克隆策略

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    In [1]:
    # 本代码由可视化策略环境自动生成 2021年10月15日 15:20
# 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
pb_lf_0
return_0
mf_net_amount_0"""
)

m2 = M.factorlens.v2(
    features=m1.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,
    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'
)
    { "type": "factor-track", "data": { "exprs": ["pb_lf_0", "return_0", "mf_net_amount_0"], "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"} } }

    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 pb_lf_0 3.55% -0.84% 3.55% -0.84% 5.39% 4.81% -0.01 -0.14 0.43 0.23
    因子2 return_0 0.89% -5.93% 0.89% -5.93% 5.49% 5.09% -0.03 -0.43 1.09 1.19
    因子3 mf_net_amount_0 -3.89% -0.04% -3.89% -0.04% 5.27% 5.62% 0.01 0.16 1.35 1.19

    因子分析: pb_lf_0

    { "type": "factor-track", "data": { "exprs": ["pb_lf_0"], "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"} } }

    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 3.55% 3.55% -6.07% 5.39% 2.19% 0.62% 27.25% 0.79 0.57 0.12 23.31%
    最大分位 -0.84% -0.84% -7.58% 4.81% 1.51% 0.02% 26.97% 0.81 0.56 -0.09 22.23%
    多空组合 2.28% 2.28% 0.78% 0.28% 0.33% 0.30% 2.51% 1.08 0.52 -0.43 2.65%

    基本特征分析

    IC分析

    -0.01

    0.08

    -0.14

    60.00%

    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 (2019-12-30)

    股票名称 股票代码 因子值
    向日葵 300111.SZA -108.0934
    长城动漫 000835.SZA -85.7130
    大唐电信 600198.SHA -27.1115
    商业城 600306.SHA -17.9592
    一汽夏利 000927.SZA -15.0895
    国美通讯 600898.SHA -15.0642
    飞乐音响 600651.SHA -6.7286
    盛运环保 300090.SZA -4.4358
    株冶集团 600961.SHA -2.9930
    暴风集团 300431.SZA -1.8883
    天翔环境 300362.SZA -1.4610
    神城A退 000018.SZA -0.3534
    退市华业 600240.SHA -0.1064
    众泰汽车 000980.SZA 0.3570
    东旭蓝天 000040.SZA 0.4422
    供销大集 000564.SZA 0.4598
    宜华生活 600978.SHA 0.5151
    宏图高科 600122.SHA 0.5244
    福星股份 000926.SZA 0.5574
    信达地产 600657.SHA 0.5628

    因子值最大的20只股票 (2019-12-30)

    股票名称 股票代码 因子值
    国农科技 000004.SZA 19.1051
    海天味业 603288.SHA 19.2723
    济民制药 603222.SHA 20.1474
    紫光学大 000526.SZA 20.5321
    华东数控 002248.SZA 21.2235
    诚迈科技 300598.SZA 21.6096
    康泰生物 300601.SZA 22.9962
    天目药业 600671.SHA 24.7392
    华谊嘉信 300071.SZA 25.5284
    圣邦股份 300661.SZA 25.6741
    卓胜微 300782.SZA 27.3687
    天津磁卡 600800.SHA 27.3987
    大东海A 000613.SZA 28.1344
    园城黄金 600766.SHA 31.8650
    祥龙电业 600769.SHA 36.9902
    中公教育 002607.SZA 42.6746
    华塑控股 000509.SZA 45.5598
    金宇车城 000803.SZA 76.8362
    深中华A 000017.SZA 170.1702
    博信股份 600083.SHA 233.2145

    因子分析: return_0

    { "type": "factor-track", "data": { "exprs": ["return_0"], "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"} } }

    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 0.89% 0.89% -4.57% 5.49% 1.86% 0.41% 29.14% 0.84 0.55 0.01 23.25%
    最大分位 -5.93% -5.93% -7.10% 5.09% 1.87% 0.35% 30.50% 0.78 0.56 -0.32 22.80%
    多空组合 3.58% 3.58% 1.30% 0.18% -0.01% 0.03% 1.64% 0.96 0.58 0.08 2.36%

    基本特征分析

    IC分析

    -0.03

    0.07

    -0.43

    60.00%

    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 (2019-12-30)

