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    {"description":"实验创建于2020/2/14","graph":{"edges":[{"to_node_id":"-3626:features","from_node_id":"-70:data"},{"to_node_id":"-3619:factors_info","from_node_id":"-3626:save_data"}],"nodes":[{"node_id":"-70","module_id":"BigQuantSpace.input_features.input_features-v1","parameters":[{"name":"features","value":"\n# #号开始的表示注释，注释需单独一行\n# 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\nvolume_0/volume_1\navg_amount_5\navg_turn_5\nswing_volatility_10_0/swing_volatility_60_0\nprice_limit_status_0 * turn_0 + volatility_60_0\n","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"features_ds","node_id":"-70"}],"output_ports":[{"name":"data","node_id":"-70"}],"cacheable":true,"seq_num":1,"comment":"","comment_collapsed":true},{"node_id":"-3619","module_id":"BigQuantSpace.factorlens_preservation.factorlens_preservation-v2","parameters":[{"name":"factor_fields","value":"# 定义因子名称\n# {\n# \"列名\": {'name': \"因子名\", 'desc': \"因子描述\"},\n# \"列名\": {'name': \"因子名\", 'desc': \"因子描述\"},\n# ... \n# }\n{}\n","type":"Literal","bound_global_parameter":null},{"name":"table","value":"","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"factors_info","node_id":"-3619"}],"output_ports":[{"name":"data","node_id":"-3619"}],"cacheable":false,"seq_num":3,"comment":"","comment_collapsed":true},{"node_id":"-3626","module_id":"BigQuantSpace.factorlens.factorlens-v2","parameters":[{"name":"title","value":"因子分析: {factor_name}","type":"Literal","bound_global_parameter":null},{"name":"start_date","value":"2018-01-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2022-05-01","type":"Literal","bound_global_parameter":null},{"name":"rebalance_period","value":"5","type":"Literal","bound_global_parameter":null},{"name":"delay_rebalance_days","value":"5","type":"Literal","bound_global_parameter":null},{"name":"rebalance_price","value":"close_0","type":"Literal","bound_global_parameter":null},{"name":"stock_pool","value":"沪深300","type":"Literal","bound_global_parameter":null},{"name":"quantile_count","value":"5","type":"Literal","bound_global_parameter":null},{"name":"commission_rate","value":0.0016,"type":"Literal","bound_global_parameter":null},{"name":"returns_calculation_method","value":"累乘","type":"Literal","bound_global_parameter":null},{"name":"benchmark","value":"无","type":"Literal","bound_global_parameter":null},{"name":"drop_new_stocks","value":60,"type":"Literal","bound_global_parameter":null},{"name":"drop_price_limit_stocks","value":"True","type":"Literal","bound_global_parameter":null},{"name":"drop_st_stocks","value":"True","type":"Literal","bound_global_parameter":null},{"name":"drop_suspended_stocks","value":"True","type":"Literal","bound_global_parameter":null},{"name":"cutoutliers","value":"True","type":"Literal","bound_global_parameter":null},{"name":"normalization","value":"True","type":"Literal","bound_global_parameter":null},{"name":"neutralization","value":"%7B%22enumItems%22%3A%5B%7B%22value%22%3A%22%E8%A1%8C%E4%B8%9A%22%2C%22displayValue%22%3A%22%E8%A1%8C%E4%B8%9A%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E5%B8%82%E5%80%BC%22%2C%22displayValue%22%3A%22%E5%B8%82%E5%80%BC%22%2C%22selected%22%3Atrue%7D%5D%7D","type