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347 lines
37 KiB
347 lines
37 KiB
Name
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Merger and Acquisition Goodwill Impairment Lag Risk
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Hypothesis
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Goodwill formed from corporate mergers and acquisitions (M&A) usually does not have impairment recognized immediately but with a certain time lag if there are potential issues such as overvaluation and failure to meet performance commitments of the target. The market often fails to fully price this risk before the impairment announcement, leading to a significant pullback in the stock prices of such companies after the announcement. Therefore, establishing short positions in advance for companies with high goodwill and weak target performance can capture excess returns from lagged impairment; on the contrary, companies with high-quality goodwill and stable achievement of target performance can be given positive allocation weights.
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Implementation Plan
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Screen targets that have undergone M&A in the past 3 years and formed large-scale goodwill (goodwill accounts for more than a certain threshold of total assets), and track core indicators of the merged target such as the completion of performance commitments, revenue growth rate, and net profit margin. Construct a "goodwill quality score" that comprehensively considers three dimensions: the proportion of goodwill scale, the completion rate of target performance commitments, and the M&A premium rate. Use time-series tracking operators to monitor the deviation trend between target performance and commitments. For targets whose performance has failed to meet commitments for two consecutive quarters and have a high goodwill ratio, gradually establish short positions; for targets that exceed performance commitments and have a reasonable goodwill ratio, include them in the long candidate pool.
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Alpha Factor Optimization Suggestions
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The risk of goodwill impairment varies significantly among different types of M&A (horizontal M&A, vertical M&A, cross-border M&A). Group operators can be used to analyze by M&A type to improve factor pertinence. It is recommended to introduce indicators of valuation rationality at the time of M&A (such as the deviation between M&A PE and industry average PE) as adjustment variables to strengthen risk pricing for high-premium M&A targets. At the same time, combine public opinion data to monitor changes in market expectations for the performance of merged targets. When negative public opinion heats up but no impairment has been recognized, amplify the weight of short signals in advance; in addition, industry neutralization can be used to eliminate interference caused by differences in goodwill ratios across industries, further improving factor effectiveness.
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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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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
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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, 不需要赋值, 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 30 个alpha：
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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
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=================================================================
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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
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ts_arg_min divide ts_corr multiply if_else ts_sum ts_delay group_zscore ts_arg_max ts_std_de ts_backfill
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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
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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, 进行生成,组合因子
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========================= 操作符开始 =======================================
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注意: Operator: 后面的是操作符(是可以使用的),
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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
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特别注意!!!! 必须按照操作符字段Operator的使用说明生成 alphaOperator: abs(x)
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Description: Absolute value of x
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Operator: add(x, y, filter = false)
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Description: Add all inputs (at least 2 inputs required). If filter = true, filter all input NaN to 0 before adding
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Operator: densify(x)
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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
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Operator: divide(x, y)
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Description: x / y
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Operator: inverse(x)
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Description: 1 / x
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Operator: log(x)
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Description: Natural logarithm. For example: Log(high/low) uses natural logarithm of high/low ratio as stock weights.
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Operator: max(x, y, ..)
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Description: Maximum value of all inputs. At least 2 inputs are required
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Operator: min(x, y ..)
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Description: Minimum value of all inputs. At least 2 inputs are required
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Operator: multiply(x ,y, ... , filter=false)
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Description: Multiply all inputs. At least 2 inputs are required. Filter sets the NaN values to 1
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Operator: power(x, y)
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Description: x ^ y
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Operator: reverse(x)
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Description: - x
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Operator: sign(x)
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Description: if input > 0, return 1; if input < 0, return -1; if input = 0, return 0; if input = NaN, return NaN;
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Operator: signed_power(x, y)
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Description: x raised to the power of y such that final result preserves sign of x
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Operator: sqrt(x)
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Description: Square root of x
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Operator: subtract(x, y, filter=false)
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Description: x-y. If filter = true, filter all input NaN to 0 before subtracting
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Operator: and(input1, input2)
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Description: Logical AND operator, returns true if both operands are true and returns false otherwise
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Operator: if_else(input1, input2, input 3)
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Description: If input1 is true then return input2 else return input3.
