复制链接
克隆策略
In [2]:
df=pd.read_csv('news.csv')
df.dtypes
df['date2']=pd.to_datetime(df['date'],format='%Y/%m/%d')
df['date2'].head()
del df['date']
df['date']=df['date2']
del df['date2']
df.to_csv('news.csv',index=False)
df
'''def datestr2num(s):
return datetime.strptime(s.decode('ascii'), "%Y-%m-%d").date().weekday()

date=np.loadtxt('data.csv', delimiter=',', usecols=(1,), converters={1: datestr2num}, unpack=True)'''
df.dtypes
Out[2]:
Stkcd             int64
news              int64
date     datetime64[ns]
dtype: object
In [3]:
def foo1():
    df=pd.read_csv('test.csv')
    df['date'] = pd.to_datetime(df['date'])
    ds=DataSource.write_df(df)
    return Outputs(data=ds)


m1=M.cached.v2(run=foo1)
ds_id=m1.data.id
In [4]:
ds_id
Out[4]:
'83b8d70e07fe42c6b8db8c761eed5de8T'

    {"description":"实验创建于2020/2/14","graph":{"edges":[{"to_node_id":"-3626:user_factor_data","from_node_id":"-2608:data"},{"to_node_id":"-3626:features","from_node_id":"-903:data"}],"nodes":[{"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":"2020-04-01","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"2021-12-31","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":"False","type":"Literal","bound_global_parameter":null},{"name":"normalization","value":"False","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_id":"-2608","module_id":"BigQuantSpace.use_datasource.use_datasource-v1","parameters":[{"name":"datasource_id","value":"83b8d70e07fe42c6b8db8c761eed5de8T","type":"Literal","bound_global_parameter":null},{"name":"start_date","value":"","type":"Literal","bound_global_parameter":null},{"name":"end_date","value":"","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"instruments","node_id":"-2608"},{"name":"features","node_id":"-2608"}],"output_ports":[{"name":"data","node_id":"-2608"}],"cacheable":false,"seq_num":3,"comment":"","comment_collapsed":true},{"node_id":"-903","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\nreturn_5\nreturn_10\nreturn_20\navg_amount_0/avg_amount_5\n\n","type":"Literal","bound_global_parameter":null}],"input_ports":[{"name":"features_ds","node_id":"-903"}],"output_ports":[{"name":"data","node_id":"-903"}],"cacheable":true,"seq_num":1,"comment":"","comment_collapsed":true}],"node_layout":"<node_postions><node_position Node='-3626' Position='142,118,200,200'/><node_position Node='-2608' Position='359.97869873046875,-45.73394966125488,200,200'/><node_position Node='-903' Position='-34.38543701171875,-41.90077018737793,200,200'/></node_postions>"},"nodes_readonly":false,"studio_version":"v2"}
    In [16]:
    # 本代码由可视化策略环境自动生成 2022年3月14日 23:50
# 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。


m3 = M.use_datasource.v1(
    datasource_id='83b8d70e07fe42c6b8db8c761eed5de8T',
    start_date='',
    end_date='',
    m_cached=False
)

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
return_5
return_10
return_20
avg_amount_0/avg_amount_5

"""
)

m4 = M.factorlens.v2(
    features=m1.data,
    user_factor_data=m3.data,
    title='因子分析: {factor_name}',
    start_date='2020-04-01',
    end_date='2021-12-31',
    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=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'
)
    { "type": "factor-track", "data": { "exprs": ["return_5", "return_10", "return_20", "avg_amount_0/avg_amount_5"], "options": {"BacktestInterval": ["2020-04-01", "2021-12-31"], "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": 0, "RebalancePeriod": 22, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "22f127588fc890dd04cc27c3d6d171d8"} } }

    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 return_5 5.19% -35.29% -0.79% -27.49% -1.64% -3.66% -0.07 -0.54 0.76 1.17
    因子2 return_10 4.59% -29.00% 2.63% -24.68% -0.83% -4.47% -0.05 -0.42 0.79 1.21
    因子3 return_20 -2.49% -30.22% -4.88% -26.43% -0.79% -4.70% -0.06 -0.46 0.76 0.75
    因子4 avg_amount_0/avg_amount_5 -10.48% -21.56% -9.90% -16.89% -1.30% -2.87% -0.01 -0.16 0.93 1.08