":"Literal","bound_global_parameter":null},{"name":"metrics","value":"%7B%22enumItems%22%3A%5B%7B%22value%22%3A%22%E5%9B%A0%E5%AD%90%E8%A1%A8%E7%8E%B0%E6%A6%82%E8%A7%88%22%2C%22displayValue%22%3A%22%E5%9B%A0%E5%AD%90%E8%A1%A8%E7%8E%B0%E6%A6%82%E8%A7%88%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E5%9B%A0%E5%AD%90%E5%88%86%E5%B8%83%22%2C%22displayValue%22%3A%22%E5%9B%A0%E5%AD%90%E5%88%86%E5%B8%83%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E5%9B%A0%E5%AD%90%E8%A1%8C%E4%B8%9A%E5%88%86%E5%B8%83%22%2C%22displayValue%22%3A%22%E5%9B%A0%E5%AD%90%E8%A1%8C%E4%B8%9A%E5%88%86%E5%B8%83%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E5%9B%A0%E5%AD%90%E5%B8%82%E5%80%BC%E5%88%86%E5%B8%83%22%2C%22displayValue%22%3A%22%E5%9B%A0%E5%AD%90%E5%B8%82%E5%80%BC%E5%88%86%E5%B8%83%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22IC%E5%88%86%E6%9E%90%22%2C%22displayValue%22%3A%22IC%E5%88%86%E6%9E%90%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E4%B9%B0%E5%85%A5%E4%BF%A1%E5%8F%B7%E9%87%8D%E5%90%88%E5%88%86%E6%9E%90%22%2C%22displayValue%22%3A%22%E4%B9%B0%E5%85%A5%E4%BF%A1%E5%8F%B7%E9%87%8D%E5%90%88%E5%88%86%E6%9E%90%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E5%9B%A0%E5%AD%90%E4%BC%B0%E5%80%BC%E5%88%86%E6%9E%90%22%2C%22displayValue%22%3A%22%E5%9B%A0%E5%AD%90%E4%BC%B0%E5%80%BC%E5%88%86%E6%9E%90%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E5%9B%A0%E5%AD%90%E6%8B%A5%E6%8C%A4%E5%BA%A6%E5%88%86%E6%9E%90%22%2C%22displayValue%22%3A%22%E5%9B%A0%E5%AD%90%E6%8B%A5%E6%8C%A4%E5%BA%A6%E5%88%86%E6%9E%90%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E5%9B%A0%E5%AD%90%E5%80%BC%E6%9C%80%E5%A4%A7%2F%E6%9C%80%E5%B0%8F%E8%82%A1%E7%A5%A8%22%2C%22displayValue%22%3A%22%E5%9B%A0%E5%AD%90%E5%80%BC%E6%9C%80%E5%A4%A7%2F%E6%9C%80%E5%B0%8F%E8%82%A1%E7%A5%A8%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E8%A1%A8%E8%BE%BE%E5%BC%8F%E5%9B%A0%E5%AD%90%E5%80%BC%22%2C%22displayValue%22%3A%22%E8%A1%A8%E8%BE%BE%E5%BC%8F%E5%9B%A0%E5%AD%90%E5%80%BC%22%2C%22selected%22%3Atrue%7D%2C%7B%22value%22%3A%22%E5%A4%9A%E5%9B%A0%E5%AD%90%E7%9B%B8%E5%85%B3%E6%80%A7%E5%88%86%E6%9E%90%22%2C%22displayValue%22%3A%22%E5%A4%9A%E5%9B%A0%E5%AD%90%E7%9B%B8%E5%85%B3%E6%80%A7%E5%88%86%E6%9E%90%22%2C%22selected%22%3Atrue%7D%5D%7D","type":"Literal","bound_global_parameter":null},{"name":"factor_coverage","value":"0.5","type":"Literal","bound_global_parameter":null},{"name":"user_data_merge","value":"left","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"features","node_id":"-3626"},{"name":"user_factor_data","node_id":"-3626"}],"output_ports":[{"name":"data","node_id":"-3626"},{"name":"save_data","node_id":"-3626"}],"cacheable":true,"seq_num":4,"comment":"","comment_collapsed":true}],"node_layout":"<node_postions><node_position Node='-70' Position='441,313,200,200'/><node_position Node='-3619' Position='423,597,200,200'/><node_position Node='-3626' Position='421,472,200,200'/></node_postions>"},"nodes_readonly":false,"studio_version":"v2"}
    In [4]:
    # 本代码由可视化策略环境自动生成 2022年4月22日 16:55
# 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
volume_0/volume_1
avg_amount_5
avg_turn_5
swing_volatility_10_0/swing_volatility_60_0
price_limit_status_0 * turn_0 + volatility_60_0
"""
)