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Operator: input1 < input2
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Description: If input1 < input2 return true, else return false
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Operator: input1 <= input2
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Description: Returns true if input1 <= input2, return false otherwise
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Operator: input1 == input2
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Description: Returns true if both inputs are same and returns false otherwise
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Operator: input1 > input2
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Description: Logic comparison operators to compares two inputs
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Operator: input1 >= input2
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Description: Returns true if input1 >= input2, return false otherwise
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Operator: input1!= input2
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Description: Returns true if both inputs are NOT the same and returns false otherwise
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Operator: is_nan(input)
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Description: If (input == NaN) return 1 else return 0
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Operator: not(x)
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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).
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Operator: or(input1, input2)
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Description: Logical OR operator returns true if either or both inputs are true and returns false otherwise
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Operator: days_from_last_change(x)
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Description: Amount of days since last change of x
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Operator: hump(x, hump = 0.01)
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Description: Limits amount and magnitude of changes in input (thus reducing turnover)
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Operator: kth_element(x, d, k)
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Description: Returns K-th value of input by looking through lookback days. This operator can be used to backfill missing data if k=1
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Operator: last_diff_value(x, d)
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Description: Returns last x value not equal to current x value from last d days
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Operator: ts_arg_max(x, d)
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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
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Operator: ts_arg_min(x, d)
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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.
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Operator: ts_av_diff(x, d)
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Description: Returns x - tsmean(x, d), but deals with NaNs carefully. That is NaNs are ignored during mean computation
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Operator: ts_backfill(x,lookback = d, k=1, ignore="NAN")
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Description: Backfill is the process of replacing the NAN or 0 values by a meaningful value (i.e., a first non-NaN value)
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Operator: ts_corr(x, y, d)
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Description: Returns correlation of x and y for the past d days
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Operator: ts_count_nans(x ,d)
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Description: Returns the number of NaN values in x for the past d days
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Operator: ts_covariance(y, x, d)
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Description: Returns covariance of y and x for the past d days
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Operator: ts_decay_linear(x, d, dense = false)
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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.
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Operator: ts_delay(x, d)
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Description: Returns x value d days ago
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Operator: ts_delta(x, d)
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Description: Returns x - ts_delay(x, d)
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Operator: ts_mean(x, d)
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Description: Returns average value of x for the past d days.
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Operator: ts_product(x, d)
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Description: Returns product of x for the past d days
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Operator: ts_quantile(x,d, driver="gaussian" )
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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.
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Operator: ts_rank(x, d, constant = 0)
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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.
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Operator: ts_regression(y, x, d, lag = 0, rettype = 0)
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Description: Returns various parameters related to regression function
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Operator: ts_scale(x, d, constant = 0)
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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
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Operator: ts_std_dev(x, d)
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Description: Returns standard deviation of x for the past d days
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Operator: ts_step(1)
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Description: Returns days' counter
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Operator: ts_sum(x, d)
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Description: Sum values of x for the past d days.
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Operator: ts_zscore(x, d)
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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.
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Operator: normalize(x, useStd = false, limit = 0.0)
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Description: Calculates the mean value of all valid alpha values for a certain date, then subtracts that mean from each element
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Operator: quantile(x, driver = gaussian, sigma = 1.0)
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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
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Operator: rank(x, rate=2)
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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
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Operator: scale(x, scale=1, longscale=1, shortscale=1)
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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
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Operator: winsorize(x, std=4)
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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.
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Operator: zscore(x)
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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
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Operator: vec_avg(x)
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Description: Taking mean of the vector field x
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Operator: vec_sum(x)
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Description: Sum of vector field x
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Operator: bucket(rank(x), range="0, 1, 0.1" or buckets = "2,5,6,7,10")
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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
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Operator: trade_when(x, y, z)
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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
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Operator: group_backfill(x, group, d, std = 4.0)
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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
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Operator: group_mean(x, weight, group)
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Description: All elements in group equals to the mean
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Operator: group_neutralize(x, group)
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Description: Neutralizes Alpha against groups. These groups can be subindustry, industry, sector, country or a constant
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Operator: group_rank(x, group)
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Description: Each elements in a group is assigned the corresponding rank in this group
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Operator: group_scale(x, group)
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Description: Normalizes the values in a group to be between 0 and 1. (x - groupmin) / (groupmax - groupmin)
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Operator: group_zscore(x, group)
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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.
