV3000_Universe_documentation.json

@@ -0,0 +1,48 @@
+{
+  "id": "getting-started-glb-topdiv3000-universe",
+  "title": "GLB TOPDIV3000 Universe",
+  "lastModified": "2025-11-04T02:37:09.481012-05:00",
+  "content": [
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Characteristics of the GLB TOPDIV3000 Universe"
+      },
+      "id": "80ed4189-842a-4656-a50b-2bd1039932cd"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>The GLB TOPDIV3000 universe is designed to enhance Alpha generation with <b>better liquidity</b>, <b>broader coverage</b> (around 2,200 instruments), and <b>balanced global diversity</b>:</p><ul><li><b>USA:</b> Slightly over 50%</li><li><b>Asia &amp; Europe:</b> Roughly equal at ~25% each</li><li><b>Additional AMR coverage</b></li></ul>",
+      "id": "5de9f55a-d4d3-486a-96ed-5ade2b23f4a6"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Tips for Success"
+      },
+      "id": "4fd01e92-fafd-40fa-9f3d-434508e3fe1a"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><ul><li>Test your previous GLB Alphas on this new universe.</li><li>Improved liquidity and broader coverage may allow Alphas that previously failed Sub-Universe tests to succeed.</li><li>Transfer USA, EUR, and ASI Alphas to the GLB TOPDIV3000 universe for better performance.</li><li>Use price-relative metrics (e.g., ratios) instead of raw prices for consistency across instruments.</li><li>Apply <b>Double Neutralization</b> to improve reliability:<ul><li><b>Country Neutralization:</b> Remove country-specific risks by neutralizing against country mean values.</li><li><b>Sector/Industry Neutralization:</b> Refine further by neutralizing sector or industry factors.</li><li><b>Example:</b> new_group = group_cartesian_product(country, industry)</li></ul></li><li>Select component Alphas from the <b>TOP3000</b> or <b>MINVOL1M</b> universes and combine them into <b>SuperAlphas</b> under the <b>GLB TOPDIV3000</b> universe for enhanced performance.</li></ul>",
+      "id": "792d1514-85da-4022-907d-b2475bb14135"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "More concepts that you can explore"
+      },
+      "id": "e61d588d-b369-4e27-a6dd-cd4a2785ba08"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p><a href=\"https://platform.worldquantbrain.com/learn/documentation/regions-and-universes/global-region\">Getting Started: Global Alphas</a></p><p><a href=\"https://platform.worldquantbrain.com/learn/documentation/superalpha/getting-started-global-superalphas\">Getting Started with Global SuperAlphas</a></p><p><a href=\"https://support.worldquantbrain.com/hc/en-us/community/posts/19381139332503--GLB-Theme-On-Dealing-With-FX-In-Multi-Currency-Regions\">On Dealing With FX In Multi-Currency Regions</a></p>",
+      "id": "a3507fe7-6fbd-49df-b5c4-73e00cb60ee8"
+    }
+  ],
+  "sequence": 124,
+  "category": "Regions and Universes"
+}

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/006_Getting_Started_China_Research_for_Consultants_Gold_documentation.json

