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147 lines
4.3 KiB
147 lines
4.3 KiB
任务指令
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【策略类型】优化因子
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multiply(ts_rank(divide(ts_backfill(fnd6_drc, 252), assets), 126), subtract(group_rank(divide(ts_backfill(fnd6_drc, 252), assets), sector), 0.5))
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【当前情况】
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{
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"id": "88qMa31V",
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"type": "REGULAR",
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"author": "YC93384",
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"settings": {
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"instrumentType": "EQUITY",
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"region": "USA",
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"universe": "TOP3000",
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"delay": 1,
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"decay": 0,
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"neutralization": "INDUSTRY",
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"truncation": 0.08,
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"pasteurization": "ON",
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"unitHandling": "VERIFY",
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"nanHandling": "OFF",
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"maxTrade": "OFF",
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"language": "FASTEXPR",
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"visualization": false,
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"startDate": "2018-01-20",
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"endDate": "2023-01-20"
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},
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"regular": {
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"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))",
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"description": null,
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"operatorCount": 8
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},
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"dateCreated": "2025-12-25T03:16:45-05:00",
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"dateSubmitted": null,
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"dateModified": "2025-12-25T03:16:45-05:00",
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"name": null,
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"favorite": false,
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"hidden": false,
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"color": null,
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"category": null,
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"tags": [],
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"classifications": [
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{
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"id": "DATA_USAGE:SINGLE_DATA_SET",
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"name": "Single Data Set Alpha"
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}
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],
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"grade": "INFERIOR",
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"stage": "IS",
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"status": "UNSUBMITTED",
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"is": {
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"pnl": 2429129,
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"bookSize": 20000000,
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"longCount": 966,
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"shortCount": 1435,
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"turnover": 0.028,
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"returns": 0.0491,
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"drawdown": 0.0485,
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"margin": 0.003504,
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"sharpe": 1.36,
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"fitness": 0.85,
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"startDate": "2018-01-20",
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"checks": [
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{
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"name": "LOW_SHARPE",
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"result": "PASS",
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"limit": 1.25,
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"value": 1.36
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},
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{
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"name": "LOW_FITNESS",
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"result": "FAIL",
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"limit": 1.0,
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"value": 0.85
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},
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{
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"name": "LOW_TURNOVER",
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"result": "PASS",
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"limit": 0.01,
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"value": 0.028
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},
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{
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"name": "HIGH_TURNOVER",
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"result": "PASS",
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"limit": 0.7,
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"value": 0.028
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},
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{
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"name": "CONCENTRATED_WEIGHT",
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"result": "PASS"
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},
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{
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"name": "LOW_SUB_UNIVERSE_SHARPE",
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"result": "PASS",
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"limit": 0.59,
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"value": 0.68
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},
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{
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"name": "SELF_CORRELATION",
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"result": "PENDING"
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},
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{
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"name": "MATCHES_COMPETITION",
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"result": "PASS",
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"competitions": [
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{
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"id": "challenge",
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"name": "Challenge"
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}
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]
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}
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]
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},
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"os": null,
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"train": null,
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"test": null,
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"prod": null,
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"competitions": null,
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"themes": null,
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"pyramids": null,
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"pyramidThemes": null,
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"team": null
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}
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*=========================================================================================*
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输出格式：
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输出必须是且仅是纯文本。
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每一行是一个完整、独立、语法正确的WebSim表达式。
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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。
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===================== !!! 重点(输出方式) !!! =====================
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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。
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**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)：
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表达式
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表达式
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表达式
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...
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表达式
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=================================================================
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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。
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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 10 个alpha： |