The factor engine computes quantitative signals (factors) from market data and evaluates their predictive power. Factors provide systematic, backtestable features for strategy development.
The factor engine is opt-in. Set FACTOR_ENGINE_ENABLED=true in your environment to activate it. It increases CPU and memory usage due to continuous computation across all tracked symbols.
What are factors?
A factor is a numeric value derived from market data that aims to predict future returns. Factors capture properties like momentum, mean reversion, volatility clustering, and volume patterns.
Unlike ad-hoc technical indicators, factors are:
- Normalized — comparable across different symbols and time periods
- Evaluated — effectiveness is measured through statistical metrics
- Composable — combined into multi-factor strategies
Built-in factors
The engine includes 64 expressions organized across six categories:
Trend
Momentum
Volatility
Volume
Statistical
Composite
| Factor | Expression | Description |
|---|
trend_ema_cross | ema(20) / ema(50) - 1 | EMA crossover momentum |
trend_strength | adx(14) | Trend strength via ADX |
trend_direction | sign(close - ema(200)) | Binary trend direction |
price_momentum | roc(close, 20) | 20-period rate of change |
trend_persistence | hurst(close, 100) | Hurst exponent for trend persistence |
| Factor | Expression | Description |
|---|
rsi_factor | normalize(rsi(14)) | Normalized RSI |
macd_momentum | macd_hist(12,26,9) | MACD histogram |
stoch_momentum | stoch_k(14,3) | Stochastic oscillator |
roc_5 | roc(close, 5) | Short-term rate of change |
williams_r | williams_r(14) | Williams %R |
| Factor | Expression | Description |
|---|
realized_vol | std(returns, 20) | 20-period realized volatility |
atr_factor | atr(14) / close | Normalized ATR |
bb_width | bbwidth(20, 2) | Bollinger Band width |
vol_regime | vol(20) / vol(60) | Short vs long-term volatility ratio |
garman_klass | gk_vol(20) | Garman-Klass volatility estimator |
| Factor | Expression | Description |
|---|
volume_momentum | volume / sma(volume, 20) | Volume relative to average |
obv_slope | slope(obv, 20) | On-balance volume trend |
vwap_deviation | (close - vwap) / atr(14) | Deviation from VWAP |
volume_price_trend | vpt(20) | Volume-price trend |
mfi_factor | mfi(14) | Money flow index |
| Factor | Expression | Description |
|---|
skewness | skew(returns, 60) | Return distribution skewness |
kurtosis | kurt(returns, 60) | Return distribution kurtosis |
z_score | zscore(close, 50) | Z-score vs rolling mean |
autocorrelation | autocorr(returns, 1, 20) | Lag-1 return autocorrelation |
mean_reversion | -1 * zscore(close, 20) | Mean reversion score |
| Factor | Expression | Description |
|---|
quality | sharpe(20) * (1 - max_dd(20)) | Risk-adjusted quality |
momentum_quality | roc(20) * (1 / vol(20)) | Volatility-adjusted momentum |
trend_vol | adx(14) * atr_factor | Trend strength × volatility |
composite_score | rank_avg(momentum, quality, trend) | Multi-factor composite |
Custom factor creation
Define custom factors using the expression engine:
curl -X POST https://api.hyperoru.com/api/factors \
-H "Content-Type: application/json" \
-d '{
"name": "my_momentum",
"expression": "roc(close, 10) * (volume / sma(volume, 20))",
"description": "Volume-weighted 10-period momentum",
"user_id": "your-user-id"
}'
Expression engine syntax
The expression engine supports arithmetic operations, built-in functions, and nesting:
| Syntax | Example | Description |
|---|
| Arithmetic | a + b, a * b, a / b | Standard math operators |
| Functions | ema(close, 20) | Technical indicator functions |
| Nesting | ema(rsi(14), 5) | Compose functions |
| Constants | 100, 2.5 | Literal numbers |
| References | close, volume, high, low | Price/volume fields |
Factor effectiveness metrics
Each factor is continuously evaluated for predictive power:
| Metric | Description | Good Value |
|---|
| IC (Information Coefficient) | Correlation between factor values and forward returns | > 0.03 |
| ICIR (IC Information Ratio) | Mean IC / Std(IC), measures consistency | > 0.5 |
| Win Rate | Fraction of periods where factor direction matches return direction | > 55% |
| Turnover | How frequently factor rankings change | Depends on strategy |
curl "https://api.hyperoru.com/api/factors/{factor_id}/effectiveness?lookback=90d"
Factor computation pipeline
The pipeline runs on a configurable schedule (typically every 1–5 minutes) and caches results in the FactorCache for instant access by strategies and the API. 
