MultiFactor Portfolio Engine

This is a framework for quant research, laid out the way a small fund might structure its internal tooling. Each stage of the pipeline is its own piece, so a factor or a weighting scheme can be swapped without disturbing the rest.

The factor engine ships with momentum, volatility, mean-reversion, and quality factors, all behind a common IFactor interface so a new one drops in the same way as the old ones. From there, portfolio construction handles z-scoring, composite ranking, and long-only or long-short weighting, and an event-driven backtester runs the result with hooks for slippage and fees.

Highlights

• Pluggable factors behind a single IFactor interface
• Composite scoring and ranking into long-only or long-short books
• Event-driven backtester with slippage and fee hooks
• Performance analytics covering Sharpe, Sortino, and max drawdown
• xUnit test project, with a phased roadmap toward optimization and Python notebooks