名称 供应商集中度动态调整因子 假设 供应商集中度(前五大供应商采购额占总采购额比重)的动态变化直接反映企业供应链风险的管控能力。若企业供应商集中度从高位持续回落,意味着其正在主动分散供应链依赖风险,能够有效降低单一供应商违约、提价或断供带来的经营冲击,进而提升盈利稳定性与抗风险能力,这类企业应享有估值溢价,适合建立多头仓位;反之,若供应商集中度从低位持续攀升,企业对少数供应商的依赖度加深,供应链脆弱性上升,经营不确定性增加,适合建立空头仓位。此外,集中度调整的速度与幅度和超额收益呈正相关,快速且合理的分散调整比缓慢调整更具信号价值。 实施方案 计算核心指标:基于企业采购数据,测算供应商集中度比率(CR5 = 前五大供应商采购金额 / 总采购金额); 时序趋势分析:使用时序趋势算子(ts_trend)拟合过去 12 个月 CR5 的变化斜率,区分 “持续下降(斜率为负且绝对值大于阈值)”“持续上升(斜率为正且绝对值大于阈值)”“平稳波动” 三类标的; 规模与行业校准:将 CR5 除以企业总采购额的对数以消除规模影响,同时计算标的 CR5 与行业均值的偏离度; 构建多空策略:做多 “CR5 持续下降 + 当前 CR5 低于行业均值” 的标的;做空 “CR5 持续上升 + 当前 CR5 高于行业均值” 的标的;剔除 CR5 平稳波动且偏离行业均值较小的标的以降低噪声。 阿尔法因子优化建议 引入行业差异化阈值:不同行业的供应商集中度基准值差异显著(如半导体行业核心物料供应商集中度天然偏高,快消品行业集中度偏低),建议采用行业分位数算子替代固定阈值,在行业内部分层判断集中度调整的合理性; 叠加供应商质量验证:整合供应商信用评级、合作年限等数据,当集中度下降伴随 “新增供应商信用评级高于原有供应商” 时,强化多头信号权重;若集中度上升源于 “优质供应商排他性合作”,则弱化空头信号; 事件驱动权重调整:运用事件触发算子,在行业性供应链危机(如原材料涨价潮、地缘政治导致的物料断供)发生时,放大该因子的配置权重,捕捉危机期间供应链稳健企业的超额收益; 分档加权优化:采用分层算子将集中度调整幅度分为 “大幅调整”“中度调整”“小幅调整” 三档,针对不同档位设置差异化仓位权重,提升策略的风险收益比。 Name Dynamic Adjustment Factor of Supplier Concentration Hypothesis The dynamic change in supplier concentration (measured by the proportion of purchases from the top 5 suppliers to total purchases) directly reflects an enterprise's ability to control supply chain risks. If a company's supplier concentration continues to decline from a high level, it indicates that it is actively diversifying supply chain dependence risks, which can effectively reduce operational shocks caused by default, price increase or supply disruption of a single supplier, thereby improving profit stability and risk resistance. Such enterprises deserve a valuation premium and are suitable for establishing long positions. Conversely, if supplier concentration continues to rise from a low level, the enterprise's dependence on a few suppliers deepens, supply chain vulnerability increases, and operational uncertainty rises, making it suitable for establishing short positions. In addition, the speed and magnitude of concentration adjustment are positively correlated with excess returns—fast and reasonable diversification adjustments have higher signal value than slow adjustments. Implementation Plan Calculate core indicators: Based on enterprise procurement data, measure the supplier concentration ratio (CR5 = purchase amount from top 5 suppliers / total purchase amount); Time-series trend analysis: Use the time-series trend operator (ts_trend) to fit the change slope of CR5 over the past 12 months, and classify targets into three categories: "continuous decline (negative slope with absolute value greater than threshold)", "continuous rise (positive slope with absolute value greater than threshold)", and "stable fluctuation"; Scale and industry calibration: Divide CR5 by the logarithm of the enterprise's total purchase amount to eliminate scale effects, and calculate the deviation of the target's CR5 from the industry average; Construct long-short strategy: Establish long positions on targets with "continuously declining CR5 + current CR5 below industry average"; establish short positions on targets with "continuously rising CR5 + current CR5 above industry average"; exclude targets with stable CR5 fluctuation and small deviation from industry average to reduce noise. Alpha Factor Optimization Suggestions Introduce industry-differentiated thresholds: There are significant differences in the benchmark values of supplier concentration across industries (e.g., the concentration of core material suppliers in the