    因子分析: return_5

    { "type": "factor-track", "data": { "exprs": ["return_5"], "options": {"BacktestInterval": ["2020-04-01", "2021-12-31"], "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": 0, "RebalancePeriod": 22, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "22f127588fc890dd04cc27c3d6d171d8"} } }

    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 5.19% -0.79% -0.76% -1.64% 0.08% 0.79% 20.47% 0.94 0.53 0.07 19.06%
    最大分位 -35.29% -27.49% -7.99% -3.66% -0.89% 0.97% 46.43% 0.74 0.52 -1.36 20.01%
    多空组合 26.79% 16.66% 3.81% 1.03% 0.48% -0.09% 4.39% 1.06 0.59 1.62 6.62%

    基本特征分析

    IC分析

    -0.07

    0.13

    -0.54

    83.33%

    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 (2021-12-30)

    股票名称 股票代码 因子值
    大龙地产 600159.SHA 0.7294
    小康股份 601127.SHA 0.7307
    兰石重装 603169.SHA 0.7326
    湖南天雁 600698.SHA 0.7556
    聚力文化 002247.SZA 0.7565
    宝鹰股份 002047.SZA 0.7566
    龙洲股份 002682.SZA 0.7683
    炬申股份 001202.SZA 0.7697
    威帝股份 603023.SHA 0.7744
    海兰信 300065.SZA 0.7786
    金山股份 600396.SHA 0.7868
    运机集团 001288.SZA 0.7887
    蓝光发展 600466.SHA 0.7931
    新能泰山 000720.SZA 0.7987
    科新发展 600234.SHA 0.8050
    中铝国际 601068.SHA 0.8091
    渝开发 000514.SZA 0.8113
    京城股份 600860.SHA 0.8139
    长城电工 600192.SHA 0.8171
    龙蟠科技 603906.SHA 0.8181

    因子值最大的20只股票 (2021-12-30)

    股票名称 股票代码 因子值
    国机通用 600444.SHA 1.2443
    宇晶股份 002943.SZA 1.2446
    综艺股份 600770.SHA 1.2467
    合锻智能 603011.SHA 1.2542
    同惠电子 833509.BJA 1.2692
    鑫科材料 600255.SHA 1.2809
    永新光学 603297.SHA 1.2915
    乐心医疗 300562.SZA 1.3018
    鹿得医疗 832278.BJA 1.3122
    春晖智控 300943.SZA 1.3198
    仟源医药 300254.SZA 1.3238
    首航高科 002665.SZA 1.3371
    融捷健康 300247.SZA 1.3396
    立方数科 300344.SZA 1.3671
    雪人股份 002639.SZA 1.4166
    广生堂 300436.SZA 1.4853
    红日药业 300026.SZA 1.5077
    大唐药业 836433.BJA 1.5697
    康芝药业 300086.SZA 1.7680
    森萱医药 830946.BJA 2.4049

    因子分析: return_10

    { "type": "factor-track", "data": { "exprs": ["return_10"], "options": {"BacktestInterval": ["2020-04-01", "2021-12-31"], "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": 0, "RebalancePeriod": 22, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "22f127588fc890dd04cc27c3d6d171d8"} } }

    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 4.59% 2.63% 0.78% -0.83% -0.08% 1.04% 21.73% 0.94 0.52 0.05 18.97%
    最大分位 -29.00% -24.68% -8.77% -4.47% -1.08% 0.93% 40.37% 0.72 0.54 -1.09 19.99%
    多空组合 20.68% 16.33% 5.04% 1.86% 0.51% 0.06% 4.89% 0.94 0.59 1.16 6.75%

    基本特征分析

    IC分析

    -0.05

    0.12

    -0.42

    83.33%

    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 (2021-12-30)

