++

2025-12-25 16:55:39 +08:00
parent 3c98065653
commit 11e585b71b
7 changed files with 647 additions and 878 deletions
@@ -1,18 +1,125 @@
 任务指令
-【策略类型】量化因子开发
-【现有方案】
-递延收入
-假设
-递延收入较高的公司在未来确认收入时，往往会给市场带来超预期表现。
-实施方案
-fnd6_drc字段代表递延收入。为提高数据字段覆盖度，需使用时序回填算子。将递延收入除以总资产以消除企业规模影响。
+【策略类型】优化因子
+multiply(ts_rank(divide(ts_backfill(fnd6_drc, 252), assets), 126), subtract(group_rank(divide(ts_backfill(fnd6_drc, 252), assets), sector), 0.5))
+【当前情况】

-需优化的alpha
-ts_backfill(fnd6_drc, 252)/assets
-
-【优化方向】
-实施优化建议
-建议采用横截面算子代替原始比率值来确定股票权重。可运用分组算子对同类股票进行横向比较。
+{
+    "id": "88qMa31V",
+    "type": "REGULAR",
+    "author": "YC93384",
+    "settings": {
+        "instrumentType": "EQUITY",
+        "region": "USA",
+        "universe": "TOP3000",
+        "delay": 1,
+        "decay": 0,
+        "neutralization": "INDUSTRY",
+        "truncation": 0.08,
+        "pasteurization": "ON",
+        "unitHandling": "VERIFY",
+        "nanHandling": "OFF",
+        "maxTrade": "OFF",
+        "language": "FASTEXPR",
+        "visualization": false,
+        "startDate": "2018-01-20",
+        "endDate": "2023-01-20"
+    },
+    "regular": {
+        "code": "multiply(ts_rank(divide(ts_backfill(fnd6_drc, 252), assets), 126), subtract(group_rank(divide(ts_backfill(fnd6_drc, 252), assets), sector), 0.5))",
+        "description": null,
+        "operatorCount": 8
+    },
+    "dateCreated": "2025-12-25T03:16:45-05:00",
+    "dateSubmitted": null,
+    "dateModified": "2025-12-25T03:16:45-05:00",
+    "name": null,
+    "favorite": false,
+    "hidden": false,
+    "color": null,
+    "category": null,
+    "tags": [],
+    "classifications": [
+        {
+            "id": "DATA_USAGE:SINGLE_DATA_SET",
+            "name": "Single Data Set Alpha"
+        }
+    ],
+    "grade": "INFERIOR",
+    "stage": "IS",
+    "status": "UNSUBMITTED",
+    "is": {
+        "pnl": 2429129,
+        "bookSize": 20000000,
+        "longCount": 966,
+        "shortCount": 1435,
+        "turnover": 0.028,
+        "returns": 0.0491,
+        "drawdown": 0.0485,
+        "margin": 0.003504,
+        "sharpe": 1.36,
+        "fitness": 0.85,
+        "startDate": "2018-01-20",
+        "checks": [
+            {
+                "name": "LOW_SHARPE",
+                "result": "PASS",
+                "limit": 1.25,
+                "value": 1.36
+            },
+            {
+                "name": "LOW_FITNESS",
+                "result": "FAIL",
+                "limit": 1.0,
+                "value": 0.85
+            },
+            {
+                "name": "LOW_TURNOVER",
+                "result": "PASS",
+                "limit": 0.01,
+                "value": 0.028
+            },
+            {
+                "name": "HIGH_TURNOVER",
+                "result": "PASS",
+                "limit": 0.7,
+                "value": 0.028
+            },
+            {
+                "name": "CONCENTRATED_WEIGHT",
+                "result": "PASS"
+            },
+            {
+                "name": "LOW_SUB_UNIVERSE_SHARPE",
+                "result": "PASS",
+                "limit": 0.59,
+                "value": 0.68
+            },
+            {
+                "name": "SELF_CORRELATION",
+                "result": "PENDING"
+            },
+            {
+                "name": "MATCHES_COMPETITION",
+                "result": "PASS",
+                "competitions": [
+                    {
+                        "id": "challenge",
+                        "name": "Challenge"
+                    }
+                ]
+            }
+        ]
+    },
+    "os": null,
+    "train": null,
+    "test": null,
+    "prod": null,
+    "competitions": null,
+    "themes": null,
+    "pyramids": null,
+    "pyramidThemes": null,
+    "team": null
+}

 *=========================================================================================*