semiconductor industry is naturally high, while that in the consumer goods industry is low). It is recommended to use the industry quantile operator instead of fixed thresholds to judge the rationality of concentration adjustment by stratification within the industry; Superimpose supplier quality verification: Integrate data such as supplier credit ratings and cooperation years. When the decline in concentration is accompanied by "the credit rating of new suppliers being higher than that of original suppliers", strengthen the weight of long signals; if the rise in concentration stems from "exclusive cooperation with high-quality suppliers", weaken the short signals; Event-driven weight adjustment: Use the event trigger operator to increase the allocation weight of this factor during industry-wide supply chain crises (such as raw material price surges, material supply disruptions caused by geopolitics), capturing excess returns of supply chain-robust enterprises during crises; Tiered weighting optimization: Use the stratification operator to divide the concentration adjustment range into three tiers: "significant adjustment", "moderate adjustment" and "minor adjustment", and set differentiated position weights for different tiers to improve the risk-return ratio of the strategy. *=========================================================================================* 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_acdo', 'description': '不可使用,仅供参考:Current Assets of Discontinued Operations'} {'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_lul3', 'description': '不可使用,仅供参考:Liabilities Level 3 (Unobservable)'} {'data_set_name': '可以使用:fnd6_newqeventv110_lul3q', 'description': '不可使用,仅供参考:Liabilities Level 3 (Unobservable)'} {'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:fnd6_newqv1300_lul3q', 'description': '不可使用,仅供参考:Liabilities Level 3 (Unobservable)'} {'data_set_name': '可以使用:fnd6_newqv1300_spceepsp12', 'description': '不可使用,仅供参考:S&P Core 12MM EPS - Basic - Preliminary'} {'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:fscore_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: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:pv13_h2_min2_1k_sector', 'description': '不可使用,仅供参考:Grouping fields for top 1000'} {'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:pv13_h_min24_500_sector', 'description': '不可使用,仅供参考:Grouping fields for top 500'} {'data_set_name': '可以使用:pv13_h_min2_focused_sector', 'description': '不可使用,仅供参考:Grouping fields for top 200'} {'data_set_name': '可以使用:pv13_h_min52_1k_sector', 'description': '不可使用,仅供参考:Grouping fields for top 1000'} {'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:news_mins_2_chg', 'description': '不可使用,仅供参考:The minimum of L or S above for 2-minute bucket'} {'data_set_name': '可以使用:nws12_mainz_3p', 'description': '不可使用,仅供参考:The minimum of L or S above for 3-minute bucket'} {'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:rp_nip_ratings', 'description': '不可使用,仅供参考:News impact projection of analyst ratings-related news'} {'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_liab_fair_val_a', 'description': '不可使用,仅供参考:Liabilities Fair Value, Recurring, Total'} {'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:fn_liab_fair_val_l1_q', 'description': '不可使用,仅供参考:Liabilities Fair Value, Recurring, Level 1'} {'data_set_name': '可以使用:fn_liab_fair_val_l2_a', 'description': '不可使用,仅供参考:Liabilities Fair Value, Recurring, Level 2'} {'data_set_name': '可以使用:fn_liab_fair_val_l2_q', 'description': '不可使用,仅供参考:Liabilities Fair Value, Recurring, Level 2'} {'data_set_name': '可以使用:fn_op_lease_min_pay_due_in_2y_a', 'description': '不可使用,仅供参考:Amount of required minimum rental payments for operating leases having an initial or remaining non-cancelable lease term in excess of 1 year due in the 2nd fiscal year following the latest fiscal year. Excludes interim and annual periods when interim periods are reported on a rolling approach, from latest balance sheet date.'