    股票名称 股票代码 因子值
    万里股份 600847.SHA 0.7314
    小康股份 601127.SHA 0.7384
    杭州柯林 688611.SHA 0.7696
    扬电科技 301012.SZA 0.7758
    乐通股份 002319.SZA 0.7776
    力盛赛车 002858.SZA 0.7791
    中信博 688408.SHA 0.7870
    高测股份 688556.SHA 0.7902
    海兰信 300065.SZA 0.7909
    西上海 605151.SHA 0.7928
    迪生力 603335.SHA 0.7936
    宏力达 688330.SHA 0.7987
    吉鑫科技 601218.SHA 0.7994
    新能泰山 000720.SZA 0.8000
    德方纳米 300769.SZA 0.8007
    中公教育 002607.SZA 0.8008
    东方盛虹 000301.SZA 0.8013
    跃岭股份 002725.SZA 0.8022
    金开新能 600821.SHA 0.8030
    润和软件 300339.SZA 0.8033

    因子值最大的20只股票 (2021-12-30)

    股票名称 股票代码 因子值
    上声电子 688533.SHA 1.3540
    中再资环 600217.SHA 1.3605
    东方生物 688298.SHA 1.3636
    同和药业 300636.SZA 1.3767
    融捷健康 300247.SZA 1.4079
    首航高科 002665.SZA 1.4096
    乐心医疗 300562.SZA 1.4112
    国机通用 600444.SHA 1.4169
    合锻智能 603011.SHA 1.4220
    仟源医药 300254.SZA 1.4365
    万邦德 002082.SZA 1.4525
    立方数科 300344.SZA 1.4694
    创新医疗 002173.SZA 1.5057
    广生堂 300436.SZA 1.5357
    大唐药业 836433.BJA 1.5466
    雪人股份 002639.SZA 1.5567
    红日药业 300026.SZA 1.5847
    岳阳兴长 000819.SZA 1.6382
    康芝药业 300086.SZA 1.8713
    森萱医药 830946.BJA 2.4328

    因子分析: return_20

    { "type": "factor-track", "data": { "exprs": ["return_20"], "options": {"BacktestInterval": ["2020-04-01", "2021-12-31"], "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": 0, "RebalancePeriod": 22, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "22f127588fc890dd04cc27c3d6d171d8"} } }

    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 -2.49% -4.88% 3.05% -0.79% -0.23% 1.22% 26.54% 0.93 0.52 -0.17 18.97%
    最大分位 -30.22% -26.43% -10.20% -4.70% -1.06% 1.01% 40.82% 0.72 0.54 -1.10 20.56%
    多空组合 17.34% 13.24% 7.03% 2.01% 0.42% 0.11% 8.98% 0.94 0.57 0.85 7.31%

    基本特征分析

    IC分析

    -0.06

    0.14

    -0.46

    94.44%

    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 (2021-12-30)

    股票名称 股票代码 因子值
    鞍重股份 002667.SZA 0.6595
    中捷精工 301072.SZA 0.6659
    博力威 688345.SHA 0.6792
    富吉瑞 688272.SHA 0.6906
    华宝股份 300741.SZA 0.6908
    丰元股份 002805.SZA 0.6913
    同力日升 605286.SHA 0.7118
    恒华科技 300365.SZA 0.7122
    清水源 300437.SZA 0.7190
    飞马国际 002210.SZA 0.7229
    翔丰华 300890.SZA 0.7235
    天华超净 300390.SZA 0.7243
    派斯林 600215.SHA 0.7291
    伊戈尔 002922.SZA 0.7338
    德迈仕 301007.SZA 0.7376
    诺德股份 600110.SHA 0.7440
    中伟股份 300919.SZA 0.7477
    川恒股份 002895.SZA 0.7478
    精进电动-UW 688280.SHA 0.7479
    龙竹科技 831445.BJA 0.7494

    因子值最大的20只股票 (2021-12-30)