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========================= 操作符结束 =======================================
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========================= 数据字段开始 =======================================
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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)
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{'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.'}
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{'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'}
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{'data_set_name': '可以使用:fnd6_ciother', 'description': '不可使用,仅供参考:Comp. Inc. - Other Adj.'}
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{'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'}
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{'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'}
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{'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'}
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{'data_set_name': '可以使用:fnd6_newa2v1300_oiadp', 'description': '不可使用,仅供参考:Operating Income After Depreciation'}
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{'data_set_name': '可以使用:fnd6_newqeventv110_cibegniq', 'description': '不可使用,仅供参考:Comp Inc - Beginning Net Income'}
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{'data_set_name': '可以使用:fnd6_newqeventv110_gdwlamq', 'description': '不可使用,仅供参考:Amortization of Goodwill'}
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{'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'}
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{'data_set_name': '可以使用:fnd6_newqeventv110_gdwliaq', 'description': '不可使用,仅供参考:Impairment of Goodwill After-tax'}
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{'data_set_name': '可以使用:fnd6_newqeventv110_gdwlipq', 'description': '不可使用,仅供参考:Impairment of Goodwill Pretax'}
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{'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'}
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{'data_set_name': '可以使用:fnd6_newqv1300_ciotherq', 'description': '不可使用,仅供参考:Comp Inc - Other Adj'}
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{'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'}
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{'data_set_name': '可以使用:fnd6_oiadps', 'description': '不可使用,仅供参考:Operating Income after Depreciation'}
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{'data_set_name': '可以使用:goodwill', 'description': '不可使用,仅供参考:Goodwill (net)'}
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{'data_set_name': '可以使用:sales_ps', 'description': '不可使用,仅供参考:Sales per Share (Quarterly)'}
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{'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.'}
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{'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.'}
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{'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.'}
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{'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/...)'}
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{'data_set_name': '可以使用:anl4_totgw_high', 'description': '不可使用,仅供参考:Total Goodwill - The highest estimation'}
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{'data_set_name': '可以使用:anl4_totgw_median', 'description': '不可使用,仅供参考:Total Goodwill - median of estimations'}
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{'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'}
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{'data_set_name': '可以使用:total_goodwill_amount', 'description': '不可使用,仅供参考:Total Goodwill - Value'}
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{'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'}
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{'data_set_name': '可以使用:nws18_sse', 'description': '不可使用,仅供参考:Sentiment of phrases impacting the company'}
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{'data_set_name': '可以使用:fn_comp_not_rec_a', 'description': '不可使用,仅供参考:Unrecognized cost of unvested share-based compensation awards.'}
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{'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.'}
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{'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.'}
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{'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.'}
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{'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.'}
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{'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'}
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{'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.'}
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{'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.'}
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{'data_set_name': '可以使用:nws12_prez_opengap', 'description': '不可使用,仅供参考:(DayOpen - PrevClose) / PrevClose.'}
