I'm looking for simple alpha factor combination techniques (compatible with the limitations of Pipeline).
Beyond the canonical sum-of-z-scored-factors technique, what might work better? Linear combination, with each factor weighted by its IC Mean or Risk-Adjusted IC from Alphlens? Compute some rolling metric of the variation in each factor, and weight each factor by its inverse? Weight on an individual stock basis, versus at the alpha factor level? Etc.
At this point, I'm not interested in fancy ML techniques...I'd like to start with something computationally lightweight (and easy to code, as well).