    股票名称 股票代码 因子值
    蓝色光标 300058.SZA 1.5494
    红日药业 300026.SZA 1.5558
    跃岭股份 002725.SZA 1.5628
    蓝科高新 601798.SHA 1.5935
    美盛文化 002699.SZA 1.6022
    天马科技 603668.SHA 1.6148
    雪人股份 002639.SZA 1.6253
    湖南天雁 600698.SHA 1.6435
    诺思兰德 430047.BJA 1.6468
    湖北广电 000665.SZA 1.6547
    龙洲股份 002682.SZA 1.6802
    财信发展 000838.SZA 1.6858
    陕西金叶 000812.SZA 1.7252
    康芝药业 300086.SZA 1.7778
    启明信息 002232.SZA 1.8332
    岳阳兴长 000819.SZA 1.9439
    宣亚国际 300612.SZA 1.9591
    京城股份 600860.SHA 2.3104
    森萱医药 830946.BJA 2.3218
    宇晶股份 002943.SZA 2.6698

    因子分析: avg_amount_0/avg_amount_5

    { "type": "factor-track", "data": { "exprs": ["avg_amount_0/avg_amount_5"], "options": {"BacktestInterval": ["2020-04-01", "2021-12-31"], "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": 0, "RebalancePeriod": 22, "RebalancePeriodsReturns": 0, "RebalancePrice": "close_0", "ReturnsCalculationMethod": "cumprod", "FactorCoverage": 0.5, "_HASH": "22f127588fc890dd04cc27c3d6d171d8"} } }

    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 -10.48% -9.90% -0.93% -1.30% 0.27% 0.96% 29.20% 0.85 0.53 -0.49 17.44%
    最大分位 -21.56% -16.89% -4.98% -2.87% -0.74% 0.74% 35.31% 0.83 0.52 -0.91 17.87%
    多空组合 6.72% 4.07% 2.10% 0.80% 0.51% 0.11% 1.50% 1.04 0.57 0.17 2.06%

    基本特征分析

    IC分析

    -0.01

    0.05

    -0.16

    66.67%

    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 (2021-12-30)

    股票名称 股票代码 因子值
    金新农 002548.SZA 0.2729
    正和生态 605069.SHA 0.2898
    国新能源 600617.SHA 0.3196
    西部建设 002302.SZA 0.3263
    湖南发展 000722.SZA 0.3422
    佳隆股份 002495.SZA 0.3497
    长青集团 002616.SZA 0.3511
    先锋电子 002767.SZA 0.3512
    新华联 000620.SZA 0.3626
    津滨发展 000897.SZA 0.3638
    必得科技 605298.SHA 0.3640
    深粮控股 000019.SZA 0.3719
    力盛赛车 002858.SZA 0.3736
    威帝股份 603023.SHA 0.3760
    华昌化工 002274.SZA 0.3798
    大通燃气 000593.SZA 0.3842
    新农股份 002942.SZA 0.3900
    光大嘉宝 600622.SHA 0.3916
    亚联发展 002316.SZA 0.3945
    丽臣实业 001218.SZA 0.3986

    因子值最大的20只股票 (2021-12-30)

    股票名称 股票代码 因子值
    亚翔集成 603929.SHA 2.9805
    钢研纳克 300797.SZA 3.0023
    明志科技 688355.SHA 3.0526
    国源科技 835184.BJA 3.0892
    融捷健康 300247.SZA 3.1163
    迅游科技 300467.SZA 3.1568
    天健集团 000090.SZA 3.2157
    三圣股份 002742.SZA 3.2211
    乐心医疗 300562.SZA 3.3061
    中公高科 603860.SHA 3.3061
    生物谷 833266.BJA 3.3854
    迈得医疗 688310.SHA 3.4107
    大唐药业 836433.BJA 3.5386
    仕佳光子 688313.SHA 3.7811
    梓橦宫 832566.BJA 3.8741
    德源药业 832735.BJA 3.9949
    城市传媒 600229.SHA 4.0075
    兰生股份 600826.SHA 4.0529
    锦好医疗 872925.BJA 4.1768
    鹿得医疗 832278.BJA 5.6741 
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