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{'data_set_name': '可以使用:fnd6_naicss', 'description': '不可使用,仅供参考:NAICS Code'}
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{'data_set_name': '可以使用:anl4_cfo_median', 'description': '不可使用,仅供参考:Cash Flow From Operations - median of estimations'}
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{'data_set_name': '可以使用:fnd6_newa2v1300_recch', 'description': '不可使用,仅供参考:Accounts Receivable - Decrease (Increase)'}
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{'data_set_name': '可以使用:news_atr_ratio', 'description': "不可使用,仅供参考:Ratio of today's range to 20-day average true range"}
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{'data_set_name': '可以使用:fnd6_newqeventv110_tstknq', 'description': '不可使用,仅供参考:Treasury Stock - Number of Common Shares'}
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{'data_set_name': '可以使用:fn_antidilutive_securities_excl_from_eps_q', 'description': '不可使用,仅供参考:Securities (including those issuable pursuant to contingent stock agreements) that could potentially dilute basic earnings per share (EPS) or earnings per unit (EPU) in the future that were not included in the computation of diluted EPS or EPU because to do so would increase EPS or EPU amounts or decrease loss per share or unit amounts for the period presented.'}
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{'data_set_name': '可以使用:dividend_estimate_minimum', 'description': '不可使用,仅供参考:Dividend per share - The lowest value among forecasts - D1'}
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{'data_set_name': '可以使用:fnd6_newqv1300_seqq', 'description': "不可使用,仅供参考:Stockholders' Equity - Total - Quarterly"}
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{'data_set_name': '可以使用:fn_comp_options_out_number_q', 'description': '不可使用,仅供参考:Number of options outstanding, including both vested and non-vested options.'}
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{'data_set_name': '可以使用:fnd6_eventv110_glepsq', 'description': '不可使用,仅供参考:Gain/Loss Basic EPS Effect'}
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{'data_set_name': '可以使用:fnd6_txndbl', 'description': '不可使用,仅供参考:Net Deferred Tax Liability'}
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{'data_set_name': '可以使用:nws12_afterhsz_mktcap', 'description': '不可使用,仅供参考:Reported market capitalization for the calendar day of the session'}
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{'data_set_name': '可以使用:income', 'description': '不可使用,仅供参考:Net Income'}
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{'data_set_name': '可以使用:fnd6_newa1v1300_ibc', 'description': '不可使用,仅供参考:Income Before Extraordinary Items (Cash Flow)'}
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{'data_set_name': '可以使用:fnd6_prstkc', 'description': '不可使用,仅供参考:Purchase of Common and Preferred Stock'}
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{'data_set_name': '可以使用:eps_previous_estimate_value', 'description': '不可使用,仅供参考:The previous estimation of Earnings Per Share'}
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{'data_set_name': '可以使用:snt_buzz_ret_fast_d1', 'description': '不可使用,仅供参考:negative return of relative sentiment volume'}
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{'data_set_name': '可以使用:pcr_vol_180', 'description': "不可使用,仅供参考:Ratio of put volume to call volume on a stock's options with expiration 180 days in the future."}
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{'data_set_name': '可以使用:fnd2_unrgtxbnfinregfprtxps', 'description': '不可使用,仅供参考:Amount of increase in unrecognized tax benefits resulting from tax positions taken in prior period tax returns.'}
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{'data_set_name': '可以使用:anl4_fcf_value', 'description': '不可使用,仅供参考:Free cash flow- announced financial value'}
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{'data_set_name': '可以使用:fnd6_newqv1300_aocisecglq', 'description': '不可使用,仅供参考:Accum Other Comp Inc - Unreal G/L Ret Int in Sec Assets'}
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{'data_set_name': '可以使用:news_main_vwap', 'description': '不可使用,仅供参考:Main session volume weighted average price'}
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{'data_set_name': '可以使用:fnd6_newa1v1300_ivncf', 'description': '不可使用,仅供参考:Investing Activities - Net Cash Flow'}
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{'data_set_name': '可以使用:gross_income_reported_value', 'description': '不可使用,仅供参考:Gross Income value for the quarter'}
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{'data_set_name': '可以使用:pv13_hierarchy_min10_top3000_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
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{'data_set_name': '可以使用:anl4_qfd1_az_hgih_vid', 'description': '不可使用,仅供参考:Dividend per share - The highest estimation'}
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{'data_set_name': '可以使用:fnd6_newqeventv110_pncidpq', 'description': '不可使用,仅供参考:Core Pension Interest Adjustment Diluted EPS Effect Preliminary'}
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{'data_set_name': '可以使用:fnd6_spis', 'description': '不可使用,仅供参考:Special Items'}
