It's my assignment for investment seminar in university.
I ranked the size,momentum,volatility and volume factor separately and then make a sum rank for these four factors.
And my results are in notebook.
But the volume factors turns out to be the same, so volume factors seems like meaningless to the overnight return in this case.
You can also check up my last post for the volume factor problem: https://www.quantopian.com/posts/why-the-volume-data-are-the-same-ranking-the-stock-based-on-four-factor-model
Make a ranking for every four factor and the sum of four factors
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