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    {"description":"实验创建于2020/2/14","graph":{"edges":[{"to_node_id":"-8309:features","from_node_id":"-70:data"},{"to_node_id":"-2650:factors_info","from_node_id":"-8309:save_data"},{"to_node_id":"-8309:user_factor_data","from_node_id":"-298: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\nopen_0\nhigh_0\nclose_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":"-8309","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":"2019-01-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2019-12-31","type":"Literal","bound_global_parameter":null},{"name":"rebalance_period","value":22,"type":"Literal","bound_global_parameter":null},{"name":"delay_rebalance_days","value":0,"type":"Literal","bound_global_parameter":null},{"name":"rebalance_price","value":"close_0","type":"Literal","bound_global_parameter":null},{"name":"stock_pool","value":"全市场","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":"-8309"},{"name":"user_factor_data","node_id":"-8309"}],"output_ports":[{"name":"data","node_id":"-8309"},{"name":"save_data","node_id":"-8309"}],"cacheable":true,"seq_num":2,"comment":"","comment_collapsed":true},{"node_id":"-2650","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":"-2650"}],"output_ports":[{"name":"data","node_id":"-2650"}],"cacheable":false,"seq_num":3,"comment":"","comment_collapsed":true},{"node_id":"-298","module_id":"BigQuantSpace.instruments.instruments-v2","parameters":[{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"market","value":"CN_STOCK_A","type":"Literal","bound_global_parameter":null},{"name":"instrument_list","value":"300014.SZA\n002202.SZA\n600236.SHA\n600884.SHA\n300037.SZA\n002266.SZA\n300073.SZA\n600732.SHA\n002340.SZA\n002129.SZA\n601908.SHA\n300316.SZA\n601012.SHA\n603806.SHA\n601985.SHA\n603659.SHA\n300724.SZA\n300751.SZA\n300763.SZA\n688005.SHA\n003816.SZA\n688116.SHA\n688599.SHA\n300919.SZA\n600032.SHA\n600905.SHA\n600900.SHA\n600438.SHA\n600674.SHA\n002459.SZA\n002506.SZA\n300070.SZA\n002074.SZA\n600886.SHA\n000883.SZA\n300274.SZA\n002709.SZA\n300450.SZA\n603568.SHA\n603026.SHA\n002812.SZA\n603218.SHA\n600025.SHA\n300750.SZA\n603185.SHA\n601615.SHA\n601865.SHA\n688408.SHA\n688390.SHA\n003035.SZA\n","type":"Literal","bound_global_parameter":null},{"name":"max_count","value":0,"type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"rolling_conf","node_id":"-298"}],"output_ports":[{"name":"data","node_id":"-298"}],"cacheable":true,"seq_num":4,"comment":"","comment_collapsed":true}],"node_layout":"<node_postions><node_position Node='-70' Position='93.46124267578125,167.1500244140625,200,200'/><node_position Node='-8309' Position='298,309,200,200'/><node_position Node='-2650' Position='243,457,200,200'/><node_position Node='-298' Position='410.85150146484375,149.46026611328125,200,200'/></node_postions>"},"nodes_readonly":false,"studio_version":"v2"}
    In [2]:
    # 本代码由可视化策略环境自动生成 2022年3月14日 18:22
# 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
open_0
high_0
close_0
"""
)

m4 = M.instruments.v2(
    start_date='',
    end_date='',
    market='CN_STOCK_A',
    instrument_list="""300014.SZA
002202.SZA
600236.SHA
600884.SHA
300037.SZA
002266.SZA
300073.SZA
600732.SHA
002340.SZA
002129.SZA
601908.SHA
300316.SZA
601012.SHA
603806.SHA
601985.SHA
603659.SHA
300724.SZA
300751.SZA
300763.SZA
688005.SHA
003816.SZA
688116.SHA
688599.SHA
300919.SZA
600032.SHA
600905.SHA
600900.SHA
600438.SHA
600674.SHA
002459.SZA
002506.SZA
300070.SZA
002074.SZA
600886.SHA
000883.SZA
300274.SZA
002709.SZA
300450.SZA
603568.SHA
603026.SHA
002812.SZA
603218.SHA
600025.SHA
300750.SZA
603185.SHA
601615.SHA
601865.SHA
688408.SHA
688390.SHA
003035.SZA
""",
    max_count=0
)

m2 = M.factorlens.v2(
    features=m1.data,
    user_factor_data=m4.data,
    title='因子分析: {factor_name}',
    start_date='2019-01-01',
    end_date='2019-12-31',
    rebalance_period=22,
    delay_rebalance_days=0,
    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=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=m2.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=''
)
    In [3]:
    m4.data.read()
    Out[3]:
    {'market': 'CN_STOCK_A',
 'instruments': ['000883.SZA',
  '002074.SZA',
  '002129.SZA',
  '002202.SZA',
  '002266.SZA',
  '002340.SZA',
  '002459.SZA',
  '002506.SZA',
  '002709.SZA',
  '002812.SZA',
  '003035.SZA',
  '003816.SZA',
  '300014.SZA',
  '300037.SZA',
  '300070.SZA',
  '300073.SZA',
  '300274.SZA',
  '300316.SZA',
  '300450.SZA',
  '300724.SZA',
  '300750.SZA',
  '300751.SZA',
  '300763.SZA',
  '300919.SZA',
  '600025.SHA',
  '600032.SHA',
  '600236.SHA',
  '600438.SHA',
  '600674.SHA',
  '600732.SHA',
  '600884.SHA',
  '600886.SHA',
  '600900.SHA',
  '600905.SHA',
  '601012.SHA',
  '601615.SHA',
  '601865.SHA',
  '601908.SHA',
  '601985.SHA',
  '603026.SHA',
  '603185.SHA',
  '603218.SHA',
  '603568.SHA',
  '603659.SHA',
  '603806.SHA',
  '688005.SHA',
  '688116.SHA',
  '688390.SHA',
  '688408.SHA',
  '688599.SHA'],
 'start_date': '',
 'end_date': ''}
    In [ ]: