++

prepare_prompt/alpha_prompt.txt

@@ -1,9 +1,8 @@
-研究因子名称
-盈利质量溢价因子
-假设
-高质量的盈利通常表现为持续性、可预测性和较低的应计成分，这类公司往往具备更强的经营现金流支撑和更低的财务操纵风险。根据行为金融学中的“代表性启发”偏差，市场投资者容易过度关注账面利润而忽视盈利构成的质量，导致高质量盈利公司被系统性低估，从而在中长期产生超额收益。
-实施方案
-基于财报数据，构建一个综合盈利质量指标：首先计算应计利润占总利润的比例（应计比率），再结合经营性现金流与净利润的比值、盈利波动率以及资产周转稳定性等维度进行标准化加权，最终形成横截面上的排序因子。该因子值越高，代表公司盈利质量越好，预期未来收益越高。 
+Tail Liquidity Premium Factor
+Hypothesis
+During periods of market stress, small-cap or low-liquidity stocks often experience excessive discounting due to concentrated selling by investors, yet they tend to exhibit stronger subsequent rebounds compared to large-cap stocks—manifesting a "tail liquidity premium." This phenomenon stems from institutional aversion to liquidity risk and retail-driven irrational trading under extreme sentiment, creating short-term mispricing that offers opportunities for contrarian strategies.
+Implementation
+Using daily trading data from the past 20 days, select the bottom 10% of stocks by turnover ratio across the market. Compute the volatility of their excess returns relative to industry averages. The final factor score is the product of this volatility and the magnitude of recent price drawdown, designed to identify oversold tail assets with rebound potential.
 
 
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prepare_prompt/keys_text.txt

@@ -1,4 +1,5 @@
-["accrual", "cashflow", "earnings", "quality", "profitability", "stability", "volatility", "turnover", "ratio", "persistence"]
-Earnings Quality Premium Factor
-High-quality earnings are typically characterized by persistence, predictability, and low accrual components, reflecting stronger operating cash flow support and lower risk of financial manipulation. Behavioral finance suggests that investors often suffer from representativeness bias—overemphasizing headline earnings while neglecting the underlying quality—leading to systematic underpricing of firms with high earnings quality and thus generating long-term abnormal returns.
-Construct a composite earnings quality metric using financial statement data: first compute the ratio of accruals to total earnings, then integrate metrics such as operating cash flow to net income, earnings volatility, and asset turnover stability. Standardize and weight these components to form a cross-sectional ranking factor. Higher factor values indicate better earnings quality and are expected to predict higher future returns.
+Tail Liquidity Premium Factor
+Hypothesis
+During periods of market stress, small-cap or low-liquidity stocks often experience excessive discounting due to concentrated selling by investors, yet they tend to exhibit stronger subsequent rebounds compared to large-cap stocks—manifesting a "tail liquidity premium." This phenomenon stems from institutional aversion to liquidity risk and retail-driven irrational trading under extreme sentiment, creating short-term mispricing that offers opportunities for contrarian strategies.
+Implementation
+Using daily trading data from the past 20 days, select the bottom 10% of stocks by turnover ratio across the market. Compute the volatility of their excess returns relative to industry averages. The final factor score is the product of this volatility and the magnitude of recent price drawdown, designed to identify oversold tail assets with rebound potential.