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{'data_set_name': '可以使用:pv13_hierarchy_min20_3k_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
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{'data_set_name': '可以使用:fnd6_nxints', 'description': '不可使用,仅供参考:Net Interest Income (Expense)'}
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{'data_set_name': '可以使用:fnd6_dlto', 'description': '不可使用,仅供参考:Debt - Long-Term - Other'}
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{'data_set_name': '可以使用:anl4_basicconqfv110_down', 'description': '不可使用,仅供参考:Number of lower estimations'}
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{'data_set_name': '可以使用:fnd6_newqeventv110_miiq', 'description': '不可使用,仅供参考:Noncontrolling Interest - Income Account'}
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{'data_set_name': '可以使用:nws12_mainz_1l', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went up 1 percentage point'}
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{'data_set_name': '可以使用:sales_growth', 'description': '不可使用,仅供参考:Growth in Sales (Quarterly)'}
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{'data_set_name': '可以使用:fnd6_newqv1300_cshoq', 'description': '不可使用,仅供参考:Common Shares Outstanding'}
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{'data_set_name': '可以使用:fnd2_a_acmopcldbpoprpnt', 'description': '不可使用,仅供参考:The total of net gain (loss), prior service cost (credit), and transition assets (obligations), as well as minimum pension liability if still remaining, included in accumulated other comprehensive income associated with a defined benefit pension or other postretirement plan(s) because they have yet to be recognized as components of net periodic benefit cost.'}
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{'data_set_name': '可以使用:fnd6_newqeventv110_xopt12', 'description': '不可使用,仅供参考:Implied Option Expense - 12mm'}
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{'data_set_name': '可以使用:fn_assets_fair_val_l3_q', 'description': '不可使用,仅供参考:Asset Fair Value, Recurring, Level 3'}
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{'data_set_name': '可以使用:pv13_hierarchy_min10_sector_3000_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
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{'data_set_name': '可以使用:pcr_vol_270', 'description': "不可使用,仅供参考:Ratio of put volume to call volume on a stock's options with expiration 270 days in the future."}
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{'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'}
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{'data_set_name': '可以使用:fnd2_a_consinprogressg', 'description': '不可使用,仅供参考:Amount of structure or a modification to a structure under construction. Includes recently completed structures or modifications to structures that have not been placed into service.'}
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{'data_set_name': '可以使用:anl4_fcf_flag', 'description': '不可使用,仅供参考:Free cash flow - forecast type (revision/new/...)'}
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{'data_set_name': '可以使用:fnd6_itci', 'description': '不可使用,仅供参考:Investment Tax Credit (Income Account)'}
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|
{'data_set_name': '可以使用:pv13_hierarchy_f1_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
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|
{'data_set_name': '可以使用:fnd6_eventv110_setepsq', 'description': '不可使用,仅供参考:Settlement (Litigation/Insurance) Basic EPS Effect'}
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|
{'data_set_name': '可以使用:min_shareholders_equity_guidance', 'description': "不可使用,仅供参考:Minimum guidance value for Shareholders' Equity"}
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{'data_set_name': '可以使用:fnd6_newqeventv110_oepsxq', 'description': '不可使用,仅供参考:Earnings Per Share - Diluted - from Operations'}
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{'data_set_name': '可以使用:fnd6_eventv110_txdbclq', 'description': '不可使用,仅供参考:Current Deferred Tax Liability'}
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|
{'data_set_name': '可以使用:fnd6_newqeventv110_spcepq', 'description': '不可使用,仅供参考:S&P Core Earnings - Preliminary'}
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{'data_set_name': '可以使用:fnd6_ranks', 'description': '不可使用,仅供参考:Ranking'}
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|
{'data_set_name': '可以使用:fnd6_prcl', 'description': '不可使用,仅供参考:Price Low - Annual'}
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{'data_set_name': '可以使用:anl4_basicdetailqfv110_prevval', 'description': '不可使用,仅供参考:The previous estimation of financial item'}
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{'data_set_name': '可以使用:rp_css_credit_ratings', 'description': '不可使用,仅供参考:Composite sentiment score of credit ratings news'}
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|
{'data_set_name': '可以使用:fnd2_itxreexftfedstyitxrt', 'description': '不可使用,仅供参考:Income tax amount computed at the federal tax rate, before any adjustments'}
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{'data_set_name': '可以使用:nws12_mainz_2p', 'description': '不可使用,仅供参考:The minimum of L or S above for 2 minute bucket'}
