++

2026-01-02 00:26:49 +08:00
parent 11e585b71b
commit 2d265949d7
19 changed files with 2169 additions and 123 deletions
@@ -0,0 +1,13 @@
+gross_margin = divide(fnd6_newqeventv110_spceepsq, fnd6_newqeventv110_spcedq)
+
+industry_zscore = group_zscore(gross_margin, group_sw)
+
+zscore_trend = ts_regression(industry_zscore, ts_step(1), 4, 0, 0)
+
+revenue_growth = ts_delta(fnd6_newqeventv110_spcedq, 4)
+
+signal = if_else(revenue_growth >= 0, zscore_trend, 0)
+
+ranked_signal = rank(signal)
+
+final_alpha = subtract(ranked_signal, 0.5)
@@ -0,0 +1,19 @@
+divide(fnd6_spce, fnd6_newqv1300_spceepsq)
+
+group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类)
+
+ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4)
+
+sign(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4))
+
+rank(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4))
+
+if_else(fnd6_newqv1300_spceepsq >= 0, ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4), NaN)
+
+multiply(sign(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4)), rank(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4)))
+
+winsorize(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4),4)
+
+group_rank(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4),申万行业分类)
+
+normalize(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqv1300_spceepsq),申万行业分类),4))
@@ -0,0 +1,60 @@
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+alpha_raw = if_else(industry_zscore > 0, reverse(slope), slope)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+alpha_raw = multiply(slope, reverse(industry_zscore))
+alpha = rank(alpha_raw)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+signal = if_else(slope > 0, 1, if_else(slope < 0, -1, 0))
+alpha = multiply(signal, industry_zscore)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+alpha_raw = ts_zscore(slope, 8)
+alpha = reverse(alpha_raw)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+combined_score = add(industry_zscore, slope)
+alpha = rank(combined_score)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+alpha_raw = multiply(industry_zscore, slope)
+alpha_rank = rank(alpha_raw)
+alpha = subtract(alpha_rank, 0.5)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+trend_strength = ts_std_dev(slope, 4)
+alpha = multiply(slope, trend_strength)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+baseline = ts_mean(industry_zscore, 8)
+alpha_raw = subtract(slope, baseline)
+alpha = rank(alpha_raw)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+pos_alpha = if_else(industry_zscore <= 0, reverse(slope), multiply(slope, -1))
+alpha = rank(pos_alpha)
+
+gross_margin = divide(fnd6_acdo, fnd6_newqeventv110_spcepd12)
+industry_zscore = group_zscore(gross_margin, swsector)
+slope = ts_decay_linear(industry_zscore, 4)
+raw_signal = if_else(industry_zscore > 0, if_else(slope < 0, 1, -1), if_else(slope > 0, 1, -1))
+alpha = multiply(raw_signal, industry_zscore)
@@ -0,0 +1,19 @@
+divide(fnd6_spce, fnd6_newqeventv110_spceepsq)
+
+group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业)
+
+ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4)
+
+sign(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4))
+
+multiply(sign(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4)), rank(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4)))
+
+if_else(greater_equal(fnd6_newqeventv110_spceepsq, 0), multiply(sign(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4)), rank(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4))), 0)
+
+ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4, dense=false)
+
+if_else(greater_equal(ts_delta(fnd6_newqeventv110_spceepsq, 1), 0), multiply(sign(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4)), rank(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4))), 0)
+
+winsorize(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4), std=3)
+
+normalize(multiply(sign(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4)), rank(ts_decay_linear(group_zscore(divide(fnd6_spce, fnd6_newqeventv110_spceepsq), group=申万行业), 4))), useStd=true)