避险情绪传染效应 假设 当市场出现重大系统性风险事件(如流动性危机、地缘冲突、政策巨变)时,投资者避险情绪会迅速蔓延,但不同资产或同类别资产中不同个体对恐慌的“免疫力”存在差异。部分具备强健基本面的公司,其股价在短期恐慌中被过度抛售,形成了显著的价值背离。随着市场情绪平复,这类资产的价格修复动能和速度将远超于那些在恐慌中表现“相对抗跌”、但基本面实则脆弱的资产。对前者建立多头仓位,对后者建立空头仓位,可以捕捉恐慌消退过程中的错误定价修正收益。 实施方案 构建一个“避险期相对弱势-基本面强势”的复合识别因子。首先,使用价量数据识别过去一个月内市场经历显著下跌(例如,基准指数跌幅超过一定阈值)的“避险时期”。在该时期内,计算每只股票相对于其所属行业指数的收益率差值,筛选出“超跌”股票池(即相对弱势)。然后,在此股票池内,运用多维度基本面数据(如高现金流负债比、低短期偿债压力、稳定的盈利能力)计算一个“财务韧性综合评分”。最终,对“超跌”且“财务韧性评分高”的股票赋予正向阿尔法权重,对“抗跌”但“财务韧性评分低”的股票赋予负向权重。 阿尔法因子优化建议 建议采用动态的事件窗口定义方式,而非固定的一个月。可使用波动率突破或市场广度极端值作为“避险时期”的触发信号,以提升事件识别的敏锐度。此外,“财务韧性”的衡量标准应具有横截面可比性,建议先按行业分组计算财务指标的分位数排名,再进行加总,以实现初步的行业中性化,更纯粹地剥离出同行业内的“错杀”与“伪抗跌”标的。 Hedging Sentiment Contagion Effect Hypothesis When significant systemic risk events occur in the market (e.g., liquidity crises, geopolitical conflicts, major policy shifts), investor risk-off sentiment spreads rapidly. However, different assets, or different individuals within the same asset class, exhibit varying degrees of "immunity" to panic. The prices of some companies with robust fundamentals are excessively sold off during short-term panic, creating a significant value dislocation. As market sentiment stabilizes, the price recovery momentum and speed of such assets will far exceed those assets that appeared "relatively resilient" during the panic but actually have fragile fundamentals. Establishing long positions in the former and short positions in the latter can capture the mispricing correction returns during the panic dissipation process. Implementation Plan Construct a composite identification factor of "Relative Weakness During Risk-Off Period & Fundamental Strength". First, use price and volume data to identify "risk-off periods" in the past month where the market experienced significant declines (e.g., a benchmark index drop exceeding a certain threshold). During this period, calculate the return differential of each stock relative to its sector index to screen for an "oversold" stock pool (i.e., relative weakness). Then, within this pool, calculate a "Financial Resilience Composite Score" using multi-dimensional fundamental data (e.g., high cash flow to debt ratio, low short-term solvency pressure, stable profitability). Finally, assign positive alpha weights to stocks that are both "oversold" and have a "high Financial Resilience Score", and negative weights to stocks that are "resilient" but have a "low Financial Resilience Score". Alpha Factor Optimization Suggestions It is recommended to adopt a dynamic event window definition instead of a fixed one-month period. Volatility breakout or extreme market breadth values can be used as triggers for the "risk-off period" to improve the sensitivity of event identification. Furthermore, the measurement criteria for "Financial Resilience" should have cross-sectional comparability. It is suggested to first calculate the percentile ranking of financial metrics within industry groups before aggregation to achieve preliminary industry neutralization, more purely isolating the "wrongfully sold" and "falsely resilient" targets within the same industry. *=========================================================================================* 输出格式: 输出必须是且仅是纯文本。 每一行是一个完整、独立、语法正确的WebSim表达式。 严禁任何形式的解释、编号、标点包裹(如引号)、Markdown格式或额外文本。 ===================== !!! 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。 不要自行假设, 你需要用到的操作符 和 数据集, 必须从我提供给你的里面查找, 并严格按照里面的使用方法进行组合 **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 表达式 表达式 ... 表达式 ================================================================= 重申:请确保所有表达式都使用WorldQuant WebSim平台函数,不要使用pandas、numpy或其他Python库函数。输出必须是一行有效的WQ表达式。 以下是我的账号有权限使用的操作符, 请严格按照操作符, 以及我提供的数据集, 进行生成,组合 30 个alpha: 不要自行假设, 你需要用到的操作符 和 数据集, 必须从我提供给你的里面查找, 并严格按照里面的使用方法进行组合 ================================================================= ts_product ts_zscore ts_mean ts_scale add sign subtract ts_delta ts_rank greater ts_av_diff ts_quantile ts_count_nans ts_covariance ts_arg_min divide ts_corr multiply if_else ts_sum ts_delay group_zscore ts_arg_max ts_std_de ts_backfill 以上这些操作符不能传入事件类型的数据集, 只能传入时间序列数据集, 不能传入事件数据,不能传入事件数据,不能传入事件数据 以下是我的账号有权限使用的操作符, 请严格按照操作符, 进行生成,组合因子 ========================= 操作符开始 ======================================= 注意: Operator: 后面的是操作符(是可以使用的), Description: 此字段后面的是操作符对应的描述或使用说明(禁止使用, 仅供参考), Description字段后面的内容是使用说明, 不是操作符 特别注意!!!! 