m4 = M.factorlens.v2(
    features=m1.data,
    title='因子分析: {factor_name}',
    start_date='2018-01-01',
    end_date='2022-05-01',
    rebalance_period=5,
    delay_rebalance_days=5,
    rebalance_price='close_0',
    stock_pool='沪深300',
    quantile_count=5,
    commission_rate=0.0016,
    returns_calculation_method='累乘',
    benchmark='无',
    drop_new_stocks=60,
    drop_price_limit_stocks=True,
    drop_st_stocks=True,
    drop_suspended_stocks=True,
    cutoutliers=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'],
    factor_coverage=0.5,
    user_data_merge='left'
)

m3 = M.factorlens_preservation.v2(
    factors_info=m4.save_data,
    factor_fields=# 定义因子名称
# {
#     "列名": {'name': "因子名", 'desc': "因子描述"},
#     "列名": {'name': "因子名", 'desc': "因子描述"},
#     ... 
# }
{}
,
    table=''
)
    { "type": "factor-track", "data": { "exprs": ["volume_0/volume_1", "avg_amount_5", "avg_turn_5", "swing_volatility_10_0/swing_volatility_60_0", "price_limit_status_0 * turn_0 + volatility_60_0"], "options": {"BacktestInterval": ["2018-01-01", "2022-05-01"], "Benchmark": "none", "StockPool": "in_csi300_0", "UserDataMerge": "left", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 60, "DropSuspendedStocks": 1, "QuantileCount": 5, "CommissionRates": 0.0016, "Cutoutliers": 1, "Normalization": 1, "Neutralization": "industry,size", "DelayRebalanceDays": 5, "RebalancePeriod": 5, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "cf8d6212be356cd6cfcd291ae24616de"} } }

    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 volume_0/volume_1 -28.33% -28.33% -7.84% -7.84% -0.80% -0.80% — 0.00 0.95 0.92
    因子2 avg_amount_5 -28.33% -28.33% -7.84% -7.84% -0.80% -0.80% — 0.00 0.42 0.41
    因子3 avg_turn_5 -28.33% -28.33% -7.84% -7.84% -0.80% -0.80% — 0.00 0.23 0.66
    因子4 swing_volatility_10_0/swing_volatility_60_0 -28.33% -28.33% -7.84% -7.84% -0.80% -0.80% — 0.00 0.90 0.53
    因子5 price_limit_status_0 * turn_0 + volatility_60_0 -28.33% -28.33% -7.84% -7.84% -0.80% -0.80% — 0.00 0.22 0.52

    因子分析: volume_0/volume_1

    { "type": "factor-track", "data": { "exprs": ["volume_0/volume_1"], "options": {"BacktestInterval": ["2018-01-01", "2022-05-01"], "Benchmark": "none", "StockPool": "in_csi300_0", "UserDataMerge": "left", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 60, "DropSuspendedStocks": 1, "QuantileCount": 5, "CommissionRates": 0.0016, "Cutoutliers": 1, "Normalization": 1, "Neutralization": "industry,size", "DelayRebalanceDays": 5, "RebalancePeriod": 5, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "cf8d6212be356cd6cfcd291ae24616de"} } }

    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 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    最大分位 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    多空组合 -0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00 1.00 -264955456699098.91 0.00%

    基本特征分析

    IC分析

    —

    —

    0.00

    0.00%

    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 (2022-04-20)

    股票名称 股票代码 因子值
    兴业证券 601377.SHA 0.3383
    国金证券 600109.SHA 0.4194
    智飞生物 300122.SZA 0.4418
    邮储银行 601658.SHA 0.4846
    招商银行 600036.SHA 0.5263
    星宇股份 601799.SHA 0.5479
    韦尔股份 603501.SHA 0.5563
    万泰生物 603392.SHA 0.5631
    华鲁恒升 600426.SHA 0.5925
    中国广核 003816.SZA 0.6015
    新希望 000876.SZA 0.6273
    牧原股份 002714.SZA 0.6289
    比亚迪 002594.SZA 0.6294
    恒逸石化 000703.SZA 0.6312
    正邦科技 002157.SZA 0.6367
    中国核电 601985.SHA 0.6412
    立讯精密 002475.SZA 0.6493
    天合光能 688599.SHA 0.6494
    环旭电子 601231.SHA 0.6632
    卓胜微 300782.SZA 0.6694

    因子值最大的20只股票 (2022-04-20)