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|
{'data_set_name': '可以使用:cash_flow_from_investing', 'description': '不可使用,仅供参考:Cash Flow from Investing - Value'}
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{'data_set_name': '可以使用:earnings_per_share_nongaap_value', 'description': '不可使用,仅供参考:Non-GAAP Earnings Per Share - Actual Value'}
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{'data_set_name': '可以使用:news_post_vwap', 'description': '不可使用,仅供参考:Post-session volume-weighted average price'}
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{'data_set_name': '可以使用:nws12_prez_tonlast', 'description': '不可使用,仅供参考:Price at the time of news'}
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|
{'data_set_name': '可以使用:fnd6_newq_xoptdqp', 'description': '不可使用,仅供参考:Implied Option EPS Diluted Preliminary'}
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{'data_set_name': '可以使用:fn_debt_issuance_costs_q', 'description': '不可使用,仅供参考:Amount of debt issuance costs (for example, but not limited to, legal, accounting, broker, and regulatory fees).'}
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{'data_set_name': '可以使用:news_max_dn_ret', 'description': '不可使用,仅供参考:Percent change from the price at the time of the news to the after the news low'}
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{'data_set_name': '可以使用:nws12_prez_120_min', 'description': '不可使用,仅供参考:The percent change in price in the first 120 minutes following the news release'}
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{'data_set_name': '可以使用:pv13_hierarchy_min20_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
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{'data_set_name': '可以使用:nws12_afterhsz_01l', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went up 10 percentage points'}
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{'data_set_name': '可以使用:fnd6_dd4', 'description': '不可使用,仅供参考:Debt Due in 4th Year'}
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{'data_set_name': '可以使用:nws12_mainz_5p', 'description': '不可使用,仅供参考:The minimum of L or S above for 5-minute bucket'}
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|
{'data_set_name': '可以使用:nws12_prez_dayopen', 'description': '不可使用,仅供参考:Price at the session open'}
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|
{'data_set_name': '可以使用:fnd6_cptnewqv1300_dpq', 'description': '不可使用,仅供参考:Depreciation and Amortization - Total'}
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|
{'data_set_name': '可以使用:fnd2_dfdfritxexp', 'description': '不可使用,仅供参考:Income Tax Expense, Deferred - Foreign'}
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|
{'data_set_name': '可以使用:pv13_hierarchy_min10_1000_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
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{'data_set_name': '可以使用:nws18_qmb', 'description': '不可使用,仅供参考:News sentiment specializing in editorials on global markets'}
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|
{'data_set_name': '可以使用:fnd6_newqeventv110_prcaq', 'description': '不可使用,仅供参考:Core Post-Retirement Adjustment'}
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|
{'data_set_name': '可以使用:market', 'description': '不可使用,仅供参考:Market grouping'}
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|
{'data_set_name': '可以使用:fnd6_cptrank_gvkeymap', 'description': '不可使用,仅供参考:technical code for a company, no need to use it for research'}
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|
{'data_set_name': '可以使用:pv13_hierarchy_min25_sector', 'description': '不可使用,仅供参考:grouping fields'}
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|
{'data_set_name': '可以使用:nws12_mainz_postvwap', 'description': '不可使用,仅供参考:Post session volume weighted average price'}
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|
{'data_set_name': '可以使用:fnd6_cptnewqeventv110_dlttq', 'description': '不可使用,仅供参考:Long-Term Debt - Total'}
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|
{'data_set_name': '可以使用:fnd6_newqeventv110_aol2q', 'description': '不可使用,仅供参考:Assets Level 2 (Observable)'}
|
|
{'data_set_name': '可以使用:pretax_income_actual_reported_value', 'description': '不可使用,仅供参考:Reported Pretax income- announced financial value'}
|
|
{'data_set_name': '可以使用:pv13_5l_scibr', 'description': '不可使用,仅供参考:grouping fields'}
|
|
{'data_set_name': '可以使用:anl4_qf_az_eps_number', 'description': '不可使用,仅供参考:Earnings per share - number of estimations'}
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|
{'data_set_name': '可以使用:fnd6_eventv110_xaccq', 'description': '不可使用,仅供参考:Accrued Expenses'}
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|
{'data_set_name': '可以使用:fnd2_q_flintasamt1expytwo', 'description': '不可使用,仅供参考:Amount of amortization expense for assets, excluding financial assets and goodwill, lacking physical substance with a finite life expected to be recognized during 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:nws12_afterhsz_4s', 'description': '不可使用,仅供参考:Number of minutes that elapsed before price went down 4 percentage points'}
|
|
{'data_set_name': '可以使用:fnd6_eventv110_aqepsq', 'description': '不可使用,仅供参考:Acquisition/Merger Basic EPS Effect'}
