因子分析是不是数据库出现问题了。。。?

策略分享
标签: #<Tag:0x00007f492766fb58>

(erlong_2) #1

昨天用同样策略跑同样因子,跟今天结果截然不同。同时,打开因子研究里会发现所有因子在任何时间里都是负收益。。似乎数据出了些问题?

克隆策略

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    In [10]:
    # 本代码由可视化策略环境自动生成 2020年9月10日 17:11
    # 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。
    
    
    m1 = 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
    # WorldQuant Alpha 101
     
    turn_0
    return_6
    fs_roe_0
    fs_eps_0
    fs_bps_0
    """
    )
    
    m2 = M.factorlens.v1(
        features=m1.data,
        title='因子分析: {factor_name}',
        start_date='2019-09-01',
        end_date='2020-09-01',
        rebalance_period=1,
        stock_pool='全市场',
        quantile_count=5,
        commission_rate=0.003,
        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']
    )
    
    { "type": "factor-track", "data": { "exprs": ["turn_0", "return_6", "fs_roe_0", "fs_eps_0", "fs_bps_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

    分析结果

    因子名称 因子 最低分位累计收益 最高分位累计收益 最低分位近1年收益 最高分位近1年收益 最低分位近1月收益 最高分位近1月收益 IC均值 IR值 拥挤度 估值
    因子1 turn_0 -33.35% -71.87% -33.35% -71.87% -3.30% -12.03% -0.07 -0.72 0.14 0.64
    因子2 return_6 -39.60% -68.21% -39.60% -68.21% -5.46% -11.18% -0.06 -0.59 0.45 0.77
    因子3 fs_roe_0 -55.98% -38.63% -55.98% -38.63% -6.51% -5.61% 0.02 0.40 0.79 0.60
    因子4 fs_eps_0 -56.29% -37.45% -56.29% -37.45% -7.17% -5.56% 0.03 0.41 0.81 0.69
    因子5 fs_bps_0 -54.39% -40.74% -54.39% -40.74% -6.91% -5.26% 0.02 0.40 1.08 1.42

    因子分析: turn_0

    { "type": "factor-track", "data": { "exprs": ["turn_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

    因子表现概览

      累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
    最小分位 -33.35% -33.35% 1.02% -3.30% -1.19% -0.04% 36.67% 0.86 0.46 -1.98 21.76%
    最大分位 -71.87% -71.87% -21.61% -12.03% -1.33% 0.74% 73.12% 0.72 0.38 -4.91 26.68%
    多空组合 52.57% 52.57% 13.23% 4.78% 0.06% -0.39% 1.31% 1.96 0.71 8.34 4.85%

    基本特征分析

    IC分析

    IC均值

    -0.07

    IC标准差

    0.10

    IR值

    -0.72

    |IC| > 0.02比率

    86.36%

    买入信号重合分析

    因子估值分析

    因子拥挤度分析

    因子值最小的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    千山退 300216.SZA 0.0054
    中油资本 000617.SZA 0.0316
    中国石油 601857.SHA 0.0439
    中信银行 601998.SHA 0.0447
    农业银行 601288.SHA 0.0492
    工商银行 601398.SHA 0.0581
    珠江钢琴 002678.SZA 0.0637
    上港集团 600018.SHA 0.0697
    本钢板材 000761.SZA 0.0703
    陆家嘴 600663.SHA 0.0741
    京能电力 600578.SHA 0.0741
    中煤能源 601898.SHA 0.0778
    广州港 601228.SHA 0.0803
    招商蛇口 001979.SZA 0.0851
    宁沪高速 600377.SHA 0.0872
    桂冠电力 600236.SHA 0.0879
    重庆水务 601158.SHA 0.0884
    中国银行 601988.SHA 0.0887
    中国石化 600028.SHA 0.0918
    顺发恒业 000631.SZA 0.0990

    因子值最大的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    东方电热 300217.SZA 21.0859
    金太阳 300606.SZA 21.1964
    怡达股份 300721.SZA 21.2187
    秀强股份 300160.SZA 22.0047
    超频三 300647.SZA 23.9520
    神农科技 300189.SZA 24.1886
    西菱动力 300733.SZA 24.4766
    建研院 603183.SHA 25.0121
    西部牧业 300106.SZA 25.6673
    科融环境 300152.SZA 26.4199
    鹏翎股份 300375.SZA 27.8691
    中源家居 603709.SHA 28.2078
    晓程科技 300139.SZA 28.2579
    汇金股份 300368.SZA 28.9733
    威唐工业 300707.SZA 29.0446
    江龙船艇 300589.SZA 29.2307
    焦点科技 002315.SZA 30.4219
    乐歌股份 300729.SZA 30.6833
    锦鸡股份 300798.SZA 33.1107
    筑博设计 300564.SZA 34.9427

    因子分析: return_6

    { "type": "factor-track", "data": { "exprs": ["return_6"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

    因子表现概览

      累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
    最小分位 -39.60% -39.60% 0.07% -5.46% -1.46% -0.23% 42.52% 0.87 0.45 -1.98 26.37%
    最大分位 -68.21% -68.21% -21.25% -11.18% -1.13% 1.14% 69.07% 0.74 0.35 -5.44 22.01%
    多空组合 38.18% 38.18% 12.70% 3.18% -0.16% -0.69% 2.44% 1.50 0.66 5.66 5.34%

    基本特征分析

    IC分析

    IC均值

    -0.06

    IC标准差

    0.10

    IR值

    -0.59

    |IC| > 0.02比率

    86.36%

    买入信号重合分析

    因子估值分析

    因子拥挤度分析

    因子值最小的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    千山退 300216.SZA 0.4796
    广东榕泰 600589.SHA 0.7500
    金力泰 300225.SZA 0.7613
    深物业A 000011.SZA 0.7622
    松霖科技 603992.SHA 0.7678
    闽东电力 000993.SZA 0.7777
    山煤国际 600546.SHA 0.7782
    来伊份 603777.SHA 0.7838
    信隆健康 002105.SZA 0.7870
    深赛格 000058.SZA 0.7923
    诚迈科技 300598.SZA 0.8038
    盐田港 000088.SZA 0.8082
    保龄宝 002286.SZA 0.8216
    百傲化学 603360.SHA 0.8223
    海汽集团 603069.SHA 0.8253
    天下秀 600556.SHA 0.8273
    鹿港文化 601599.SHA 0.8293
    朗源股份 300175.SZA 0.8351
    金龙羽 002882.SZA 0.8381
    协鑫集成 002506.SZA 0.8405

    因子值最大的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    中电环保 300172.SZA 1.3646
    华伍股份 300095.SZA 1.3719
    神农科技 300189.SZA 1.3796
    腾邦国际 300178.SZA 1.3854
    泰胜风能 300129.SZA 1.3909
    科大智能 300222.SZA 1.4041
    田中精机 300461.SZA 1.4179
    通裕重工 300185.SZA 1.4188
    云意电气 300304.SZA 1.4220
    吉林森工 600189.SHA 1.4314
    森远股份 300210.SZA 1.4361
    秀强股份 300160.SZA 1.4401
    南风股份 300004.SZA 1.4558
    江龙船艇 300589.SZA 1.5040
    珈伟新能 300317.SZA 1.5195
    派生科技 300176.SZA 1.5232
    科融环境 300152.SZA 1.6804
    永清环保 300187.SZA 1.7099
    西部牧业 300106.SZA 1.7431
    汇金股份 300368.SZA 1.7849

    因子分析: fs_roe_0

    { "type": "factor-track", "data": { "exprs": ["fs_roe_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

    因子表现概览

      累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
    最小分位 -55.98% -55.98% -9.82% -6.51% -1.67% 0.20% 57.39% 0.76 0.41 -3.90 22.06%
    最大分位 -38.63% -38.63% -1.46% -5.61% -0.47% 0.21% 41.33% 0.80 0.47 -2.22 23.18%
    多空组合 -15.40% -15.40% -4.38% -0.50% -0.61% -0.00% 15.47% 0.79 0.30 -7.63 2.73%

