Reproduce “Regime-Aware Interpretable Ranking for Sector Rotation” on OpenResearch
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About this paper
Kelvin J.L. Koa, Ziling Liu, Xinyang Li, Shuowei Feng, Ruoyu Liang, Mathieu Giroux, Eugene Y. Wen, Xuan Yao and 2 more
RegimeRank ranks 22 long/short sector actions using histories of fundamental and technical signals, summarized as trend, volatility, and persistence. It conditions signals on learned macro states and models relationships among sectors, producing an ordering rather than exact return forecasts. In out-of-sample mean Spearman rank correlation, it scores 0.0997 versus 0.0708 for Diffusion, the strongest baseline; this tests rankings, not costed portfolio returns.
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