} {'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:fnd2_dbplanepdfbnfpnext12m', 'description': '不可使用,仅供参考:Amount of benefits from a defined benefit plan expected to be paid in the next fiscal year following the latest fiscal year. Excludes interim and annual periods when interim periods are reported on a rolling approach, from latest balance sheet date.'} {'data_set_name': '可以使用:fnd2_itxreclstatelocalitxes', 'description': '不可使用,仅供参考:Amount of the difference between reported income tax expense (benefit) and expected income tax expense (benefit) computed by applying the domestic federal statutory income tax rates to pretax income (loss) from continuing operations attributable to state and local income tax expense (benefit).'} {'data_set_name': '可以使用:min_financing_cashflow_guidance_2', 'description': '不可使用,仅供参考:Minimum guidance value for Cash Flow From Financing on an annual basis'} {'data_set_name': '可以使用:fnd6_fic', 'description': '不可使用,仅供参考:identifies the country in which the company is incorporated or legally registered'} {'data_set_name': '可以使用:pv13_new_2l_scibr', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:previous_quarterly_guidance_estimate', 'description': '不可使用,仅供参考:The previous estimation of finanicial item'} {'data_set_name': '可以使用:implied_volatility_mean_skew_720', 'description': '不可使用,仅供参考:At-the-money option-implied volatility mean skew for 720 days'} {'data_set_name': '可以使用:pcr_vol_30', 'description': "不可使用,仅供参考:Ratio of put volume to call volume on a stock's options with expiration 30 days in the future."} {'data_set_name': '可以使用:option_breakeven_1080', 'description': "不可使用,仅供参考:Price at which a stock's options with expiration 1080 days in the future break even based on its recent bid/ask mean."} {'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:fnd6_mfma1_invch', 'description': '不可使用,仅供参考:Mortgages - Decrease (Increase)'} {'data_set_name': '可以使用:fnd6_newqeventv110_spcepq', 'description': '不可使用,仅供参考:S&P Core Earnings - Preliminary'} {'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:anl4_cff_number', 'description': '不可使用,仅供参考:Cash Flow From Financing - number of estimations'} {'data_set_name': '可以使用:fnd6_dltp', 'description': '不可使用,仅供参考:Long-Term Debt - Tied to Prime'} {'data_set_name': '可以使用:fnd6_eventv110_spidq', 'description': '不可使用,仅供参考:Other Special Items Diluted EPS Effect'} {'data_set_name': '可以使用:fnd6_newqeventv110_aociotherq', 'description': '不可使用,仅供参考:Accum Other Comp Inc - Other Adjustments'} {'data_set_name': '可以使用:pv13_r2_liquid_min2_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:nws12_afterhsz_eodhigh', 'description': '不可使用,仅供参考:Highest price reached between the time of news and the end of the session'} {'data_set_name': '可以使用:fnd6_ceql', 'description': '不可使用,仅供参考:Common Equity - Liquidation Value'} {'data_set_name': '可以使用:est_ebit', 'description': '不可使用,仅供参考:Earnings before interest and taxes - mean of estimations'} {'data_set_name': '可以使用:nws12_prez_01p', 