++

2026-01-02 00:26:49 +08:00
parent 11e585b71b
commit 2d265949d7
19 changed files with 2169 additions and 123 deletions
@@ -1,125 +1,13 @@
 任务指令
-【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】
+[[假设]]
+毛利率结构分化蕴含行业竞争格局信息：毛利率持续高于行业均值但呈现收窄趋势的企业，往往面临竞争加剧或定价权削弱，这可能预示未来盈利增速放缓；反之，毛利率持续低于行业均值但呈现扩张趋势的企业，可能正通过效率提升或产品结构改善获得竞争优势，未来盈利存在上行潜力。
+
+[[实施方案]]
+使用基础数据“毛利”与“营业收入”计算毛利率（毛利/营业收入）。使用时序行业中性化算子（如“group_standardize_0”），在申万行业分类下，计算每只股票过去八个季度的毛利率相对于行业均值的标准分。再采用时序变化算子（如“ts_decay_linear”）捕捉该标准分在过去四个季度的变化斜率。斜率值为负（标准分下降）时赋予负阿尔法权重，斜率为正（标准分上升）时赋予正阿尔法权重。
+
+[[阿尔法因子优化建议]]
+该逻辑的核心在于“趋势”与“相对位置”的交互。建议引入横截面动量算子（如“rank”）对最终的斜率值进行再排序，以强化头部与尾部信号。同时，可考虑对营业收入增长率施加条件约束（例如，仅当营收增长率非负时信号生效），以避免因收缩业务导致毛利率被动提升的噪音干扰。

-{
-    "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
-}

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

@@ -130,7 +18,7 @@ multiply(ts_rank(divide(ts_backfill(fnd6_drc, 252), assets), 126), subtract(grou

 ===================== !!! 重点(输出方式) !!! =====================
 现在，请严格遵守以上所有规则，开始生成可立即在WebSim中运行的复合因子表达式。
-**输出格式**(一行一个表达式, 每个表达式中间需要添加一个空行, 只要表达式本身, 不要解释, 不需要序号, 也不要输出多余的东西)：
+**输出格式**(一行一个表达式, 每个表达式中间需要添加一个空行, 只要表达式本身, 不需要赋值, 不要解释, 不需要序号, 也不要输出多余的东西)：

 表达式