    股票名称 股票代码 因子值
    苏泊尔 002032.SZA 1.7626
    成都银行 601838.SHA 1.7864
    百润股份 002568.SZA 1.8002
    保利发展 600048.SHA 1.8410
    中国电建 601669.SHA 1.8431
    青岛啤酒 600600.SHA 1.8453
    恒瑞医药 600276.SHA 1.8701
    晨光股份 603899.SHA 1.8731
    上海莱士 002252.SZA 1.8921
    东方财富 300059.SZA 1.9363
    领益智造 002600.SZA 1.9611
    迈瑞医疗 300760.SZA 2.1336
    宁德时代 300750.SZA 2.1693
    光大证券 601788.SHA 2.1718
    伊利股份 600887.SHA 2.2073
    京沪高铁 601816.SHA 2.2182
    长安汽车 000625.SZA 2.3583
    中炬高新 600872.SHA 2.5695
    南方航空 600029.SHA 2.6353
    完美世界 002624.SZA 2.9116

    因子分析: avg_amount_5

    { "type": "factor-track", "data": { "exprs": ["avg_amount_5"], "options": {"BacktestInterval": ["2018-01-01", "2022-05-01"], "Benchmark": "none", "StockPool": "in_csi300_0", "UserDataMerge": "left", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 60, "DropSuspendedStocks": 1, "QuantileCount": 5, "CommissionRates": 0.0016, "Cutoutliers": 1, "Normalization": 1, "Neutralization": "industry,size", "DelayRebalanceDays": 5, "RebalancePeriod": 5, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "cf8d6212be356cd6cfcd291ae24616de"} } }

    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 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    最大分位 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    多空组合 -0.00% -0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00 0.99 -152353082103803.41 0.00%

    基本特征分析

    IC分析

    —

    —

    0.00

    0.00%

    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 (2022-04-20)

    股票名称 股票代码 因子值
    中国通号 688009.SHA 31510889.0000
    中国卫通 601698.SHA 44509879.0000
    环旭电子 601231.SHA 47762748.5000
    大参林 603233.SHA 55841132.6667
    一汽解放 000800.SZA 61099633.6667
    上海临港 600848.SHA 61268702.0000
    稳健医疗 300888.SZA 65815305.1667
    安图生物 603658.SHA 66232264.3333
    苏泊尔 002032.SZA 75161917.0000
    视源股份 002841.SZA 80476285.8333
    公牛集团 603195.SHA 82381806.6667
    上海莱士 002252.SZA 86715261.3333
    豫园股份 600655.SHA 87360828.0000
    长江证券 000783.SZA 94504475.0000
    奇安信-U 688561.SHA 97888954.1667
    浙商银行 601916.SHA 98519082.3333
    安克创新 300866.SZA 106379800.5000
    金发科技 600143.SHA 106731229.5000
    美年健康 002044.SZA 111963012.0000
    中海油服 601808.SHA 113002249.8333

    因子值最大的20只股票 (2022-04-20)

    股票名称 股票代码 因子值
    复星医药 600196.SHA 1927493975.1667
    北方稀土 600111.SHA 1932238131.1667
    赣锋锂业 002460.SZA 2029489824.5000
    兴业银行 601166.SHA 2077531126.6667
    中国建筑 601668.SHA 2214004575.1667
    中银证券 601696.SHA 2283183276.5000
    天齐锂业 002466.SZA 2350615335.0000
    保利发展 600048.SHA 2354810675.3333
    智飞生物 300122.SZA 2674512830.0000
    中国中免 601888.SHA 2856932123.5000
    沃森生物 300142.SZA 2915542916.1667
    万科A 000002.SZA 3027353551.1667
    隆基股份 601012.SHA 3170501984.5000
    比亚迪 002594.SZA 3300494068.1667
    紫金矿业 601899.SHA 3373549279.6667
    五粮液 000858.SZA 4049095126.0000
    贵州茅台 600519.SHA 4732894812.3333
    招商银行 600036.SHA 5297814006.3333
    东方财富 300059.SZA 5698213868.5000
    宁德时代 300750.SZA 7394369217.3333