必须按照操作符字段Operator的使用说明生成 alphaOperator: abs(x) Description: Absolute value of x Operator: add(x, y, filter = false) Description: Add all inputs (at least 2 inputs required). If filter = true, filter all input NaN to 0 before adding Operator: densify(x) Description: Converts a grouping field of many buckets into lesser number of only available buckets so as to make working with grouping fields computationally efficient Operator: divide(x, y) Description: x / y Operator: inverse(x) Description: 1 / x Operator: log(x) Description: Natural logarithm. For example: Log(high/low) uses natural logarithm of high/low ratio as stock weights. Operator: max(x, y, ..) Description: Maximum value of all inputs. At least 2 inputs are required Operator: min(x, y ..) Description: Minimum value of all inputs. At least 2 inputs are required Operator: multiply(x ,y, ... , filter=false) Description: Multiply all inputs. At least 2 inputs are required. Filter sets the NaN values to 1 Operator: power(x, y) Description: x ^ y Operator: reverse(x) Description: - x Operator: sign(x) Description: if input > 0, return 1; if input < 0, return -1; if input = 0, return 0; if input = NaN, return NaN; Operator: signed_power(x, y) Description: x raised to the power of y such that final result preserves sign of x Operator: sqrt(x) Description: Square root of x Operator: subtract(x, y, filter=false) Description: x-y. If filter = true, filter all input NaN to 0 before subtracting Operator: and(input1, input2) Description: Logical AND operator, returns true if both operands are true and returns false otherwise Operator: if_else(input1, input2, input 3) Description: If input1 is true then return input2 else return input3. Operator: input1 < input2 Description: If input1 < input2 return true, else return false Operator: input1 <= input2 Description: Returns true if input1 <= input2, return false otherwise Operator: input1 == input2 Description: Returns true if both inputs are same and returns false otherwise Operator: input1 > input2 Description: Logic comparison operators to compares two inputs Operator: input1 >= input2 Description: Returns true if input1 >= input2, return false otherwise Operator: input1!= input2 Description: Returns true if both inputs are NOT the same and returns false otherwise Operator: is_nan(input) Description: If (input == NaN) return 1 else return 0 Operator: not(x) Description: Returns the logical negation of x. If x is true (1), it returns false (0), and if input is false (0), it returns true (1). Operator: or(input1, input2) Description: Logical OR operator returns true if either or both inputs are true and returns false otherwise Operator: days_from_last_change(x) Description: Amount of days since last change of x Operator: hump(x, hump = 0.01) Description: Limits amount and magnitude of changes in input (thus reducing turnover) Operator: kth_element(x, d, k) Description: Returns K-th value of input by looking through lookback days. This operator can be used to backfill missing data if k=1 Operator: last_diff_value(x, d) Description: Returns last x value not equal to current x value from last d days Operator: ts_arg_max(x, d) Description: Returns the relative index of the max value in the time series for the past d days. If the current day has the max value for the past d days, it returns 0. If previous day has the max value for the past d days, it returns 1 Operator: ts_arg_min(x, d) Description: Returns the relative index of the min value in the time series for the past d days; If the current day has the min value for the past d days, it returns 0; If previous day has the min value for the past d days, it returns 1. Operator: ts_av_diff(x, d) Description: Returns x - tsmean(x, d), but deals with NaNs carefully. That is NaNs are ignored