How to implement Cross-sectional operators in Formulaic Alphas construction? #2039
Description
❓ Questions and Help
When I conduct Formulaic Alphas construction I find that the built-in operators of Qlib has no Cross-Sectional ones. For example I want to do Cross-sectional rank normalization within a day and mapped to the range [0, 1] on a feature (e.g. $volume) but there is NO way to do this with built-in operators. Further more I find it is hard to implement such an operator with Qlib framework. Does anyone meet similar situation, and how do you deal with it? Many thanks in advance for your sharing!