'description': '不可使用,仅供参考:The minimum of L or S above for 10-minute bucket'} {'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:pv13_h_f3_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:sales_max_guidance_value', 'description': '不可使用,仅供参考:Maximum guidance value for annual sales'} {'data_set_name': '可以使用:anl4_dez1qfv4_est', 'description': '不可使用,仅供参考:Estimation value'} {'data_set_name': '可以使用:fnd6_newa2v1300_txach', 'description': '不可使用,仅供参考:Income Taxes - Accrued - Increase/(Decrease)'} {'data_set_name': '可以使用:pv13_custretsig_retsig', 'description': '不可使用,仅供参考:Sign of customer return'} {'data_set_name': '可以使用:fnd6_newqeventv110_fcaq', 'description': '不可使用,仅供参考:Foreign Exchange Income (Loss)'} {'data_set_name': '可以使用:fnd6_newa1v1300_apalch', 'description': '不可使用,仅供参考:Accounts Payable and Accrued Liabilities - Increase/(Decrease)'} {'data_set_name': '可以使用:pv13_r2_min20_1000_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:snt_social_volume', 'description': '不可使用,仅供参考:Normalized tweet volume'} {'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:anl4_fsactualqfv4_actual', 'description': '不可使用,仅供参考:Announced financial data'} {'data_set_name': '可以使用:rp_css_mna', 'description': '不可使用,仅供参考:Composite sentiment score of mergers and acquisitions-related news'} {'data_set_name': '可以使用:fnd6_prclq', 'description': '不可使用,仅供参考:Price Low - Quarter'} {'data_set_name': '可以使用:fn_proceeds_from_stock_options_exercised_q', 'description': '不可使用,仅供参考:The cash inflow associated with the amount received from holders exercising their stock options. This item inherently excludes any excess tax benefit, which the entity may have realized and reported separately.'} {'data_set_name': '可以使用:fnd6_newqv1300_cibegniq', 'description': '不可使用,仅供参考:Comp Inc - Beginning Net Income'} {'data_set_name': '可以使用:put_breakeven_180', 'description': "不可使用,仅供参考:Price at which a stock's put options with expiration 180 days in the future break even based on its recent bid/ask mean."} {'data_set_name': '可以使用:fnd6_ias', 'description': '不可使用,仅供参考:Identifiable (Total) Assets'} {'data_set_name': '可以使用:fnd6_sppe', 'description': '不可使用,仅供参考:Sale of Property'} {'data_set_name': '可以使用:fnd6_xaccq', 'description': '不可使用,仅供参考:Accrued Expenses'} {'data_set_name': '可以使用:fn_goodwill_acquired_during_period_a', 'description': '不可使用,仅供参考:Amount of increase in asset representing future economic benefits arising from other assets acquired in a business combination that are not individually identified and separately recognized resulting from a business combination.'} {'data_set_name': '可以使用:option_breakeven_270', 'description': "不可使用,仅供参考:Price at which a stock's options with expiration 270 days in the future break even based on its recent bid/ask mean."} {'data_set_name': '可以使用:fnd6_xpr', 'description': '不可使用,仅供参考:Pension and Retirement Expense'} {'data_set_name': '可以使用:fnd6_newqv1300_aqpl1q', 'description': '不可使用,仅供参考:Assets Level 1 (Quoted Prices)'} {'data_set_name': '可以使用:debt_lt', 'description': '不可使用,仅供参考:Long-Term Debt - Total'} {'data_set_name': '可以使用:anl4_qfv4_div_number', 'description': '不可使用,仅供参考:Dividend - number of estimations'} {'data_set_name': '可以使用:fnd6_newqv1300_ivstq', 'description': '不可使用,仅供参考:Short-Term Investments - Total'} {'data_set_name': '可以使用:pretax_income_reported_min_guidance_qtr', 'description': '不可使用,仅供参考:Reported Pretax income- minimum guidance value'} {'data_set_name': '可以使用:fnd2_q_inventoryrawmaterials', 'description': '不可使用,仅供参考:Amount before valuation and LIFO reserves of raw materials expected to be sold, or consumed within 1 year or operating cycle, if longer.'