QuantWeftYuxiao Ma
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Project 5 Preparation-Layer Data Dictionary

A. Data actually used by the preparation layer (real, aggregated, revised)

Field Meaning Unit Primary key Time field Missingness and convention
month Calendar month covered by industry-portfolio returns, PeriodIndex(freq="M") Month Row (unique, increasing, contiguous) event_time (the month containing the return interval); no available_at The shared monthly validator rejects missing months, duplicates, and disorder in the training segment, and requires train_end to exist. The diagnostic segment's index must exactly equal the complete monthly sequence from the month after train_end through test_end; validate_monthly_frame checks its values. Data after test_end is not checked.
NoDur…Other (10 columns) Monthly simple returns for 10 value-weighted industry portfolios in the French database Decimal month × industry Same as above Revised historical data, not point-in-time vintages; processed-data hash is in data/manifests/french_industries_2026-10-05.json
<industry>_TR_proxy Total-return index proxy formed by compounding monthly returns, starting at 100 Index points month × industry Same as above Descriptive transformation, not a tradable price; total_return_index_proxy
<industry> (log level) ln(TR proxy), the object used for screening and the hedge ratio Log points month × industry Same as above Cointegration is a statement about levels, so it is tested on log levels

B. Screening outputs

Field Meaning Unit
series_1, series_2, n_train Unordered pair (lexicographic order) tested and number of training months — / months
statistic, pvalue Engle–Granger statistic and MacKinnon p-value (statsmodels coint, with an intercept) Dimensionless
qvalue_bh Benjamini–Hochberg adjusted p-value Dimensionless
alpha, beta Training-segment log-level OLS: series_1 = alpha + beta × series_2 Log points / dimensionless (ratio in log-index units, not a capital weight)
corr_log_levels_train, corr_monthly_log_returns_train Training-segment log-level correlation and monthly log-return correlation Dimensionless
half_life_train_months, half_life_test_months AR(1) half-life of the frozen spread in the training and subsequent windows (infinity when phi is not in (0, 1)) Months
spread_sd_train, spread_sd_test, test_mean_spread_in_train_sd Spread standard deviations and subsequent-window mean relative to the training spread standard deviation Log points / dimensionless
adf_pvalue_test_frozen_spread ADF p-value for the frozen spread in the subsequent window (the hedge ratio is frozen, so the ordinary ADF p-value is used) Dimensionless

C. Fields required by complete Project 5 but absent from this layer

Field Required convention
adj_close, dividend, split_factor Security-level adjusted prices and corporate actions, source and license record, hash, unit, and currency
trade_calendar Trading calendar, holidays, and halts; needed to execute at the next tradable time after the close signal
borrow_available, borrow_fee, recall_flag Borrow availability, fee, and recall by date (available_at)
bid, ask, volume Convention for two-leg costs and capacity
delisting_return, universe_membership Historical universe membership, delisting, and total return
event_time, available_at, signal_time, trade_time, return_interval Time fields for each input; available_at ≤ signal_time < trade_time

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