    基本特征分析

    IC分析

    IC均值

    0.02

    IC标准差

    0.06

    IR值

    0.40

    |IC| > 0.02比率

    76.03%

    买入信号重合分析

    因子估值分析

    因子拥挤度分析

    因子值最小的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    佳沃股份 300268.SZA -440.2975
    邦讯技术 300312.SZA -124.0731
    鹿港文化 601599.SHA -97.6118
    华谊嘉信 300071.SZA -97.3785
    吉艾科技 300309.SZA -71.0865
    唐德影视 300426.SZA -56.3614
    东方网力 300367.SZA -45.3751
    准油股份 002207.SZA -41.8002
    东易日盛 002713.SZA -41.2130
    天龙光电 300029.SZA -39.3077
    华东数控 002248.SZA -37.3026
    海默科技 300084.SZA -35.4623
    云南城投 600239.SHA -32.7506
    联建光电 300269.SZA -27.5441
    美邦服饰 002269.SZA -26.5369
    吉药控股 300108.SZA -26.0230
    海航控股 600221.SHA -25.6009
    亚星客车 600213.SHA -25.3600
    豫金刚石 300064.SZA -23.1602
    宜华健康 000150.SZA -20.0557

    因子值最大的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    田中精机 300461.SZA 34.4744
    向日葵 300111.SZA 34.6469
    达安基因 002030.SZA 35.0486
    华盛昌 002980.SZA 35.4098
    鹏博士 600804.SHA 35.7178
    紫光学大 000526.SZA 35.8845
    宝莱特 300246.SZA 36.7515
    誉衡药业 002437.SZA 36.9996
    牧原股份 002714.SZA 38.2214
    天邦股份 002124.SZA 42.0507
    道恩股份 002838.SZA 43.2172
    姚记科技 002605.SZA 45.9736
    好想你 002582.SZA 50.0416
    振德医疗 603301.SHA 53.8775
    昆仑万维 300418.SZA 55.0702
    东方生物 688298.SHA 67.4407
    英科医疗 300677.SZA 74.4890
    株冶集团 600961.SHA 95.6889
    獐子岛 002069.SZA 182.9070
    宁波东力 002164.SZA 192.6874

    因子分析: fs_eps_0

    { "type": "factor-track", "data": { "exprs": ["fs_eps_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

    因子表现概览

      累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
    最小分位 -56.29% -56.29% -10.00% -7.17% -1.67% 0.09% 57.58% 0.73 0.42 -3.94 22.01%
    最大分位 -37.45% -37.45% -1.38% -5.56% -0.72% 0.14% 40.11% 0.79 0.47 -2.18 22.76%
    多空组合 -16.48% -16.48% -4.52% -0.88% -0.48% -0.03% 16.54% 0.72 0.33 -7.67 2.88%

    基本特征分析

    IC分析

    IC均值

    0.03

    IC标准差

    0.06

    IR值

    0.41

    |IC| > 0.02比率

    73.97%

    买入信号重合分析

    因子估值分析

    因子拥挤度分析

    因子值最小的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    佳沃股份 300268.SZA -1.9389
    海默科技 300084.SZA -1.4912
    鹿港文化 601599.SHA -1.1500
    当代文体 600136.SHA -1.1100
    江西长运 600561.SHA -0.8700
    欣锐科技 300745.SZA -0.8600
    中国软件 600536.SHA -0.8300
    金逸影视 002905.SZA -0.8300
    三特索道 002159.SZA -0.8200
    安恒信息 688023.SHA -0.8100
    万达电影 002739.SZA -0.7537
    首旅酒店 600258.SHA -0.7107
    海航控股 600221.SHA -0.7035
    中国国航 601111.SHA -0.6900
    立华股份 300761.SZA -0.6894
    华英农业 002321.SZA -0.6521
    上海电影 601595.SHA -0.6400
    泰禾集团 000732.SZA -0.6355
    德尔股份 300473.SZA -0.6253
    百奥泰-U 688177.SHA -0.6200

