factor-report

Factor Report

This skill turns a finished run into reviewable artifacts: a static report, plots, and portable exports.

Workflow

1. Static report

factorminer report output/run1/factor_library.json \
  --session-log output/run1/session_log.json \
  --format markdown --output output/run1/report.md

• --format — markdown or html. HTML is self-contained (no JavaScript).
• --session-log — includes run metadata (iterations, yield rate).
• --benchmark path.json — fold in benchmark results; repeatable.

The report defines every admission metric inline, lists each factor with its formula and IC/ICIR/correlation, and warns on stale artifacts.

2. Plots

factorminer -o output/run1 visualize output/run1/factor_library.json \
  --data market_data.csv --period test \
  --correlation --ic-timeseries --quintile --format png

3. Export the library

factorminer export output/run1/factor_library.json --format formulas --output output/run1/formulas.txt

--format options: json (full library), csv (tabular metrics), formulas (plain formula list for handoff).

Assembling the research note

A complete note pairs the generated report with narrative the analyst can sign off on:

1. Objective & data — universe, horizon, split boundaries, validation status.
2. Method — loop used (Ralph/Helix), features enabled, iteration budget.
3. Library — admitted factors with formulas and out-of-sample IC/ICIR.
4. Composite — backtest result net of costs, with the decay caveat.
5. Benchmark — comparison vs. baselines, if run.
6. Limitations — overfit risk, capacity, what was not tested.

Guardrails

• The report presents results; it does not certify them. Frame it as research staged for human review.
• Quote out-of-sample metrics as the headline; never the in-sample number.
• Cite the run directory so every figure is reproducible via factorminer session inspect.