    因子分析: avg_turn_5

    { "type": "factor-track", "data": { "exprs": ["avg_turn_5"], "options": {"BacktestInterval": ["2018-01-01", "2022-05-01"], "Benchmark": "none", "StockPool": "in_csi300_0", "UserDataMerge": "left", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 60, "DropSuspendedStocks": 1, "QuantileCount": 5, "CommissionRates": 0.0016, "Cutoutliers": 1, "Normalization": 1, "Neutralization": "industry,size", "DelayRebalanceDays": 5, "RebalancePeriod": 5, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "cf8d6212be356cd6cfcd291ae24616de"} } }

    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 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    最大分位 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    多空组合 -0.00% -0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00 0.99 -114064552908609.06 0.00%

    基本特征分析

    IC分析

    —

    —

    0.00

    0.00%

    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 (2022-04-20)

    股票名称 股票代码 因子值
    中国人寿 601628.SHA 0.0344
    工商银行 601398.SHA 0.0634
    中国银行 601988.SHA 0.0648
    浦发银行 600000.SHA 0.0704
    工业富联 601138.SHA 0.0732
    中国人保 601319.SHA 0.0897
    中国石油 601857.SHA 0.0975
    农业银行 601288.SHA 0.1030
    海天味业 603288.SHA 0.1111
    华能水电 600025.SHA 0.1161
    京沪高铁 601816.SHA 0.1334
    长江电力 600900.SHA 0.1371
    中信银行 601998.SHA 0.1423
    民生银行 600016.SHA 0.1449
    中国石化 600028.SHA 0.1463
    华夏银行 600015.SHA 0.1648
    上海银行 601229.SHA 0.1729
    国信证券 002736.SZA 0.1729
    中国中车 601766.SHA 0.1739
    苏泊尔 002032.SZA 0.1749

    因子值最大的20只股票 (2022-04-20)

    股票名称 股票代码 因子值
    三七互娱 002555.SZA 2.0168
    英科医疗 300677.SZA 2.0573
    赣锋锂业 002460.SZA 2.0589
    复星医药 600196.SHA 2.0800
    红塔证券 601236.SHA 2.0865
    天齐锂业 002466.SZA 2.1743
    宝丰能源 600989.SHA 2.2349
    中公教育 002607.SZA 2.2515
    绝味食品 603517.SHA 2.2709
    卓胜微 300782.SZA 2.3267
    东鹏饮料 605499.SHA 2.3511
    东方财富 300059.SZA 2.3522
    智飞生物 300122.SZA 2.5102
    三峡能源 600905.SHA 2.6244
    金龙鱼 300999.SZA 2.7681
    完美世界 002624.SZA 2.8578
    正邦科技 002157.SZA 3.3400
    沃森生物 300142.SZA 3.4029
    华熙生物 688363.SHA 3.6028
    中银证券 601696.SHA 10.9986

    因子分析: swing_volatility_10_0/swing_volatility_60_0

    { "type": "factor-track", "data": { "exprs": ["swing_volatility_10_0/swing_volatility_60_0"], "options": {"BacktestInterval": ["2018-01-01", "2022-05-01"], "Benchmark": "none", "StockPool": "in_csi300_0", "UserDataMerge": "left", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 60, "DropSuspendedStocks": 1, "QuantileCount": 5, "CommissionRates": 0.0016, "Cutoutliers": 1, "Normalization": 1, "Neutralization": "industry,size", "DelayRebalanceDays": 5, "RebalancePeriod": 5, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "cf8d6212be356cd6cfcd291ae24616de"} } }

    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 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    最大分位 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    多空组合 -0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00 1.00 -264955456699098.91 0.00%

    基本特征分析

    IC分析

    —

    —

    0.00

    0.00%

    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 (2022-04-20)

    股票名称 股票代码 因子值
    乐普医疗 300003.SZA 0.2424
    芒果超媒 300413.SZA 0.2661
    安克创新 300866.SZA 0.2803
    爱尔眼科 300015.SZA 0.2923
    中国石化 600028.SHA 0.2932
    中海油服 601808.SHA 0.3075
    华大基因 300676.SZA 0.3087
    长江电力 600900.SHA 0.3134
    一汽解放 000800.SZA 0.3666
    农业银行 601288.SHA 0.3868
    上海医药 601607.SHA 0.3945
    新华保险 601336.SHA 0.3948
    豫园股份 600655.SHA 0.4004
    中国人寿 601628.SHA 0.4019
    大秦铁路 601006.SHA 0.4342
    安图生物 603658.SHA 0.4369
    中信建投 601066.SHA 0.4378
    中国能建 601868.SHA 0.4382
    海螺水泥 600585.SHA 0.4395
    英科医疗 300677.SZA 0.4457

