longbridge-multifactor

name	longbridge-multifactor
description	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".
license	MIT
metadata	{"author":"longbridge","version":"1.0.0","risk_level":"read_only","requires_login":false,"default_install":true,"requires_mcp":false,"tier":"analysis"}

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

1. Get universe: fetch index constituents: longbridge constituent <INDEX> --format json Extract the stocks key. If the user provides a custom list, skip this step.

2. 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).

3. 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)

4. Standardise each factor across the universe to Z-scores (subtract mean, divide by std).

5. 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.

6. 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 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