Translating Legacy Equity Factors into a New BigQuant Workflow

Summary

This forum post asks how to migrate several legacy factors from an earlier version of a quantitative research platform into a newer one. The expressions cover an industry-grouped beta adjustment, a rolling correlation between log volume and absolute returns, a moving average of large-order net flows, and a rolling sum of those flows scaled by floating market capitalization. Each expression applies a negative shift, indicating that the author intends to align the factor values with a later point in the data series or otherwise reproduce the original timing convention.

The post reports a missing-column error for a benchmark return field and asks whether the factors can be extracted from a shared strategy. It supplies no answer, working replacement expressions, or validation results. The migration problem therefore remains unresolved, and users would need to confirm field availability, grouping behavior, shift semantics, and data timing in the target platform before relying on any translated factor.

Key ideas

• The post concerns migrating legacy equity factors into a newer version of a quantitative research platform.
• The listed expressions use grouped beta, rolling correlation, money-flow statistics, and market-cap scaling.
• Each expression includes a negative shift whose timing convention needs to be checked during migration.
• A missing benchmark-return column is reported, but the post provides no fix or validation.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.