Research ID: research_WL_6F_VPT • 2026. 3. 11. 오후 10:35:35
Data Analyst
Identified high volatility in crypto markets, momentum factors show promise
Factor Researcher
Designed 20-day momentum with cross-sectional ranking
Code Generator
Generated Python code with delta-neutral constraints
Validator
✓ No look-ahead bias • ✓ Delta-neutral • ✓ Sharpe 27.52 > 1.0
Portfolio Manager
APPROVED with HIGH survivorship bias warning
# WL_6F_VPT
Look-ahead Bias
No shift(-1) or future_* variables detected
Delta-Neutral
Max sum: 0.000000 < 1e-3
Sharpe Ratio
27.52 > 1.0 threshold
Survivorship Bias
HIGH - Sharpe drops from 56.62 to 27.52 when including all symbols
This factor has passed all validation checks. However, be aware of HIGH survivorship bias. Use the survivors-only Sharpe (27.52) as baseline for realistic performance expectations.