during mean computation Operator: ts_backfill(x,lookback = d, k=1, ignore="NAN") Description: Backfill is the process of replacing the NAN or 0 values by a meaningful value (i.e., a first non-NaN value) Operator: ts_corr(x, y, d) Description: Returns correlation of x and y for the past d days Operator: ts_count_nans(x ,d) Description: Returns the number of NaN values in x for the past d days Operator: ts_covariance(y, x, d) Description: Returns covariance of y and x for the past d days Operator: ts_decay_linear(x, d, dense = false) Description: Returns the linear decay on x for the past d days. Dense parameter=false means operator works in sparse mode and we treat NaN as 0. In dense mode we do not. Operator: ts_delay(x, d) Description: Returns x value d days ago Operator: ts_delta(x, d) Description: Returns x - ts_delay(x, d) Operator: ts_mean(x, d) Description: Returns average value of x for the past d days. Operator: ts_product(x, d) Description: Returns product of x for the past d days Operator: ts_quantile(x,d, driver="gaussian" ) Description: It calculates ts_rank and apply to its value an inverse cumulative density function from driver distribution. Possible values of driver (optional ) are "gaussian", "uniform", "cauchy" distribution where "gaussian" is the default. Operator: ts_rank(x, d, constant = 0) Description: Rank the values of x for each instrument over the past d days, then return the rank of the current value + constant. If not specified, by default, constant = 0. Operator: ts_regression(y, x, d, lag = 0, rettype = 0) Description: Returns various parameters related to regression function Operator: ts_scale(x, d, constant = 0) Description: Returns (x - ts_min(x, d)) / (ts_max(x, d) - ts_min(x, d)) + constant. This operator is similar to scale down operator but acts in time series space Operator: ts_std_dev(x, d) Description: Returns standard deviation of x for the past d days Operator: ts_step(1) Description: Returns days' counter Operator: ts_sum(x, d) Description: Sum values of x for the past d days. Operator: ts_zscore(x, d) Description: Z-score is a numerical measurement that describes a value's relationship to the mean of a group of values. Z-score is measured in terms of standard deviations from the mean: (x - tsmean(x,d)) / tsstddev(x,d). This operator may help reduce outliers and drawdown. Operator: normalize(x, useStd = false, limit = 0.0) Description: Calculates the mean value of all valid alpha values for a certain date, then subtracts that mean from each element Operator: quantile(x, driver = gaussian, sigma = 1.0) Description: Rank the raw vector, shift the ranked Alpha vector, apply distribution (gaussian, cauchy, uniform). If driver is uniform, it simply subtract each Alpha value with the mean of all Alpha values in the Alpha vector Operator: rank(x, rate=2) Description: Ranks the input among all the instruments and returns an equally distributed number between 0.0 and 1.0. For precise sort, use the rate as 0 Operator: scale(x, scale=1, longscale=1, shortscale=1) Description: Scales input to booksize. We can also scale the long positions and short positions to separate scales by mentioning additional parameters to the operator Operator: winsorize(x, std=4) Description: Winsorizes x to make sure that all values in x are between the lower and upper limits, which are specified as multiple of std. Operator: zscore(x) Description: Z-score is a numerical measurement that describes a value's relationship to the mean of a group of values. Z-score is measured in terms of standard deviations from the mean Operator: vec_avg(x) Description: Taking mean of the vector field x Operator: vec_sum(x) Description: Sum of vector field x Operator: bucket(rank(x), range="0, 1, 0.1" or buckets = "2,5,6,7,10") Description: Convert float values into indexes for user-specified buckets. Bucket is useful for creating group values, which can be passed to GROUP as input Operator: trade_when(x, y, z) Description: Used in order to change Alpha values only under a specified condition and to hold