Toolkit, not catalog — and why that matters
Factor libraries come in two shapes. Curated catalogs publish a fixed list of factors with stamped IC, ICIR, half-life, and turnover numbers — usually on one specific universe and cost model. Composable toolkits give you the building blocks and the evaluators so you can stamp the numbers yourself. Keel ships the toolkit shape today, because IC and decay numbers depend on universe definition, cost model, lookback window, and rebalance horizon — a single stamped number reads cleanly but only tells the truth on one specific setup.
A curated catalog — IC, ICIR, half-life, turnover, and decay curve stamped per factor on a standard HL universe — is on the roadmap. Until then, the toolkit lets you compute the same numbers against your own universe and assumptions.
The 199 components, by category
The component registry has 199 entries decorated with @register_component. They break down roughly as follows.
| Category | Examples |
|---|---|
| Momentum signals (8) | Cross-sectional momentum at multiple lookbacks; time-series momentum; risk-adjusted momentum. |
| Trend signals (10) | EMA/SMA crossovers, MACD-style, channel breakouts, trend strength scoring. |
| Volatility signals (9) | Realized vol, vol-of-vol, vol regime indicators, Garman-Klass, ATR-based. |
| Volume / liquidity signals (6) | Volume rank, dollar volume, volume z-score, OI-weighted scoring. |
| Statistical signals (2) | Z-score and percentile rank transforms used as direct signals. |
| Logic signals | Breakout detectors, mean-reversion triggers, threshold gates. |
| Regime detectors (5) | FundingLevelRegime, FundingDispersionRegime, plus vol-, trend-, and correlation-based regimes. |
| Portfolio aggregators (~20) | Forecast weighting, rank normalization, sign-split long/short, equal-weight, inverse-vol. |
| Transforms (~16) | Rolling normalization, smoothing, lag, decay, regime gates and scalers, signal-combiners. |
The remainder are data loaders, risk overlays (vol targeting, position caps, gross and net leverage limits), execution operators (buffered rebalancer, neutralization), and utility components that wire pipelines together. Every one is composable — you can stack them in arbitrary order, branch them, and store intermediate values for inspection.
The signal evaluation surface
The evaluators are the other half of the toolkit. They consume the same pipeline that produces a signal. That alignment is the thing — the IC you compute in research is exactly the IC the live broker sees, because both read the same pipeline output.
- Information coefficient (Pearson and Spearman). Per-bar cross-sectional correlation between factor and forward return at a chosen horizon. Spearman default.
- Rolling IC and ICIR-equivalent stability. Sliding-window mean and standard deviation of IC. Sharpe-style ratio. Distinguishes truly informative factors from lucky ones.
- Half-life and decay curve. Bars until IC halves; full IC-by-horizon plot. Sets the natural rebalance horizon and reveals whether you have a fast or slow signal.
- Quantile spread. Forward return of top decile minus bottom decile. Tests monotonicity — many high-IC factors lack a clean monotone payoff, which is a warning sign.
- Turnover and cost sensitivity. What fraction of the cross-section changes deciles per bar, and what the quantile spread looks like net of realistic fees and slippage. The honest filter that kills the prettiest paper factors.
Hyperliquid-tuned defaults
The components ship with defaults appropriate for HL perp data: 15-minute price bars, 1-hour funding, ~220 markets, fee schedule from the HL maker/taker tiers. Funding is a first-class input, not a footnote. Data loaders standardize units across the universe so cross-sectional rankings are comparing apples to apples. The regime detectors are conditioned on HL-specific regime structure, not transplanted from equity research.
The implication: a momentum or carry factor you build with Keel components is HL-shaped by default. You can change the defaults for a different venue if you ever leave HL — but Keel is built for the case where you do not.
On the roadmap: a stamped factor catalog
A public catalog with one page per factor — `/factor/cross-sectional-momentum-7d` and so on — showing IC, ICIR, half-life, decay curve, and turnover on a standard HL universe at a standard cost model. Until it ships, you can compute the same numbers against your own universe and cost model with the toolkit above.
Try it
Compose a factor from the 199 components, run the evaluators against the HL universe, and decide whether it earns a spot in a strategy.