} {'data_set_name': '可以使用:topsp500', 'description': '不可使用,仅供参考:20140630'} {'data_set_name': '可以使用:fnd6_cptmfmq_dpq', 'description': '不可使用,仅供参考:Depreciation and Amortization - Total'} {'data_set_name': '可以使用:anl4_cff_flag', 'description': '不可使用,仅供参考:Cash Flow From Financing Activities - forecast type (revision/new/...)'} {'data_set_name': '可以使用:anl4_eaz1lqfv110_bk', 'description': '不可使用,仅供参考:Broker name (int)'} {'data_set_name': '可以使用:operating_expense', 'description': '不可使用,仅供参考:Operating Expense - Total'} {'data_set_name': '可以使用:rp_ess_price', 'description': '不可使用,仅供参考:Event sentiment score of stock price news'} {'data_set_name': '可以使用:fnd6_newqeventv110_txtq', 'description': '不可使用,仅供参考:Income Taxes - Total'} {'data_set_name': '可以使用:nws12_prez_57s', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went down 7.5 percentage points'} {'data_set_name': '可以使用:max_adjusted_eps_guidance', 'description': '不可使用,仅供参考:The maximum guidance value for adjusted earnings per share.'} {'data_set_name': '可以使用:fnd6_fato', 'description': '不可使用,仅供参考:Plant, Property and Equipment at Cost - Other'} {'data_set_name': '可以使用:fnd6_newqv1300_intanq', 'description': '不可使用,仅供参考:Intangible Assets - Total'} {'data_set_name': '可以使用:min_adjusted_funds_from_operations_guidance', 'description': '不可使用,仅供参考:Funds from operation - minimum guidance value'} {'data_set_name': '可以使用:fnd6_txdbcl', 'description': '不可使用,仅供参考:Deferred Tax Liability - Current'} {'data_set_name': '可以使用:fnd6_newqv1300_optrfrq', 'description': '不可使用,仅供参考:Risk-Free Rate - Assumption (%)'} {'data_set_name': '可以使用:fnd6_txdba', 'description': '不可使用,仅供参考:Deferred Tax Asset - Long Term'} {'data_set_name': '可以使用:implied_volatility_mean_skew_120', 'description': '不可使用,仅供参考:At-the-money option-implied volatility mean skew for 120 days'} {'data_set_name': '可以使用:fnd6_newa1v1300_gp', 'description': '不可使用,仅供参考:Gross Profit (Loss)'} {'data_set_name': '可以使用:anl4_detailltv4_preest', 'description': '不可使用,仅供参考:The previous estimation of financial item'} {'data_set_name': '可以使用:sales_estimate_count_quarterly', 'description': '不可使用,仅供参考:Sales - number of estimations'} {'data_set_name': '可以使用:pv13_revere_company_total', 'description': '不可使用,仅供参考:Total number of companies in the sector'} {'data_set_name': '可以使用:fn_op_lease_min_pay_due_in_3y_a', 'description': '不可使用,仅供参考:Amount of required minimum rental payments for operating leases having an initial or remaining non-cancelable lease term in excess of one year due in the 3rd fiscal year following the latest fiscal year. Excludes interim and annual periods when interim periods are reported on a rolling approach, from latest balance sheet date.'} {'data_set_name': '可以使用:anl4_eaz1lqfv110_prevval', 'description': '不可使用,仅供参考:The previous estimation of financial item'} {'data_set_name': '可以使用:fnd6_newqv1300_lltq', 'description': '不可使用,仅供参考:Long-Term Liabilities (Total)'} {'data_set_name': '可以使用:min_basic_shares_guidance', 'description': '不可使用,仅供参考:Shares Basic - Minimum guidance value'} {'data_set_name': '可以使用:fn_effect_of_exchange_rate_on_cash_and_equiv_a', 'description': '不可使用,仅供参考:Amount of increase (decrease) from the effect of exchange rate changes on cash and cash equivalent balances held in foreign currencies.'