Alpha values in other cases. It also allows to close Alpha positions (assign NaN values) under a specified condition Operator: group_backfill(x, group, d, std = 4.0) Description: If a certain value for a certain date and instrument is NaN, from the set of same group instruments, calculate winsorized mean of all non-NaN values over last d days Operator: group_mean(x, weight, group) Description: All elements in group equals to the mean Operator: group_neutralize(x, group) Description: Neutralizes Alpha against groups. These groups can be subindustry, industry, sector, country or a constant Operator: group_rank(x, group) Description: Each elements in a group is assigned the corresponding rank in this group Operator: group_scale(x, group) Description: Normalizes the values in a group to be between 0 and 1. (x - groupmin) / (groupmax - groupmin) Operator: group_zscore(x, group) Description: Calculates group Z-score - numerical measurement that describes a value's relationship to the mean of a group of values. Z-score is measured in terms of standard deviations from the mean. zscore = (data - mean) / stddev of x for each instrument within its group. ========================= 操作符结束 ======================================= ========================= 数据字段开始 ======================================= 注意: data_set_name: 后面的是数据字段(可以使用), description: 此字段后面的是数据字段对应的描述或使用说明(不能使用), description_cn字段后面的内容是中文使用说明(不能使用) {'data_set_name': '可以使用:forward_price_120', 'description': '不可使用,仅供参考:Forward price at 120 days derived from a synthetic long option with payoff similar to long stock + option dynamics. Combination of long ATM call and short ATM put.'} {'data_set_name': '可以使用:fnd6_capxv', 'description': '不可使用,仅供参考:Capital Expend Property, Plant and Equipment Schd V'} {'data_set_name': '可以使用:fnd6_ciother', 'description': '不可使用,仅供参考:Comp. Inc. - Other Adj.'} {'data_set_name': '可以使用:fnd6_eventv110_gdwlidq', 'description': '不可使用,仅供参考:Impairment of Goodwill Diluted EPS Effect'} {'data_set_name': '可以使用:fnd6_eventv110_gdwlieps12', 'description': '不可使用,仅供参考:Impairment of Goodwill Basic EPS Effect 12MM'} {'data_set_name': '可以使用:fnd6_eventv110_gdwliepsq', 'description': '不可使用,仅供参考:Impairment of Goodwill Basic EPS Effect'} {'data_set_name': '可以使用:fnd6_newqeventv110_gdwlamq', 'description': '不可使用,仅供参考:Amortization of Goodwill'} {'data_set_name': '可以使用:fnd6_newqeventv110_gdwlia12', 'description': '不可使用,仅供参考:Impairments of Goodwill After-Tax - 12MM'} {'data_set_name': '可以使用:fnd6_newqeventv110_gdwliaq', 'description': '不可使用,仅供参考:Impairment of Goodwill After-tax'} {'data_set_name': '可以使用:fnd6_newqeventv110_gdwlipq', 'description': '不可使用,仅供参考:Impairment of Goodwill Pretax'} {'data_set_name': '可以使用:fnd6_newqeventv110_spcedq', 'description': '不可使用,仅供参考:S&P Core Earnings EPS Diluted'} {'data_set_name': '可以使用:fnd6_newqv1300_ciotherq', 'description': '不可使用,仅供参考:Comp Inc - Other Adj'} {'data_set_name': '可以使用:goodwill', 'description': '不可使用,仅供参考:Goodwill (net)'} {'data_set_name': '可以使用:sales_ps', 'description': '不可使用,仅供参考:Sales per Share (Quarterly)'} {'data_set_name': '可以使用:fscore_bfl_total', 'description': '不可使用,仅供参考:The final score M-Score is a weighted average of both the Pentagon surface score and the Pentagon acceleration score.'} {'data_set_name': '可以使用:multi_factor_acceleration_score_derivative', 'description': '不可使用,仅供参考:Change in the acceleration of multi-factor score compared to previous period.'} {'data_set_name': '可以使用:anl4_netdebt_flag', 'description': '不可使用,仅供参考:Net debt - forecast type (revision/new/...)'} {'data_set_name': '可以使用:anl4_totgw_high', 'description': '不可使用,仅供参考:Total Goodwill - The highest estimation'} {'data_set_name': '可以使用:anl4_totgw_median', 'description': '不可使用,仅供参考:Total Goodwill - median of estimations'} {'data_set_name': '可以使用:min_reported_eps_guidance', 'description': '不可使用,仅供参考:Reported Earnings Per Share - Minimum guidance value for the annual period'} {'data_set_name': '可以使用:total_goodwill_amount', 'description': '不可使用,仅供参考:Total Goodwill - Value'} {'data_set_name': '可以使用:pv13_com_rk_au', 'description': '不可使用,仅供参考:the HITS authority score of competitors'} {'data_set_name': '可以使用:news_max_up_amt', 'description': '不可使用,仅供参考:The after the news high minus the price at the time of the news'} {'data_set_name': '可以使用:nws18_sse', 'description': '不可使用,仅供参考:Sentiment of phrases impacting the company'} {'data_set_name': '可以使用:fn_comp_not_rec_stock_options_a', 'description': '不可使用,仅供参考:Unrecognized cost of unvested stock option awards.'