【新功能上线】因子研究看板和因子分析功能

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标签: #<Tag:0x00007fcf660f32e0>

(scolo) #22

我在这个模板,测试30日的收益率。用了return_21 和 close_0/close_(30+1) 2种表达式都会报错。


(adhaha111) #23

您好,return_21 和 close_0/close_(30+1) 并不属于预计算因子,您可以参考下相关文档:A股预计算因子


(scolo) #24

似乎这个预计算因子 只能通过基础特征抽取模块来获得数据,但是这样的数据不是不能输入因子分析模块了吗?那如果要做因子分析,就只能自己构建因子分析框架吗?


(adhaha111) #25

您也可以通过 shift(return_0, 21) 来达到相同的效果:

克隆策略

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    In [ ]:
    # 本代码由可视化策略环境自动生成 2020年9月14日 16:13
    # 本代码单元只能在可视化模式下编辑。您也可以拷贝代码,粘贴到新建的代码单元或者策略,然后修改。
    
    
    m2 = M.input_features.v1(
        features="""
    # #号开始的表示注释,注释需单独一行
    # 多个特征,每行一个,可以包含基础特征和衍生特征,特征须为本平台特征
    shift(close_0, 21)
    close_0/shift(close_0, 31)
    close_0/close_(30+1)"""
    )
    
    m1 = M.factorlens.v1(
        features=m2.data,
        title='因子分析: {factor_name}',
        start_date='2019-01-01',
        end_date='2019-12-31',
        rebalance_period=22,
        stock_pool='全市场',
        quantile_count=5,
        commission_rate=0.0016,
        returns_calculation_method='累乘',
        benchmark='无',
        drop_price_limit_stocks=True,
        drop_st_stocks=True,
        drop_new_stocks=True,
        normalization=True,
        neutralization=['行业', '市值'],
        metrics=['因子表现概览', '因子分布', '因子行业分布', '因子市值分布', 'IC分析', '买入信号重合分析', '因子估值分析', '因子拥挤度分析', '因子值最大/最小股票', '表达式因子值', '多因子相关性分析']
    )