    股票名称 股票代码 因子值
    钢研纳克 300797.SZA 0.9008
    泉峰汽车 603982.SHA 0.9040
    苏州固锝 002079.SZA 0.9059
    天龙光电 300029.SZA 0.9062
    元隆雅图 002878.SZA 0.9089
    佳禾智能 300793.SZA 0.9118
    航锦科技 000818.SZA 0.9130
    拓维信息 002261.SZA 0.9145
    奋达科技 002681.SZA 0.9175
    森霸传感 300701.SZA 0.9181
    易联众 300096.SZA 0.9208
    鼎胜新材 603876.SHA 0.9213
    凌云股份 600480.SHA 0.9248
    宁波富邦 600768.SHA 0.9250
    中青宝 300052.SZA 0.9270
    共达电声 002655.SZA 0.9288
    容大感光 300576.SZA 0.9292
    大胜达 603687.SHA 0.9294
    苏奥传感 300507.SZA 0.9301
    广博股份 002103.SZA 0.9308

    因子值最大的20只股票 (2019-12-30)

    股票名称 股票代码 因子值
    华测导航 300627.SZA 1.0681
    金利华电 300069.SZA 1.0694
    中孚信息 300659.SZA 1.0698
    扬农化工 600486.SHA 1.0704
    东兴证券 601198.SHA 1.0706
    新媒股份 300770.SZA 1.0707
    新宏泰 603016.SHA 1.0716
    中信建投 601066.SHA 1.0743
    九阳股份 002242.SZA 1.0751
    金鸿顺 603922.SHA 1.0757
    华天科技 002185.SZA 1.0761
    朗博科技 603655.SHA 1.0768
    鲁信创投 600783.SHA 1.0792
    江山股份 600389.SHA 1.0795
    荃银高科 300087.SZA 1.0805
    应流股份 603308.SHA 1.0819
    永兴材料 002756.SZA 1.0839
    今世缘 603369.SHA 1.0901
    旗滨集团 601636.SHA 1.0982
    中广天择 603721.SHA 1.0985

    因子分析: mf_net_amount_0

    { "type": "factor-track", "data": { "exprs": ["mf_net_amount_0"], "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"} } }

    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 -3.89% -3.89% -5.48% 5.27% 1.78% 0.38% 31.16% 0.80 0.55 -0.21 23.25%
    最大分位 -0.04% -0.04% -5.70% 5.62% 2.06% 0.49% 25.38% 0.78 0.57 -0.06 21.61%
    多空组合 -1.79% -1.79% 0.09% -0.17% -0.14% -0.05% 4.92% 0.76 0.53 -2.37 2.26%

    基本特征分析

    IC分析

    0.01

    0.07

    0.16

    100.00%

    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 (2019-12-30)

    股票名称 股票代码 因子值
    京东方A 000725.SZA -530527712.0000
    拓维信息 002261.SZA -317875424.0000
    兴业银行 601166.SHA -293649376.0000
    山东黄金 600547.SHA -253903888.0000
    万科A 000002.SZA -212062208.0000
    三安光电 600703.SHA -190543200.0000
    航锦科技 000818.SZA -185264544.0000
    海能实业 300787.SZA -168477168.0000
    歌尔股份 002241.SZA -163859728.0000
    TCL集团 000100.SZA -127929152.0000
    圣农发展 002299.SZA -125655360.0000
    宁波华翔 002048.SZA -125039408.0000
    南京证券 601990.SHA -121354312.0000
    完美世界 002624.SZA -120231120.0000
    协鑫集成 002506.SZA -111581808.0000
    永辉超市 601933.SHA -103649384.0000
    分众传媒 002027.SZA -101079984.0000
    科大讯飞 002230.SZA -100238848.0000
    通化东宝 600867.SHA -98968280.0000
    钢研纳克 300797.SZA -93523024.0000

    因子值最大的20只股票 (2019-12-30)

    股票名称 股票代码 因子值
    比亚迪 002594.SZA 246575920.0000
    同花顺 300033.SZA 252172000.0000
    保利地产 600048.SHA 278686560.0000
    财通证券 601108.SHA 287430560.0000
    宁德时代 300750.SZA 331928608.0000
    浙江龙盛 600352.SHA 348388384.0000
    国泰君安 601211.SHA 353647136.0000
    中信建投 601066.SHA 356513664.0000
    广发证券 000776.SZA 402313824.0000
    东方证券 600958.SHA 409156768.0000
    格力电器 000651.SZA 473550688.0000
    华天科技 002185.SZA 496827648.0000
    泸州老窖 000568.SZA 522889312.0000
    中兴通讯 000063.SZA 622344320.0000
    中国平安 601318.SHA 672835520.0000
    海通证券 600837.SHA 908795648.0000
    贵州茅台 600519.SHA 938561600.0000
    华泰证券 601688.SHA 1011400768.0000
    东方财富 300059.SZA 1043857792.0000
    五粮液 000858.SZA 1413903616.0000 
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