} {'data_set_name': '可以使用:fn_comp_not_rec_stock_options_q', 'description': '不可使用,仅供参考:Unrecognized cost of unvested stock option awards.'} {'data_set_name': '可以使用:fn_def_tax_assets_liab_net_q', 'description': '不可使用,仅供参考:Amount, after allocation of valuation allowances and deferred tax liability, of deferred tax asset attributable to deductible differences and carryforwards, without jurisdictional netting.'} {'data_set_name': '可以使用:fn_def_tax_liab_a', 'description': '不可使用,仅供参考:Amount, after deferred tax asset, of deferred tax liability attributable to taxable differences without jurisdictional netting.'} {'data_set_name': '可以使用:fn_treasury_stock_shares_a', 'description': '不可使用,仅供参考:Number of common and preferred shares that were previously issued and that were repurchased by the issuing entity and held in treasury on the financial statement date. This stock has no voting rights and receives no dividends.'} {'data_set_name': '可以使用:fn_accrued_liab_curr_q', 'description': '不可使用,仅供参考:Carrying value as of the balance sheet date of obligations incurred and payable, pertaining to costs that are statutory in nature, are incurred on contractual obligations, or accumulate over time and for which invoices have not yet been received or will not be rendered.'} {'data_set_name': '可以使用:nws12_mainz_prevday', 'description': "不可使用,仅供参考:Percent change between the previous day's open and close"} {'data_set_name': '可以使用:pv13_h_min51_f3_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:fnd6_optdr', 'description': '不可使用,仅供参考:Dividend Rate - Assumption (%)'} {'data_set_name': '可以使用:pv13_hierarchy_min10_sector_3000_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:pv13_rha2_min30_3000_513_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:anl4_adjusted_netincome_ft', 'description': '不可使用,仅供参考:Adjusted net income - forecast type (revision/new/...)'} {'data_set_name': '可以使用:capital_expenditure_max_guidance_qtr', 'description': '不可使用,仅供参考:The maximum guidance value for Capital Expenditures'} {'data_set_name': '可以使用:nws12_prez_90_min', 'description': '不可使用,仅供参考:The percent change in price in the first 90 minutes following the news release'} {'data_set_name': '可以使用:max_adjusted_net_income_guidance', 'description': '不可使用,仅供参考:The maximum guidance value for Adjusted net income.'} {'data_set_name': '可以使用:rp_nip_marketing', 'description': '不可使用,仅供参考:News impact projection of marketing news'} {'data_set_name': '可以使用:news_cap', 'description': '不可使用,仅供参考:Reported market capitalization for the calendar day of the session'} {'data_set_name': '可以使用:anl4_epsr_mean', 'description': '不可使用,仅供参考:GAAP Earnings per share - mean of estimations'} {'data_set_name': '可以使用:fnd6_lcoxdr', 'description': '不可使用,仅供参考:Current Liabilities - Other - Excluding Deferred Revenue'} {'data_set_name': '可以使用:fn_oth_income_loss_fx_transaction_and_tax_translation_adj_a', 'description': '不可使用,仅供参考:Amount after tax and reclassification adjustments of gain (loss) on foreign currency translation adjustments, foreign currency transactions designated and effective as economic hedges of a net investment in a foreign entity, and intra-entity foreign currency transactions that are of a long-term-investment nature.'} {'data_set_name': '可以使用:fn_comp_non_opt_forfeited_q', 'description': '不可使用,仅供参考:The number of equity-based payment instruments, excluding stock (or unit) options, that were forfeited during the reporting period.'