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    In [5]:
    # 本代码由可视化策略环境自动生成 2022年9月20日 18:39
# 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
close_0"""
)

m2 = M.factorlens.v2(
    features=m1.data,
    title='因子分析: {factor_name}',
    start_date='2022-01-01',
    end_date=T.live_run_param('trading_date', '2022-09-20'),
    rebalance_period=2,
    delay_rebalance_days=1,
    rebalance_price='close_0',
    stock_pool='全市场',
    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=False,
    normalization=False,
    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'
)

    因子分析: close_0

    { "type": "factor-track", "data": { "exprs": ["close_0"], "options": {"BacktestInterval": ["2022-01-01", "2022-09-20"], "Benchmark": "none", "StockPool": "all", "UserDataMerge": "left", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 60, "DropSuspendedStocks": 1, "QuantileCount": 5, "CommissionRates": 0.0016, "Cutoutliers": 0, "Normalization": 0, "Neutralization": "industry,size", "DelayRebalanceDays": 1, "RebalancePeriod": 2, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "8b5597fc926554dd55bc5eee80d87138"} } }

    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 -19.37% -19.37% -2.13% -6.28% -3.30% -0.92% 25.02% 1.73 0.28 -1.94 17.21%
    最大分位 -20.13% -20.13% -2.17% -6.73% -3.45% -1.15% 26.62% 1.61 0.31 -1.74 19.65%
    多空组合 0.27% 0.27% 0.01% 0.23% 0.07% 0.12% 4.30% 0.75 0.58 -0.75 4.06%

    基本特征分析

    IC分析

    0.03

    0.11

    0.24

    87.21%

    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 (2022-09-19)

    股票名称 股票代码 因子值
    重庆钢铁 601005.SHA 1.7229
    中国能建 601868.SHA 2.4516
    和辉光电-U 688538.SHA 2.5500
    广深铁路 601333.SHA 2.6733
    北辰实业 601588.SHA 2.6848
    白银有色 601212.SHA 2.6899
    中国一重 601106.SHA 2.9020
    海油发展 600968.SHA 2.9550
    中国广核 003816.SZA 2.9566
    中远海发 601866.SHA 3.0296
    紫金银行 601860.SHA 3.0571
    吉林高速 601518.SHA 3.1286
    秦港股份 601326.SHA 3.1358
    郑州银行 002936.SZA 3.1617
    天风证券 601162.SHA 3.2267
    国机重装 601399.SHA 3.2600
    际华集团 601718.SHA 3.2723
    浙商银行 601916.SHA 3.3304
    广西广电 600936.SHA 3.3741
    青农商行 002958.SZA 3.3944

    因子值最大的20只股票 (2022-09-19)

    股票名称 股票代码 因子值
    片仔癀 600436.SHA 1904.4438
    广汇物流 600603.SHA 1995.3202
    大众交通 600611.SHA 2120.6252
    恒瑞医药 600276.SHA 2235.0190
    金枫酒业 600616.SHA 2267.9788
    伊利股份 600887.SHA 2611.1587
    五粮液 000858.SZA 2933.9553
    万科A 000002.SZA 3141.9407
    云赛智联 600602.SHA 3209.8994
    福耀玻璃 600660.SHA 3277.3140
    华鑫股份 600621.SHA 3378.1208
    万华化学 600309.SHA 3625.0051
    诺思兰德 430047.BJA 4683.0742
    天宸股份 600620.SHA 4897.3076
    老凤祥 600612.SHA 5233.2095
    格力电器 000651.SZA 6492.1587
    泸州老窖 000568.SZA 7428.9395
    贵州茅台 600519.SHA 14139.1045
    飞乐音响 600651.SHA 19757.6055
    申华控股 600653.SHA 20312.3926