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

```bash
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
```