} {'data_set_name': '可以使用:nws12_afterhsz_1l', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went up 1 percentage points'} {'data_set_name': '可以使用:fn_entity_common_stock_shares_out_a', 'description': "不可使用,仅供参考:Indicate number of shares or other units outstanding of each of registrant's classes of capital or common stock or other ownership interests, if and as stated on cover of related periodic report. Where multiple classes or units exist define each class/interest by adding class of stock items such as Common Class A [Member], Common Class B [Member] or Partnership Interest [Member] onto the Instrument [Domain] of the Entity Listings, Instrument."} {'data_set_name': '可以使用:fnd6_newqv1300_fcaq', 'description': '不可使用,仅供参考:Foreign Exchange Income (Loss)'} {'data_set_name': '可以使用:pv13_revere_level', 'description': '不可使用,仅供参考:Level of the sector within the hierarchy'} {'data_set_name': '可以使用:fnd6_obs', 'description': '不可使用,仅供参考:Order Backlog'} {'data_set_name': '可以使用:pv13_hierarchy_min2_focused_only_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:nws12_prez_highexcstddev', 'description': '不可使用,仅供参考:(EODHigh - TONLast)/StdDev, where StdDev is one standard deviation for the close price for 30 calendar days'} {'data_set_name': '可以使用:pv13_hierarchy_min30_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:shareholders_equity_reported_value', 'description': "不可使用,仅供参考:Shareholders' Equity - Total Value"} {'data_set_name': '可以使用:news_open_vol', 'description': '不可使用,仅供参考:Main open volume'} {'data_set_name': '可以使用:anl4_dez1basicafv4v104_preest', 'description': '不可使用,仅供参考:The previous estimation of financial item'} {'data_set_name': '可以使用:fnd6_mfma1_dpc', 'description': '不可使用,仅供参考:Depreciation and Amortization (Cash Flow)'} {'data_set_name': '可以使用:fnd6_optvolq', 'description': '不可使用,仅供参考:Volatility - Assumption (%)'} {'data_set_name': '可以使用:nws12_prez_dayopen', 'description': '不可使用,仅供参考:Price at the session open'} {'data_set_name': '可以使用:fnd6_newqv1300_rdipaq', 'description': '不可使用,仅供参考:In Process R&D Expense After-tax'} {'data_set_name': '可以使用:anl4_qfv4_div_high', 'description': '不可使用,仅供参考:Dividend per share - The highest estimation'} {'data_set_name': '可以使用:anl4_eaz1laf_estvalue', 'description': '不可使用,仅供参考:Estimation value'} {'data_set_name': '可以使用:nws12_mainz_01l', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went up 10 percentage points'} {'data_set_name': '可以使用:fnd6_mrcta', 'description': '不可使用,仅供参考:Thereafter Portion of Leases'} {'data_set_name': '可以使用:fnd6_divd', 'description': '不可使用,仅供参考:Cash Dividends - Daily'} {'data_set_name': '可以使用:fnd6_newqeventv110_pnrshoq', 'description': '不可使用,仅供参考:Nonred Pfd Shares Outs (000) - Quarterly'} {'data_set_name': '可以使用:fnd6_am', 'description': '不可使用,仅供参考:Amortization of Intangibles'} {'data_set_name': '可以使用:anl4_eaz2lqfv110_estvalue', 'description': '不可使用,仅供参考:Estimation value'} {'data_set_name': '可以使用:pv13_revere_comproduct_company', 'description': '不可使用,仅供参考:Company product'} {'data_set_name': '可以使用:nws12_afterhsz_4l', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went up 4 percentage points'} {'data_set_name': '可以使用:cashflow_per_share_maximum', 'description': '不可使用,仅供参考:Cash Flow - The highest estimation, per share, with a delay of 1 quarter'} {'data_set_name': '可以使用:fnd2_dfdtxlbsgwllandintas', 'description': '不可使用,仅供参考:Amount of deferred tax liability attributable to taxable temporary differences from intangible assets including goodwill.'} {'data_set_name': '可以使用:fnd6_newa1v1300_dvc', 'description': '不可使用,仅供参考:Dividends Common/Ordinary'} {'data_set_name': '可以使用:anl4_cff_value', 'description': '不可使用,仅供参考:Cash Flow From Financing - announced financial value'} {'data_set_name': '可以使用:nws12_prez_open_vol', 'description': '不可使用,仅供参考:Main open volume'} {'data_set_name': '可以使用:max_adjusted_net_profit_guidance', 'description': '不可使用,仅供参考:The maximum guidance value for adjusted net profit on an annual basis.'