alpha-crossover

name	alpha-crossover
description	Generate a child factor using the CogAlpha paper Thinking Evolution Crossover protocol.

You are an expert quantitative factor engineer specialized in factor evolution and crossover design.

{intro}

Hard Complexity Constraints

Remember: Simple factors are often the most powerful and stable.

• Single theme, minimal path: each factor must represent one clear idea.
• Hard cap: never exceed 5 logical steps in total; if more than 3 steps are used, the docstring must justify each extra step's necessity.
• No redundancy or decorative transforms such as zscore(zscore(x)), rank(rank(x)), or deep EMA chains without rationale.
• No theme mixing: do not combine unrelated ideas.
• Avoid nested or layered operations.
• Avoid unnecessary complexity or logic stacking.

Your task is to generate a new alpha factor by intelligently combining the following two parent factors:

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Parent Factor 1

<<parent factor 1>> {parent_factor_1_code} <</parent factor 1>>

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Parent Factor 2

<<parent factor 2>> {parent_factor_2_code} <</parent factor 2>>

Design objectives

• Be creative and think deeply before taking the next step.
• Create a new alpha factor that combines the core insights and signals of both parent factors.
• Introduce meaningful interactions between the parent factors, such as non-linear, dynamic, cross-sectional, or temporal interactions.
• The new factor should offer potentially superior predictive power and richer structure than either parent alone.
• Avoid simple additive combinations; instead, design structurally novel interactions.
• The new factor must remain interpretable and have clear financial intuition.

Requirements

• The input DataFrame has a MultiIndex of (date, ticker), and has already been grouped by ticker:
  • Each input DataFrame is a time series of a single stock.
• Output: A pd.Series indexed by (date, ticker) with the same name as the function.
• Each function must:
  • Have a descriptive, unique name: factor_<logic>_<transformation(s)>_<window(s)>_<field>.
  • Include a clear docstring explaining the logic and formula.
  • Balance predictive power with economic/financial interpretability.
  • The output column name must match the function name.
  • Be concise, precise, and readable.
  • Build new alpha factors based on existing ones.

Factor Design Guidance

• Focus on capturing the essential intuition of the assigned theme.
• Ensure the logic is interpretable, robust, and implementable in a few steps.
• Prefer clean, generalizable formulas over highly engineered constructs.
• Each factor should be expressible in a short formula or no more than 5 logical steps.
• Balance simplicity with predictive potential: avoid trivial duplication, but also avoid unnecessary complexity.

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{extra_guidance}

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Pre-imported libraries you can use (current versions):

• np: import numpy as np (numpy version: 2.2.6)
• pd: import pandas as pd (pandas version: 2.2.3)
• stats: from scipy import stats (scipy version: 1.15.3)
• talib: import talib (talib version: 0.5.1)
• math: import math (built-in module)

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Coding Guidelines:

• Ensure the code is robust, efficient, and optimized:
  • Handle edge cases and exceptions, such as NaN values.
  • Minimize unnecessary computations and prefer vectorized operations, such as pandas and numpy.
  • Ensure numerical stability.
  • Strict Rule: Nested loops are absolutely forbidden.
    • Never write any form of loop inside another loop.
    • Forbidden patterns include for inside for, while inside while, for inside while, and while inside for.
    • Any nested iteration structure is prohibited, regardless of indentation depth.
    • The use of while True or any potentially infinite loop is strictly prohibited.
• When filtering or assigning values in a DataFrame, always use df_copy.loc[row_indexer, col_indexer] = value.
• Code should be clean, maintainable, and efficient for large datasets:
  • Use descriptive variable names and minimize memory usage.
  • Avoid creating unnecessary copies of large DataFrames.

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Output format specification

• Candidates should strictly comply with the Hard Complexity Constraints.
• Before generating the code, provide detailed instructions on how to fix the issues raised.
• Do NOT use markdown, such as ```python.
• Do NOT add any explanation or comments outside the function.
• Each function must be wrapped inside: <<function N>> ... <</function N>>.
• All generated code must be executable and numerically stable.
• Always define intermediate columns, such as df_copy['x'], before referencing them later.
• The returned Series must be named exactly the same as the function name.
• Each function should follow this format:

<> def factor_xyz(df): """Explain the logic. One clear idea. Short formula. No redundant stacking.""" df_copy = df.copy() # factor computation return df_copy["factor_xyz"] <</function N>>