@@ -0,0 +1,142 @@
+{
+  "id": "china-region-consultants",
+  "title": "Getting Started: China Research for Consultants [Gold]",
+  "lastModified": "2025-06-02T02:36:59.225739-04:00",
+  "content": [
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "REGION SPECIFICS – Things to consider"
+      },
+      "id": "3f32bb63-9798-4c26-8e6b-c9f11bd025a9"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>With BRAIN you can create alphas on China’s Stock market - the second largest in the world by capitalization. There are two primary exchanges:</p><ul><li>Shanghai Stock Exchange (SSE): &gt;2000 listed companies, market cap &gt;7 trillion USD</li><li>Shenzhen Stock Exchange (SZSE): &gt;2000 listed companies, market cap &gt;5 trillion USD</li></ul>",
+      "id": "805ff97e-476e-4b92-9990-4fdad5655a66"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "Different submission criteria"
+      },
+      "id": "94b685a3-665e-4b11-9a6b-6da63f453643"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The China market has a high cost of trading, thus requiring higher returns than other regions.</p><ul><li>D1 criteria: Sharpe &gt;= 2.08; Returns &gt;= 8%; Fitness &gt;= 1.0</li><li>D0 criteria: Sharpe &gt;= 3.5; Returns &gt;= 12%; Fitness &gt;= 1.5</li></ul><p><a href=\"https://www.investopedia.com/terms/d/daily_trading_limit.asp#:~:text=A%20daily%20trading%20limit%20is,occurring%20over%20one%20trading%20day.\"><b>Daily trading limit</b></a><b>:</b> price can change in 5-10% range based on stock type. The daily price limit does not apply on the first five trading days after an IPO.[1]</p><p><a href=\"https://www.investopedia.com/ask/answers/09/short-selling-china.asp\"><b>Short-selling Restriction:</b></a> both short selling and margin buying is allowed only for eligible \"blue chip\" stocks with good earnings performance and is only permitted for locally licensed investors.</p><p>This implies that the opposite alphas will not flip the performance. Check alpha example with same simulation setting below:</p>",
+      "id": "22481395-6e0f-4b8a-8f3b-02b7c76aa00d"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "CHN_1",
+        "width": 1077,
+        "height": 506,
+        "fileSize": 78053,
+        "url": "https://api.worldquantbrain.com/content/images/IXeVl9KLtAFM9AT65sjUe4oLiOs=/267/original/chn1.png"
+      },
+      "id": "989fb344-168c-43f4-bd1b-79c9e166b2f3"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "CHN region simulation settings"
+      },
+      "id": "ecf37cbb-1fb2-4248-8cef-854b53bf36ee"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>China <a href=\"https://support.worldquantbrain.com/hc/en-us/articles/4902349883927-Click-here-for-a-list-of-terms-and-their-definitions#:~:text=A-,Alpha,-An\">alphas</a> are created and simulated on the “Simulate” page. To run your first <a href=\"https://support.worldquantbrain.com/hc/en-us/articles/4902349883927-Click-here-for-a-list-of-terms-and-their-definitions#:~:text=definition.-,Simulation,-Simulation\">simulation</a> on China region:</p><ol><li>Click on the gear icon under your simulation tab to open the settings panel.</li><li>Select “CHN” in Region drop down menu and click “Apply”</li></ol>",
+      "id": "8d68b63d-50e9-424f-8925-d37ce146028c"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "chn_2",
+        "width": 676,
+        "height": 518,
+        "fileSize": 36818,
+        "url": "https://api.worldquantbrain.com/content/images/IBHSkkqEnyn4nXE2OxHtEDpWanc=/268/original/chn2.png"
+      },
+      "id": "b0533641-8b92-460a-b81e-001055fa7b2e"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "The replicate of China Stock Index 1000 on BRAIN"
+      },
+      "id": "75ee0318-6379-43a6-90ce-2453deacb162"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>The CSI 1000 Index is composed of 1,000 small-scale and well-liquid stocks after excluding the constituent stocks of the CSI 800 Index from all A-shares. It comprehensively reflects the stock price performance of small and medium-sized companies in China's A-share market. You can replicate this index on BRAIN platform:</p>",
+      "id": "52f8a7ea-2844-4c7f-9e17-8aafca5e35f7"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "chn3.png",
+        "width": 731,
+        "height": 736,
+        "fileSize": 57846,
+        "url": "https://api.worldquantbrain.com/content/images/c9dffleUllw_8WD5KN787R1UCvE=/269/original/chn3.png"
+      },
+      "id": "5ec7aa60-fac0-40b1-9f1e-57e215a46af7"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "Formula"
+      },
+      "id": "9b465821-e818-4ee0-acf1-092e3279c2b3"
+    },
+    {
+      "type": "SIMULATION_EXAMPLE",
+      "value": {
+        "settings": {
+          "instrumentType": "EQUITY",
+          "region": "CHN",
+          "universe": "TOP2000",
+          "delay": 0,
+          "decay": 0,
+          "neutralization": "NONE",
+          "truncation": 0.0,
+          "pasteurization": "ON",
+          "unitHandling": "VERIFY",
+          "nanHandling": "OFF",
+          "language": "FASTEXPR",
+          "maxTrade": "OFF"
+        },
+        "type": "REGULAR",
+        "regular": "rank(cap) < 0.6 ? rank(cap) > 0.1 ? cap : 0 : 0"
+      },
+      "id": "7cf5acbd-dba7-4b96-812d-0a431f389da5"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p></p><p>Since CSI1000 takes 1000 stocks based on the market cap ranking from 800 to 1800, so we have this range from 0.1 to 0.6.</p>",
+      "id": "9bda64af-6ee4-4855-a533-e5c93e6deda8"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "1",
+        "content": "Getting started"
+      },
+      "id": "4fe5b250-678e-4a03-81a1-8a3848c4834c"
+    },
+    {
+      "type": "TEXT",
+      "value": "<ul><li>Although China’s stock market has several unique characteristics, many common research ideas can be good starting point for your China research before you explore specific ideas:<ul><li>Technical indicators (Stochastic Oscillator, Relative Strength Index, MACD etc.)</li><li>Fundamental ratios</li></ul></li><li>The China market has a high cost of trading, thus requiring higher returns than other regions.</li><li>Apart from usual robustness tests such as sub universes, turnover, fitness and weight, there is an additional test exclusive to the China research region: Robust universe test performance: Alphas are considered good if the robust universe component retains at least 40% of the returns and Sharpe of the submission version.</li></ul><p></p><p>Since China market has a price limit system, (i.e., the Shenzhen Stock Exchange and Shanghai Stock Exchange resumed the 10% symmetric price limit system on 26 December 1996 [1] ), you will observe the fact that the opposite alphas will not flip the performance (i.e., Sharpe, Returns, Fitness) of alphas.</p><p></p><p>Please see the following example:</p><p>Alpha= ts_returns(close,5) with Delay=”1”, Neutralization = “industry”, Decay = “0”, Truncation = “0.01”, Universe=”TOP3000” will have the performance as follows:</p><p>Sharpe=-6.10, Turnover=63.34%, Returns=-72.73%, Margin=-229.10</p><p>However, the oppsite alpha:</p><p>Alpha= -ts_returns(close,5) with Delay=”1”, Neutralization = “industry”, Decay = “0”, Truncation = “0.01”, Universe=”TOP3000”</p><p>will have the performance as follows:</p><p>Sharpe=1.86, Turnover=62.69%, Returns=22.99%, Margin=73.30</p><p>Don’t miss your chance to make unique alphas for the China region and boost performance of your BRAIN alpha portfolio!</p><p>[1]: <a href=\"https://www.tandfonline.com/doi/full/10.1080/23322039.2022.2106635\">The impact of price limit system on the comprehensive quality of the stock market: Research on long-term and short-term effects based on submarkets</a></p>",
+      "id": "d2d0785c-ed62-4e20-92bf-7f7c6098abbf"
+    }
+  ],
+  "sequence": 123,
+  "category": "Regions and Universes"
+}