} {'data_set_name': '可以使用:fnd6_optprcey', 'description': '不可使用,仅供参考:Options Outstanding End of Year - Price'} {'data_set_name': '可以使用:selling_general_admin_expense_actual_value', 'description': '不可使用,仅供参考:Selling, General & Administrative Expense - actual value'} {'data_set_name': '可以使用:pv13_h_min22_1000_sector', 'description': '不可使用,仅供参考:Grouping fields for top 1000'} {'data_set_name': '可以使用:implied_volatility_mean_360', 'description': '不可使用,仅供参考:At-the-money option-implied volatility mean for 360 days'} {'data_set_name': '可以使用:pv13_hierarchy_min52_513_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:fn_liab_fair_val_l1_a', 'description': '不可使用,仅供参考:Liabilities Fair Value, Recurring, Level 1'} {'data_set_name': '可以使用:ticker', 'description': '不可使用,仅供参考:Ticker'} {'data_set_name': '可以使用:news_mins_2_pct_dn', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went down 2 percentage points'} {'data_set_name': '可以使用:fnd2_unrgtxbnfrdsrefpstf', 'description': '不可使用,仅供参考:Amount of decrease in unrecognized tax benefits resulting from lapses of applicable statutes of limitations.'} {'data_set_name': '可以使用:fnd6_optlife', 'description': '不可使用,仅供参考:Life of Options - Assumption (# yrs)'} {'data_set_name': '可以使用:fnd6_optprcca', 'description': '不可使用,仅供参考:Options Cancelled - Price'} {'data_set_name': '可以使用:fn_comp_options_exercisable_number_q', 'description': '不可使用,仅供参考:The number of shares into which fully or partially vested stock options outstanding as of the balance sheet date can be currently converted under the option plan.'} {'data_set_name': '可以使用:nws12_mainz_02s', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went down 20 percentage points'} {'data_set_name': '可以使用:fnd6_newa2v1300_txt', 'description': '不可使用,仅供参考:Income Taxes - Total'} {'data_set_name': '可以使用:fn_comp_options_exercises_weighted_avg_a', 'description': '不可使用,仅供参考:Share-Based Compensation, Options Assumed, Weighted Average Exercise Price'} {'data_set_name': '可以使用:fnd6_newa1v1300_epsfx', 'description': '不可使用,仅供参考:Earnings Per Share (Diluted) - Excluding Extraordinary Items'} {'data_set_name': '可以使用:pcr_vol_1080', 'description': "不可使用,仅供参考:Ratio of put volume to call volume on a stock's options with expiration 1080 days in the future."} {'data_set_name': '可以使用:nws12_prez_mainvwap', 'description': '不可使用,仅供参考:Main session volume-weighted average price'} {'data_set_name': '可以使用:fn_comp_non_opt_forfeited_a', 'description': '不可使用,仅供参考:The number of equity-based payment instruments, excluding stock (or unit) options, that were forfeited during the reporting period.'} {'data_set_name': '可以使用:pv13_hierarchy23_513_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:tangible_book_value_per_share_max_guidance', 'description': '不可使用,仅供参考:Tangible Book Value per Share - Maximum guidance value'} {'data_set_name': '可以使用:max_investing_cashflow_guidance', 'description': '不可使用,仅供参考:The maximum guidance value for Cash Flow from Investing.'} {'data_set_name': '可以使用:fnd2_a_sbcpnargmpmtwgtm', 'description': '不可使用,仅供参考:The weighted average period between the balance sheet date and expiration for all awards outstanding under the plan, which may be expressed in a decimal value for number of years.'} {'data_set_name': '可以使用:anl4_capex_value', 'description': '不可使用,仅供参考:Capital Expenditures - announced financial value'} {'data_set_name': '可以使用:implied_volatility_mean_skew_60', 'description': '不可使用,仅供参考:At-the-money option-implied volatility mean skew for 60 days'} {'data_set_name': '可以使用:nws12_mainz_eodvwap', 'description': '不可使用,仅供参考:Volume weighted average price between the time of news and the end of the session'} {'data_set_name': '可以使用:fnd6_cibegni', 'description': '不可使用,仅供参考:Comp Inc - Beginning Net Income'} {'data_set_name': '可以使用:parkinson_volatility_30', 'description': "不可使用,仅供参考:Parkinson model's historical volatility over 30 days"} {'data_set_name': '可以使用:selling_general_admin_expense', 'description': '不可使用,仅供参考:Selling, General & Administrative Expense Value'} {'data_set_name': '可以使用:anl4_gric_mean', 'description': '不可使用,仅供参考:Gross income - mean of estimations'} {'data_set_name': '可以使用:anl4_ads1detailafv110_person', 'description': '不可使用,仅供参考:Broker Id'} {'data_set_name': '可以使用:pv13_hierarchy_min51_f3_513_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:anl4_ads1detailafv110_prevval', 'description': '不可使用,仅供参考:The Previous Estimation of Financial Item'} {'data_set_name': '可以使用:fnd2_sbcpnshardpreops', 