} {'data_set_name': '可以使用:est_tot_assets', 'description': '不可使用,仅供参考:Total Assets - mean of estimations'} {'data_set_name': '可以使用:fnd6_newqeventv110_aocisecglq', 'description': '不可使用,仅供参考:Accum. Other Comp. Inc. - Unreal G/L Ret. Int. in Sec. Assets'} {'data_set_name': '可以使用:fnd6_newqv1300_miiq', 'description': '不可使用,仅供参考:Noncontrolling Interest - Income Account'} {'data_set_name': '可以使用:fnd6_newqv1300_oepsxq', 'description': '不可使用,仅供参考:Earnings Per Share - Diluted - from Operations'} {'data_set_name': '可以使用:anl4_eaz2lrec_person', 'description': '不可使用,仅供参考:Broker Id'} {'data_set_name': '可以使用:anl4_afv4_div_number', 'description': '不可使用,仅供参考:Number of estimations for Dividend per share - annually'} {'data_set_name': '可以使用:sales_estimate_dispersion', 'description': '不可使用,仅供参考:Standard deviation of Sales estimations for the annual period.'} {'data_set_name': '可以使用:fnd6_newqeventv110_dvpq', 'description': '不可使用,仅供参考:Dividends - Preferred/Preference'} {'data_set_name': '可以使用:option_breakeven_20', 'description': "不可使用,仅供参考:Price at which a stock's options with expiration 20 days in the future break even based on its recent bid/ask mean."} {'data_set_name': '可以使用:news_mins_10_pct_dn', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went down 10 percentage points'} {'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_h_min2_3000_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:pretax_income_reported', 'description': '不可使用,仅供参考:Reported Pretax income - actual value for the annual fiscal period'} {'data_set_name': '可以使用:fnd6_oprepsx', 'description': '不可使用,仅供参考:Earnings Per Share - Diluted - from Operations'} {'data_set_name': '可以使用:pv13_rha2_min10_1000_513_sector', 'description': '不可使用,仅供参考:grouping fields'} {'data_set_name': '可以使用:news_ls', 'description': '不可使用,仅供参考:Whether a long or short position would have been more advantageous: If (EODHigh - Last) > (Last - EODLow) Then LS = 1; If (EODHigh - Last) = (Last - EODLow) Then LS= 0; If (EODHigh - Last) < (Last - EODLow) Then LS = -1.'} {'data_set_name': '可以使用:max_selling_general_admin_guidance', 'description': '不可使用,仅供参考:The maximum guidance value for Selling, General & Administrative Expense'} {'data_set_name': '可以使用:max_tangible_book_value_per_share_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:nws12_prez_eodlow', 'description': '不可使用,仅供参考:Lowest price reached between the time of news and the end of the session.'} {'data_set_name': '可以使用:nws12_prez_peratio', 'description': '不可使用,仅供参考:Reported price to earnings ratio for the calendar day of the session'} {'data_set_name': '可以使用:fnd6_newqeventv110_ancq', 'description': '不可使用,仅供参考:Non-Current Assets - Total'} {'data_set_name': '可以使用:fnd2_a_sbcpnargmpmtwopsffesip', 'description': '不可使用,仅供参考:The number of shares under options that were cancelled during the reporting period as a result of occurrence of a terminating event specified in contractual agreements pertaining to the stock option plan.'} {'data_set_name': '可以使用:max_research_development_expense_guidance', 'description': '不可使用,仅供参考:The maximum guidance value for Research and Development Expense.'} {'data_set_name': '可以使用:fn_line_of_credit_facility_amount_out_q', 'description': '不可使用,仅供参考:Amount borrowed under the credit facility as of the balance sheet date.'} {'data_set_name': '可以使用:nws12_allz_newrecord', 'description': '不可使用,仅供参考:Tracks whether the news is first instance or a duplicate'} {'data_set_name': '可以使用:fnd6_newqeventv110_invrmq', 'description': '不可使用,仅供参考:Inventory - Raw Materials'} ========================= 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!!