RankAlpha
LiveBuilt the ML, then beat it. A cross-sectional equity ranker that learns to order the S&P 500 — then a pre-registered duel showed plain 12-1 momentum wins the long-only product book (after-cost Sharpe 1.79 vs 1.41), so momentum ships and the ML stays research. The model's ordering skill is real, but it only looks monetisable long/short. Built on a SEC point-in-time fundamentals gate, a 380+ test suite, and published negative results.
- Python
- LightGBM · LambdaMART
- Learning-to-rank
- Walk-forward + embargo
- Pre-registered duel
- SEC EDGAR point-in-time
- SHAP
- After-cost Sharpe — momentum vs ML
- 1.79 vs 1.41
- ML mean Rank IC (vs momentum)
- 0.0505 vs 0.0414 (t=1.64)
- Audit machinery
- 380+ tests · SEC point-in-time