Cross-Sectional Winsorize

What it does

Clips a column to its lower and upper percentiles at each pick so one outlier cannot dominate.

What happens

Used only inside a Universe. It runs at the universe's refresh or pick instants over every allowed coin, using only data that had closed by then, and its wires carry coin sets, per-coin columns or selections rather than one value per bar.

When to use

Before a z-score or a weighted combination.

Gotchas

• Bounds are fractions, e.g. 0.05 and 0.95.