[Feature Request] Concise Factor-Based Algorithms

[DerekMelchin]

Expected Behavior

We can simply calculate factor scores for each asset in a universe, where LEAN manages the required dataset and rebalancing for us.

class FactorAlgorithm(QCAlgorithm):
    
    def __init__(self):
        universe_settings.resolution = Resolution.DAILY
        universe = self.add_universe(
            lambda fundamentals: [f.symbol for f in sorted(fundamentals, key=lambda f: f.market_cap)[-10:]]
        )
        universe.add_factors([InverseCorrelation(252, Field.OPEN)])


class InverseCorrelation(CrossAssetFactor):

    def update(self, data):
        factor_value_by_symbol = 1/data.dropna(axis=1).corr().abs().sum()
        return factor_value_by_symbol / factor_value_by_symbol.sum()

Actual Behavior

Not currently supported

Potential Solution

N/A

Reproducing the Problem

System Information

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