    因子值最大的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    扬农化工 600486.SHA 2.6680
    五粮液 000858.SZA 2.7970
    迈瑞医疗 300760.SZA 2.8409
    牧原股份 002714.SZA 2.9300
    明德生物 002932.SZA 3.0100
    海螺水泥 600585.SHA 3.0300
    昆仑万维 300418.SZA 3.1800
    长春高新 000661.SZA 3.2400
    洋河股份 002304.SZA 3.5912
    迈为股份 300751.SZA 3.6400
    中国平安 601318.SHA 3.8800
    华大基因 300676.SZA 4.1349
    东方生物 688298.SHA 4.3700
    好想你 002582.SZA 4.4900
    振德医疗 603301.SHA 5.0400
    硕世生物 688399.SHA 5.2500
    石头科技 688169.SHA 7.5300
    吉比特 603444.SHA 7.6700
    英科医疗 300677.SZA 9.3000
    贵州茅台 600519.SHA 17.9900

    因子分析: fs_bps_0

    { "type": "factor-track", "data": { "exprs": ["fs_bps_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

    因子表现概览

      累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
    最小分位 -54.39% -54.39% -9.21% -6.91% -1.12% 0.32% 55.96% 0.78 0.41 -3.65 22.51%
    最大分位 -40.74% -40.74% -3.32% -5.26% -0.94% 0.15% 43.19% 0.77 0.47 -2.43 22.67%
    多空组合 -12.27% -12.27% -3.09% -0.87% -0.09% 0.09% 12.38% 0.64 0.35 -8.22 2.07%

    基本特征分析

    IC分析

    IC均值

    0.02

    IC标准差

    0.05

    IR值

    0.40

    |IC| > 0.02比率

    68.18%

    买入信号重合分析

    因子估值分析

    因子拥挤度分析

    因子值最小的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    千山退 300216.SZA -7.6393
    株冶集团 600961.SHA -2.5774
    佳沃股份 300268.SZA -1.1596
    大唐电信 600198.SHA -0.0919
    华谊嘉信 300071.SZA 0.0586
    獐子岛 002069.SZA 0.0591
    向日葵 300111.SZA 0.0638
    邦讯技术 300312.SZA 0.0684
    华东数控 002248.SZA 0.1462
    天龙光电 300029.SZA 0.1465
    祥龙电业 600769.SHA 0.1543
    准油股份 002207.SZA 0.1738
    大东海A 000613.SZA 0.1974
    众应互联 002464.SZA 0.2080
    吉峰科技 300022.SZA 0.2101
    唐德影视 300426.SZA 0.2236
    莲花健康 600186.SHA 0.2479
    园城黄金 600766.SHA 0.2711
    中公教育 002607.SZA 0.2830
    亚太实业 000691.SZA 0.2857

    因子值最大的20只股票 (2020-09-01)

    股票名称 股票代码 因子值
    久日新材 688199.SHA 23.6896
    招商银行 600036.SHA 23.7298
    兴业银行 601166.SHA 23.9554
    洋河股份 002304.SZA 24.3815
    力生制药 002393.SZA 24.5285
    恒林股份 603661.SHA 25.9189
    兆丰股份 300695.SZA 26.4190
    云南白药 000538.SZA 28.4319
    迈为股份 300751.SZA 28.8845
    新华保险 601336.SHA 29.2196
    昊海生科 688366.SHA 29.7769
    大商股份 600694.SHA 30.8039
    国药一致 000028.SZA 30.8319
    华峰测控 688200.SHA 32.6740
    凯迪股份 605288.SHA 37.2735
    中国平安 601318.SHA 38.4011
    财富趋势 688318.SHA 41.2315
    吉比特 603444.SHA 45.9992
    石头科技 688169.SHA 92.7049
    贵州茅台 600519.SHA 109.2396
    bigcharts-data-start/{"__type":"tabs","__id":"bigchart-bf7b79c9ea9d4e72bede8e4154d12a38"}/bigcharts-data-end

    (lu0817) #2

    固定一下随机参数


    (erlong_2) #3

    请问怎么固定呀。。
    抱歉,我很多操作还不熟悉。。


    (lu0817) #4

    主要有
    tf.set_random_seed(0)
    np.random.seed(0)
    不知道平台还用了那些库,请请教管理员


    (adhaha111) #5

    您好,您再试下呢,暂时这边没出现这种情况

    克隆策略

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/></DataV1>"},"DisableNodesUpdate":false,"Category":"user","Tags":[],"IsPartialRun":true}
      In [4]:
      # 本代码由可视化策略环境自动生成 2020年9月14日 09:03
      # 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。
      
      
      m1 = 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
      # WorldQuant Alpha 101
       
      turn_0
      return_6
      fs_roe_0
      fs_eps_0
      fs_bps_0"""
      )
      
      m2 = M.factorlens.v1(
          features=m1.data,
          title='因子分析: {factor_name}',
          start_date='2019-09-01',
          end_date='2020-09-01',
          rebalance_period=1,
          stock_pool='全市场',
          quantile_count=5,
          commission_rate=0.003,
          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']
      )
      