    因子值最大的20只股票 (2022-04-20)

    股票名称 股票代码 因子值
    顺丰控股 002352.SZA 1.2750
    卓胜微 300782.SZA 1.2799
    华域汽车 600741.SHA 1.2804
    玲珑轮胎 601966.SHA 1.2836
    韦尔股份 603501.SHA 1.2993
    华润微 688396.SHA 1.3034
    君正集团 601216.SHA 1.3375
    广联达 002410.SZA 1.3540
    华熙生物 688363.SHA 1.3608
    青岛啤酒 600600.SHA 1.4264
    海大集团 002311.SZA 1.4600
    春秋航空 601021.SHA 1.4728
    万泰生物 603392.SHA 1.4798
    亿联网络 300628.SZA 1.5072
    三七互娱 002555.SZA 1.5105
    宝信软件 600845.SHA 1.5556
    中煤能源 601898.SHA 1.5900
    南京证券 601990.SHA 1.6290
    星宇股份 601799.SHA 1.6885
    智飞生物 300122.SZA 2.1001

    因子分析: price_limit_status_0 * turn_0 + volatility_60_0

    { "type": "factor-track", "data": { "exprs": ["price_limit_status_0 * turn_0 + volatility_60_0"], "options": {"BacktestInterval": ["2018-01-01", "2022-05-01"], "Benchmark": "none", "StockPool": "in_csi300_0", "UserDataMerge": "left", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 60, "DropSuspendedStocks": 1, "QuantileCount": 5, "CommissionRates": 0.0016, "Cutoutliers": 1, "Normalization": 1, "Neutralization": "industry,size", "DelayRebalanceDays": 5, "RebalancePeriod": 5, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "cf8d6212be356cd6cfcd291ae24616de"} } }

    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 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    最大分位 -28.33% -7.84% -2.06% -0.80% -0.16% 0.00% 28.33% 0.00 0.80 -11.37 1.02%
    多空组合 -0.00% -0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00 0.99 -119707527362425.17 0.00%

    基本特征分析

    IC分析

    —

    —

    0.00

    0.00%

    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 (2022-04-20)

    股票名称 股票代码 因子值
    中国人寿 601628.SHA 0.0966
    工商银行 601398.SHA 0.1157
    中国银行 601988.SHA 0.1272
    浦发银行 600000.SHA 0.1419
    工业富联 601138.SHA 0.1754
    中国人保 601319.SHA 0.1794
    中信银行 601998.SHA 0.1876
    农业银行 601288.SHA 0.2082
    中国石油 601857.SHA 0.2262
    民生银行 600016.SHA 0.2699
    中国石化 600028.SHA 0.3015
    上海银行 601229.SHA 0.3112
    华能水电 600025.SHA 0.3220
    华夏银行 600015.SHA 0.3355
    海天味业 603288.SHA 0.3372
    中国中车 601766.SHA 0.3408
    上港集团 600018.SHA 0.3442
    上汽集团 600104.SHA 0.3700
    国投电力 600886.SHA 0.3743
    长江电力 600900.SHA 0.3818

    因子值最大的20只股票 (2022-04-20)

    股票名称 股票代码 因子值
    玲珑轮胎 601966.SHA 3.8355
    赣锋锂业 002460.SZA 3.8575
    长春高新 000661.SZA 3.9404
    大华股份 002236.SZA 4.1846
    英科医疗 300677.SZA 4.4104
    大族激光 002008.SZA 4.5903
    长安汽车 000625.SZA 4.6551
    绝味食品 603517.SHA 4.7247
    中公教育 002607.SZA 4.8679
    沃森生物 300142.SZA 4.8865
    东方财富 300059.SZA 4.9650
    东鹏饮料 605499.SHA 5.2134
    百润股份 002568.SZA 5.2308
    中炬高新 600872.SHA 5.3894
    正邦科技 002157.SZA 6.0581
    金龙鱼 300999.SZA 6.1669
    宝丰能源 600989.SHA 6.4061
    华熙生物 688363.SHA 7.3813
    完美世界 002624.SZA 9.3291
    中银证券 601696.SHA 15.1990 
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