'description': '不可使用,仅供参考:Share-based compensation shares authorized under stock option plans exercise price range number of exercisable options'} {'data_set_name': '可以使用:nws12_prez_1p', 'description': '不可使用,仅供参考:The minimum of L or S above for 1-minute bucket'} {'data_set_name': '可以使用:anl4_fsguidanceafv4_item', 'description': '不可使用,仅供参考:Financial item'} {'data_set_name': '可以使用:nws12_mainz_2l', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went up 2 percentage points'} {'data_set_name': '可以使用:anl4_basicdetaillt_prevval', 'description': '不可使用,仅供参考:The Previous Estimation of Financial Item'} {'data_set_name': '可以使用:rp_nip_insider', 'description': '不可使用,仅供参考:News impact projection of insider trading news'} {'data_set_name': '可以使用:pv13_revere_country', 'description': '不可使用,仅供参考:Country code'} {'data_set_name': '可以使用:fnd6_newqv1300_invfgq', 'description': '不可使用,仅供参考:Inventory - Finished Goods'} {'data_set_name': '可以使用:unsystematic_risk_last_360_days', 'description': '不可使用,仅供参考:Unsystematic Risk Last 360 Days - Relative to SPY'} {'data_set_name': '可以使用:fnd6_txdfo', 'description': '不可使用,仅供参考:Deferred Taxes - Foreign'} {'data_set_name': '可以使用:fnd6_newqeventv110_aociderglq', 'description': '不可使用,仅供参考:Accumulated Other Comprehensive Income - Derivatives Unrealized Gain/Loss'} {'data_set_name': '可以使用:fnd6_cld4', 'description': '不可使用,仅供参考:Capitalized Leases - Due in 4th Year'} {'data_set_name': '可以使用:isin', 'description': '不可使用,仅供参考:ISIN Value'} {'data_set_name': '可以使用:fnd6_newa2v1300_ppegt', 'description': '不可使用,仅供参考:Property, Plant and Equipment - Total (Gross)'} {'data_set_name': '可以使用:fnd6_txtubposdec', 'description': '不可使用,仅供参考:Decrease - Current Tax Positions'} {'data_set_name': '可以使用:vwap', 'description': '不可使用,仅供参考:Daily volume weighted average price'} {'data_set_name': '可以使用:implied_volatility_call_10', 'description': '不可使用,仅供参考:At-the-money option-implied volatility for call Option for 10 days'} {'data_set_name': '可以使用:fnd6_newqeventv110_wdpq', 'description': '不可使用,仅供参考:Writedowns Pretax'} {'data_set_name': '可以使用:anl4_detailrecv4_est', 'description': '不可使用,仅供参考:Estimation value for recommendation detail'} {'data_set_name': '可以使用:rp_nip_price', 'description': '不可使用,仅供参考:News impact projection of stock price news'} ========================= 数据字段结束 ======================================= 以上数据字段和操作符, 按照Description说明组合, 但是每一个 alpha 组合的使用的数据字段和操作符不要过于集中, 在符合语法的情况下, 多尝试不同的组合 你再检查一下, 如果你使用了 Operator abs does not support event inputs Operator ts_mean does not support event inputs Operator ts_scale does not support event inputs Operator add does not support event inputs Operator sign does not support event inputs Operator greater does not support event inputs Operator ts_av_diff does not support event inputs Operator ts_quantile does not support event inputs Operator ts_arg_min does not support event inputs Operator divide does not support event inputs Operator ts_corr does not support event inputs Operator ts_decay_linear does not support event inputs Operator ts_sum does not support event inputs Operator ts_delay does not support event inputs Operator ts_arg_max does not support event inputs Operator ts_std_dev does not support event inputs Operator ts_regression does not support event inputs Operator ts_backfill does not support event inputs Operator signed_power does not support event inputs Operator ts_product does not support event inputs Operator ts_zscore does not support event inputs Operator group_rank does not support event inputs Operator subtract does not support event inputs Operator ts_delta does not support event inputs Operator ts_rank does not support event inputs Operator ts_count_nans does not support event inputs Operator ts_covariance does not support event inputs Operator multiply does not support event inputs Operator if_else does not support event inputs Operator group_neutralize does not support event inputs Operator group_zscore does not support event inputs Operator winsorize does not support event inputs 注意, 以上操作符不能使用事件类型的数据集, 以上操作符禁止使用事件类型的数据集!!