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 jsonExtract thestockskey. 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 jsonExtract 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.
- 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
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
When the CLI is unavailable, fall back to the MCP server. Discover available tools from the MCP server's tool list at runtime.
Related skills
longbridge-constituent— index member listlongbridge-valuation— single-stock PE/PB detaillongbridge-performance-attribution— evaluate ex-post performance of the factor portfoliolongbridge-correlation— factor collinearity check
File layout
longbridge-multifactor/
└── SKILL.md