|
|
{'data_set_name': '可以使用:sales_estimate_minimum', 'description': '不可使用,仅供参考:Sales - The lowest estimation'}
|
|
{'data_set_name': '可以使用:fn_finite_lived_intangible_assets_gross_q', 'description': '不可使用,仅供参考:Amount before amortization of assets, excluding financial assets and goodwill, lacking physical substance with a finite life.'}
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|
{'data_set_name': '可以使用:fnd6_newqv1300_spiq', 'description': '不可使用,仅供参考:Special Items'}
|
|
{'data_set_name': '可以使用:fnd6_cptnewqeventv110_actq', 'description': '不可使用,仅供参考:Current Assets - Total'}
|
|
{'data_set_name': '可以使用:fnd2_dfdtxasoprlcarryfwd', 'description': '不可使用,仅供参考:Amount before allocation of valuation allowances of deferred tax asset attributable to deductible operating loss carryforwards.'}
|
|
{'data_set_name': '可以使用:news_tot_ticks', 'description': '不可使用,仅供参考:Total number of ticks for the trading day'}
|
|
{'data_set_name': '可以使用:anl4_ebit_number', 'description': '不可使用,仅供参考:Earnings before interest and taxes - number of estimations'}
|
|
{'data_set_name': '可以使用:fnd6_newqv1300_intanoq', 'description': '不可使用,仅供参考:Other Intangibles'}
|
|
{'data_set_name': '可以使用:fnd6_newqv1300_ppentq', 'description': '不可使用,仅供参考:Property Plant and Equipment - Total (Net)'}
|
|
{'data_set_name': '可以使用:pcr_oi_720', 'description': "不可使用,仅供参考:Ratio of put open interest to call open interest on a stock's options with expiration 720 days in the future."}
|
|
{'data_set_name': '可以使用:systematic_risk_last_90_days', 'description': '不可使用,仅供参考:Systematic Risk Last 90 Days'}
|
|
========================= 数据字段结束 =======================================
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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
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你再检查一下, 如果你使用了
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Operator abs does not support event inputs
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Operator ts_mean does not support event inputs
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Operator ts_scale does not support event inputs
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Operator add does not support event inputs
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Operator sign does not support event inputs
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Operator greater does not support event inputs
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Operator ts_av_diff does not support event inputs
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Operator ts_quantile does not support event inputs
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Operator ts_arg_min does not support event inputs
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Operator divide does not support event inputs
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Operator ts_corr does not support event inputs
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Operator ts_decay_linear does not support event inputs
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Operator ts_sum does not support event inputs
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Operator ts_delay does not support event inputs
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Operator ts_arg_max does not support event inputs
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Operator ts_std_dev does not support event inputs
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Operator ts_regression does not support event inputs
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Operator ts_backfill does not support event inputs
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Operator signed_power does not support event inputs
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Operator ts_product does not support event inputs
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Operator ts_zscore does not support event inputs
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Operator group_rank does not support event inputs
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Operator subtract does not support event inputs
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Operator ts_delta does not support event inputs
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Operator ts_rank does not support event inputs
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Operator ts_count_nans does not support event inputs
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Operator ts_covariance does not support event inputs
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Operator multiply does not support event inputs
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Operator if_else does not support event inputs
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Operator group_neutralize does not support event inputs
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Operator group_zscore does not support event inputs
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Operator winsorize does not support event inputs
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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!! |