longbridge-multifactor

Original：🇺🇸 English

Translated

Multi-factor cross-sectional stock-selection strategy via Longbridge Securities — scores stocks in an index or candidate pool on value (1/PE, 1/PB), momentum (60-day return), quality (ROE), and low-volatility (60-day HV) factors; standardises to Z-scores; composites with equal or IC-weighted combination; constructs a TopN long portfolio (high-score group) and bottom-N short portfolio. Triggers: "多因子", "因子选股", "量化选股", "多因子模型", "因子投资", "横截面", "TopN组合", "IC权重", "多因子", "因子選股", "量化選股", "多因子模型", "橫截面", "multi-factor", "factor investing", "quantitative stock selection", "cross-sectional factor", "factor model", "IC weighting", "factor composite", "TopN portfolio", "factor score", "Z-score ranking".

2installs

Sourcelongbridge/skills

Added on2026-05-13

NPX Install

npx skill4agent add longbridge/skills longbridge-multifactor

SKILL.md Content

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longbridge-multifactor

Cross-sectional multi-factor quantitative stock selection. Scores a universe of stocks on value, momentum, quality, and low-volatility factors; composites the scores; ranks stocks; and outputs a TopN buy list and bottom-N short list with factor-level attribution.

Response language: match the user's input language — Simplified Chinese / Traditional Chinese / English.

When to use

User asks for quantitative factor-based stock selection within an index or a specified list of symbols.
Triggers: "SPX 多因子选股", "恒生指数量化因子排名", "CSI 300 factor model TopN", "IC加权因子合成".

Workflow

Get universe: fetch index constituents:
```
longbridge constituent <INDEX> --format json
```
Extract the
```
stocks
```
key. If the user provides a custom list, skip this step.
Fetch valuation factors for each symbol (batched, up to 20 stocks for manageable output):
```
longbridge calc-index <SYMBOL> --format json
```
Extract PE, PB, ROE. Value factors:
```
f_value = 0.5 × (1/PE) + 0.5 × (1/PB)
```
(normalised).
Fetch price history for momentum and low-vol:
```
longbridge kline <SYMBOL> --period day --count 60 --format json
```
- Momentum: (close_today / close_60d_ago) − 1
- Low-volatility: annualised std of last 60 daily returns × √252 (negate: lower HV → higher score)
Standardise each factor across the universe to Z-scores (subtract mean, divide by std).
Composite score:
- Equal-weight:
```
score = 0.25 × Z_value + 0.25 × Z_momentum + 0.25 × Z_quality + 0.25 × Z_lowvol
```
- IC-weighted (if the user specifies): weight each factor by its historical IC (information coefficient); if IC data unavailable, default to equal-weight.
Rank and output:
- Top 20%: buy / long signal
- Bottom 20%: avoid / short signal
- Display top-10 and bottom-10 stocks with individual factor Z-scores and composite score.

Run

longbridge constituent --help

,

longbridge calc-index --help

, and

longbridge kline --help

to verify current flag names.

CLI

bash

longbridge constituent --help
longbridge calc-index --help
longbridge kline --help

longbridge constituent <INDEX>  --format json
longbridge calc-index <SYMBOL>  --format json
longbridge kline <SYMBOL> --period day --count 60 --format json

Supported index examples:

HSI.HK

,

SPX.US

,

IXIC.US

,

DJI.US

,

000300.SH

.

Output

Column	简体	繁體	English
Composite score	综合得分	綜合得分	Composite score
Value Z	价值因子 Z 值	價值因子 Z 值	Value Z-score
Momentum Z	动量因子 Z 值	動量因子 Z 值	Momentum Z-score
Quality Z	质量因子 Z 值	質量因子 Z 值	Quality Z-score
Low-vol Z	低波动因子 Z 值	低波動因子 Z 值	Low-vol Z-score
Signal	信号	訊號	Signal

Output: top-10 / bottom-10 ranked table → factor dispersion summary → composite methodology note. Add caveat that the universe is limited by API throughput. Cite Longbridge Securities / 数据来源：长桥证券 / 數據來源：長橋證券.

Error handling

Situation	简体回复	繁體回復	English reply
`command not found: longbridge`	回退到 MCP 或提示安装 longbridge-terminal	回退到 MCP 或提示安裝 longbridge-terminal	Fall back to MCP or install longbridge-terminal
`not logged in` / `unauthorized`	请运行 `longbridge auth login`	請執行 `longbridge auth login`	Run `longbridge auth login`
`calc-index` returns null PE/PB	跳过该标的，标注"数据缺失"	跳過該標的，標注"數據缺失"	Skip symbol; mark as "data missing"
Universe > 50 stocks	自动截取前50只成交额最大的标的	自動截取前50只	Auto-limit to top-50 by turnover
Other stderr	直接显示原始错误	直接顯示原始錯誤	Surface verbatim

MCP fallback

Use

mcp__longbridge__candlesticks

and

mcp__longbridge__calc_indexes

when CLI is unavailable.

Related skills

```
longbridge-constituent
```
— index member list
```
longbridge-valuation
```
— single-stock PE/PB detail
```
longbridge-performance-attribution
```
— evaluate ex-post performance of the factor portfolio
```
longbridge-correlation
```
— factor collinearity check

File layout

longbridge-multifactor/
└── SKILL.md

longbridge-multifactor

NPX Install

Tags

SKILL.md Content

longbridge-multifactor

When to use

Workflow

CLI

Output

Error handling

MCP fallback

Related skills

File layout