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[2021-12-20 10:32:15.339741] INFO: moduleinvoker: input_features.v1 开始运行..
[2021-12-20 10:32:15.366778] INFO: moduleinvoker: 命中缓存
[2021-12-20 10:32:15.368450] INFO: moduleinvoker: input_features.v1 运行完成[0.028732s].
[2021-12-20 10:32:15.383119] INFO: moduleinvoker: factorlens.v2 开始运行..
[2021-12-20 10:32:15.400217] INFO: moduleinvoker: 命中缓存
[2021-12-20 10:32:15.525661] INFO: moduleinvoker: factorlens.v2 运行完成[0.142549s].
因子分析: f1
{
"type": "factor-track",
"data": {
"exprs": ["close_0 / close_5"],
"options": {"BacktestInterval": ["2019-01-01", "2019-12-31"], "Benchmark": "none", "StockPool": "all", "UserDataMerge": "left", "DropSTStocks": 1, "DropPriceLimitStocks": 1, "DropNewStocks": 60, "DropSuspendedStocks": 1, "QuantileCount": 5, "CommissionRates": 0.0016, "Normalization": 1, "Neutralization": "industry,size", "DelayRebalanceDays": 0, "RebalancePeriod": 22, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "ffb2f8fbecb7cab66758ee29aeedc167"}
}
}
| |
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 |
9.83% |
9.83% |
-6.70% |
5.65% |
1.59% |
0.24% |
26.82% |
0.78 |
0.58 |
0.38 |
23.45% |
| 最大分位 |
-14.77% |
-14.77% |
-6.57% |
4.99% |
2.02% |
0.32% |
34.10% |
0.72 |
0.56 |
-0.77 |
22.72% |
| 多空组合 |
13.56% |
13.56% |
-0.06% |
0.32% |
-0.21% |
-0.04% |
1.12% |
1.34 |
0.64 |
3.31 |
2.94% |
| 股票名称 |
股票代码 |
因子值 |
| 正川股份 |
603976.SHA |
0.8378 |
| 苏奥传感 |
300507.SZA |
0.8429 |
| 共达电声 |
002655.SZA |
0.8588 |
| 泉峰汽车 |
603982.SHA |
0.8608 |
| 香雪制药 |
300147.SZA |
0.8656 |
| 飞亚达A |
000026.SZA |
0.8692 |
| 金一文化 |
002721.SZA |
0.8708 |
| 大胜达 |
603687.SHA |
0.8729 |
| 新华联 |
000620.SZA |
0.8780 |
| 钢研纳克 |
300797.SZA |
0.8835 |
| 田中精机 |
300461.SZA |
0.8869 |
| 金宇车城 |
000803.SZA |
0.8914 |
| 佳禾智能 |
300793.SZA |
0.8982 |
| 宁波富邦 |
600768.SHA |
0.9011 |
| 南华仪器 |
300417.SZA |
0.9066 |
| 中牧股份 |
600195.SHA |
0.9076 |
| 光启技术 |
002625.SZA |
0.9078 |
| 新劲刚 |
300629.SZA |
0.9108 |
| 熊猫金控 |
600599.SHA |
0.9121 |
| 弘讯科技 |
603015.SHA |
0.9124 |
| 股票名称 |
股票代码 |
因子值 |
| 天齐锂业 |
002466.SZA |
1.2177 |
| 当升科技 |
300073.SZA |
1.2220 |
| 西部矿业 |
601168.SHA |
1.2252 |
| 鼎胜新材 |
603876.SHA |
1.2258 |
| 世运电路 |
603920.SHA |
1.2346 |
| 中微公司 |
688012.SHA |
1.2374 |
| 海能实业 |
300787.SZA |
1.2438 |
| 惠发食品 |
603536.SHA |
1.2464 |
| 朗博科技 |
603655.SHA |
1.2486 |
| 嘉元科技 |
688388.SHA |
1.2522 |
| 中广天择 |
603721.SHA |
1.2560 |
| 拓维信息 |
002261.SZA |
1.2644 |
| 中昌数据 |
600242.SHA |
1.2687 |
| 华扬联众 |
603825.SHA |
1.2906 |
| 融捷股份 |
002192.SZA |
1.3010 |
| 值得买 |
300785.SZA |
1.3412 |
| 中国宝安 |
000009.SZA |
1.3455 |
| 星期六 |
002291.SZA |
1.3464 |
| 容大感光 |
300576.SZA |
1.3601 |
| 一汽夏利 |
000927.SZA |
1.4422 |