cnhkmcp/untracked/AI/321/206/320/261/320/234/321/211/320/255/320/262/321/206/320/237/320/242/321/204/342/225/227/342/225/242/knowledge/006_Getting_started_on_Illiquid_Universes_Gold_documentation.json

@@ -0,0 +1,46 @@
+{
+  "id": "getting-started-illiquid-universes",
+  "title": "Getting started on Illiquid Universes [Gold]",
+  "lastModified": "2025-01-08T07:58:11.376704-05:00",
+  "content": [
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "Introductions"
+      },
+      "id": "dc91c0b1-a0c9-478c-bf04-f7bd43665973"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>In this documentation, we will introduce a new Universe for Alpha on USA, EUR, ASI regions called ILLIQUID_MINVOL1M. It’s a unique universe consisting of illiquid equities, defined by our liquidity metrics: minimum volume of $1M.</p><p>The illiquid universe offers potential opportunities to capitalize on short term and long term price discrepancies due to its market inefficiency. However, it also implies higher trading costs, as short selling becomes more difficult and obtaining optimal order pricing is challenging due to slippage. For this reason, a new submission test for Alpha builds has been introduced in the ILLIQUID_MINVOL1M universe.</p>",
+      "id": "cc9f6fe8-ed5f-42da-af03-0971c32257a7"
+    },
+    {
+      "type": "IMAGE",
+      "value": {
+        "title": "getting-started-illiquid-universes.png",
+        "width": 468,
+        "height": 277,
+        "fileSize": 29292,
+        "url": "https://api.worldquantbrain.com/content/images/Zl8MNnxUpepDN6tandfC5X9fPYQ=/283/original/getting-started-illiquid-universes.png"
+      },
+      "id": "f47cc37e-02ce-43fa-9527-6e5688d57d86"
+    },
+    {
+      "type": "HEADING",
+      "value": {
+        "level": "2",
+        "content": "New Submission test"
+      },
+      "id": "8b7712bd-dd16-40c7-a1cf-4cc7242e1bcb"
+    },
+    {
+      "type": "TEXT",
+      "value": "<p>Most Illiquid instruments after cost Sharpe test measures the proportion of after cost performance in an illiquid universe with reference to the original universe. This test ensures that the most illiquid half of the illiquid universe has a minimum required Sharpe after considering the various costs of trading these instruments</p>",
+      "id": "594ca917-d5e8-4ba2-9fa5-4c895d59f375"
+    }
+  ],
+  "sequence": 69,
+  "category": "Regions and Universes"
+}