Factor Construction and Publication Gates

How SurgeFlow builds daily factor portfolios and decides whether a factor leg is publishable, draft-only, or restricted.

Category: Factor Research

What is being tested

The factor construction layer turns raw price, market-cap, valuation, profitability, investment, momentum, and liquidity data into market-local research factors. Each factor leg is tested before it is allowed into the consumption layer. The core spread identity is factor return = high-signal leg return - low-signal leg return. - Point-in-time inputs - 2x3 size-by-characteristic sorts - Minimum history thresholds - HAC inference - Residual diagnostics - Publication state labels

Why gates matter

A factor can exist as a calculated series without being reliable enough for agent consumption. The gate separates data availability from research confidence so weak or thin samples become draft or restricted rather than silently influencing decisions.

How to read the output

Publish-tested legs can be cited as primary evidence. Draft legs are research context only. Restricted legs are blocked from production selection until the failed gate is repaired or enough new data arrives.