      { "type": "factor-track", "data": { "exprs": ["turn_0", "return_6", "fs_roe_0", "fs_eps_0", "fs_bps_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

      分析结果

      因子分析: turn_0

      { "type": "factor-track", "data": { "exprs": ["turn_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

      因子表现概览

        累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
      最小分位 -33.35% -33.35% 1.02% -3.30% -1.19% -0.04% 36.67% 0.86 0.46 -1.98 21.76%
      最大分位 -71.87% -71.87% -21.61% -12.03% -1.33% 0.74% 73.12% 0.72 0.38 -4.91 26.68%
      多空组合 52.57% 52.57% 13.23% 4.78% 0.06% -0.39% 1.31% 1.96 0.71 8.34 4.85%

      因子分析: return_6

      { "type": "factor-track", "data": { "exprs": ["return_6"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

      因子表现概览

        累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
      最小分位 -39.60% -39.60% 0.07% -5.46% -1.46% -0.23% 42.52% 0.87 0.45 -1.98 26.37%
      最大分位 -68.21% -68.21% -21.25% -11.18% -1.13% 1.14% 69.07% 0.74 0.35 -5.44 22.01%
      多空组合 38.18% 38.18% 12.70% 3.18% -0.16% -0.69% 2.44% 1.50 0.66 5.66 5.34%

      因子分析: fs_roe_0

      { "type": "factor-track", "data": { "exprs": ["fs_roe_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

      因子表现概览

        累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
      最小分位 -55.98% -55.98% -9.82% -6.51% -1.67% 0.20% 57.39% 0.76 0.41 -3.90 22.06%
      最大分位 -38.63% -38.63% -1.46% -5.61% -0.47% 0.21% 41.33% 0.80 0.47 -2.22 23.18%
      多空组合 -15.40% -15.40% -4.38% -0.50% -0.61% -0.00% 15.47% 0.79 0.30 -7.63 2.73%

      因子分析: fs_eps_0

      { "type": "factor-track", "data": { "exprs": ["fs_eps_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

      因子表现概览

        累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
      最小分位 -56.29% -56.29% -10.00% -7.17% -1.67% 0.09% 57.58% 0.73 0.42 -3.94 22.01%
      最大分位 -37.45% -37.45% -1.38% -5.56% -0.72% 0.14% 40.11% 0.79 0.47 -2.18 22.76%
      多空组合 -16.48% -16.48% -4.52% -0.88% -0.48% -0.03% 16.54% 0.72 0.33 -7.67 2.88%

      因子分析: fs_bps_0

      { "type": "factor-track", "data": { "exprs": ["fs_bps_0"], "options": {"BacktestInterval": ["2019-09-01", "2020-09-01"], "Benchmark": "none", "StockPool": "all", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 1, "QuantileCount": 5, "CommissionRates": 0.003, "Normalization": 1, "Neutralization": "industry,size", "RebalancePeriod": 1, "ReturnsCalculationMethod": "cumprod", "_HASH": "b662028e48bef6c0568af5c2cf2404d7"} } }

      因子表现概览

        累计收益 近1年收益 近3月收益 近1月收益 近1周收益 昨日收益 最大回撤 盈亏比 胜率 夏普比率 收益波动率
      最小分位 -54.39% -54.39% -9.21% -6.91% -1.12% 0.32% 55.96% 0.78 0.41 -3.65 22.51%
      最大分位 -40.74% -40.74% -3.32% -5.26% -0.94% 0.15% 43.19% 0.77 0.47 -2.43 22.67%
      多空组合 -12.27% -12.27% -3.09% -0.87% -0.09% 0.09% 12.38% 0.64 0.35 -8.22 2.07%
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