因子收益及风险分析

# 因子收益及风险分析

定义

M.strategy_ret_risk_analysis.v1(backtest_ds=)

参数

  • 无参数

返回

  • data,因子收益及风险分析分析结果

返回类型:Outputs

工作流截图

示例代码

# m2为回测模块
M3 = M.strategy_ret_risk_analysis.v1(
    backtest_ds=m2.raw_perf
)

运行结果

[2019-07-16 18:25:04.273805] INFO: bigquant: instruments.v2 开始运行..
[2019-07-16 18:25:04.335230] INFO: bigquant: 命中缓存
[2019-07-16 18:25:04.338747] INFO: bigquant: instruments.v2 运行完成[0.064929s].
[2019-07-16 18:25:04.342587] INFO: bigquant: advanced_auto_labeler.v2 开始运行..
[2019-07-16 18:25:04.382672] INFO: bigquant: 命中缓存
[2019-07-16 18:25:04.391127] INFO: bigquant: advanced_auto_labeler.v2 运行完成[0.048517s].
[2019-07-16 18:25:04.394239] INFO: bigquant: input_features.v1 开始运行..
[2019-07-16 18:25:04.448678] INFO: bigquant: 命中缓存
[2019-07-16 18:25:04.452095] INFO: bigquant: input_features.v1 运行完成[0.057831s].
[2019-07-16 18:25:04.502912] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-07-16 18:25:04.536489] INFO: bigquant: 命中缓存
[2019-07-16 18:25:04.538530] INFO: bigquant: general_feature_extractor.v7 运行完成[0.035621s].
[2019-07-16 18:25:04.541072] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-07-16 18:25:04.581722] INFO: bigquant: 命中缓存
[2019-07-16 18:25:04.585448] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.044355s].
[2019-07-16 18:25:04.589416] INFO: bigquant: join.v3 开始运行..
[2019-07-16 18:25:04.619768] INFO: bigquant: 命中缓存
[2019-07-16 18:25:04.631664] INFO: bigquant: join.v3 运行完成[0.04223s].
[2019-07-16 18:25:04.634753] INFO: bigquant: dropnan.v1 开始运行..
[2019-07-16 18:25:04.694542] INFO: bigquant: 命中缓存
[2019-07-16 18:25:04.696719] INFO: bigquant: dropnan.v1 运行完成[0.061942s].
[2019-07-16 18:25:04.699637] INFO: bigquant: stock_ranker_train.v5 开始运行..
[2019-07-16 18:25:04.787102] INFO: bigquant: 命中缓存
[2019-07-16 18:25:05.021921] INFO: bigquant: stock_ranker_train.v5 运行完成[0.322251s].
[2019-07-16 18:25:05.026086] INFO: bigquant: instruments.v2 开始运行..
[2019-07-16 18:25:05.071731] INFO: bigquant: 命中缓存
[2019-07-16 18:25:05.073988] INFO: bigquant: instruments.v2 运行完成[0.047892s].
[2019-07-16 18:25:05.115689] INFO: bigquant: general_feature_extractor.v7 开始运行..
[2019-07-16 18:25:05.186604] INFO: bigquant: 命中缓存
[2019-07-16 18:25:05.189068] INFO: bigquant: general_feature_extractor.v7 运行完成[0.073371s].
[2019-07-16 18:25:05.191949] INFO: bigquant: derived_feature_extractor.v3 开始运行..
[2019-07-16 18:25:05.273005] INFO: bigquant: 命中缓存
[2019-07-16 18:25:05.275713] INFO: bigquant: derived_feature_extractor.v3 运行完成[0.083729s].
[2019-07-16 18:25:05.280314] INFO: bigquant: dropnan.v1 开始运行..
[2019-07-16 18:25:05.317482] INFO: bigquant: 命中缓存
[2019-07-16 18:25:05.319733] INFO: bigquant: dropnan.v1 运行完成[0.039417s].
[2019-07-16 18:25:05.322684] INFO: bigquant: stock_ranker_predict.v5 开始运行..
[2019-07-16 18:25:05.358776] INFO: bigquant: 命中缓存
[2019-07-16 18:25:05.361093] INFO: bigquant: stock_ranker_predict.v5 运行完成[0.038385s].
[2019-07-16 18:25:05.567680] INFO: bigquant: backtest.v8 开始运行..
[2019-07-16 18:25:05.654213] INFO: bigquant: 命中缓存
[2019-07-16 18:25:07.190627] INFO: bigquant: backtest.v8 运行完成[1.622955s].
[2019-07-16 18:25:07.194779] INFO: bigquant: strategy_ret_risk_analysis.v1 开始运行..
[2019-07-16 18:25:07.236071] INFO: bigquant: 命中缓存
[2019-07-16 18:25:10.171488] INFO: bigquant: strategy_ret_risk_analysis.v1 运行完成[2.976676s].

输出图表