benchmark
Score a backtest against published Fama-French factors to determine if it's a novel discovery or a known factor.
Instructions
Score a backtest against the published Fama-French factors.
Answers the question that decides whether a result is interesting: did you discover something, or rebuild a factor that has been public since 1993?
Datasets: ff3, ff5, momentum, ff3_daily, industry49.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| run_id | Yes | ||
| dataset | No | ff3 |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| result | Yes |