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115 lines
8.5 KiB
115 lines
8.5 KiB
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Here are 100 WebSim alpha factors designed around the specified dimensions:
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```python
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### 趋势动能形态因子 (Trend Momentum Shape)
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ts_delta(ts_rank(close, 12), 1)
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ts_zscore(ts_delta(close, 1), 20)
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ts_regression(close, ts_step(1), 12, 0, 1)
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ts_arg_min(ts_zscore(close, 20), 60)
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(ts_max(ts_delta(close, 1), 20) - ts_min(ts_delta(close, 1), 20)) / ts_std_dev(close, 20)
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ts_scale(ts_delta(close, 1), 12)
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ts_zscore(ts_std_dev(close, 12), 24)
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ts_corr(ts_delta(close, 1), ts_step(1), 12)
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ts_max(ts_zscore(close, 12), 12) - ts_min(ts_zscore(close, 12), 12)
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ts_delta(ts_zscore(close, 20), 5)
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ts_zscore(ts_corr(close, ts_delay(close, 1), 20), 12)
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ts_quantile(ts_delta(close, 1), 20, "gaussian")
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ts_zscore(ts_scale(ts_delta(close, 1), 12), 24)
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ts_delta(ts_zscore(close, 24), 1)
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ts_zscore(ts_arg_max(close, 12), 24)
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ts_zscore(ts_quantile(close, 12, "gaussian"), 24)
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(ts_delta(ts_zscore(close, 10), 1) - ts_delta(ts_zscore(close, 20), 1)) / 10
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ts_zscore(ts_delta(ts_corr(close, ts_delay(close, 1), 20), 5), 12)
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ts_arg_max(ts_delta(close, 1), 20)
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ts_quantile(ts_corr(close, ts_delay(close, 1), 12), 20, "gaussian")
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### 行业质量与市场环境适配度因子 (Industry Quality & Market Environment Fit)
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group_mean(ts_zscore(close, 20), industry) * ts_zscore(ts_std_dev(close, 20), 20)
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group_rank(ts_zscore(volume, 20), industry) * ts_zscore(close, 60)
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group_mean(ts_zscore(close, 12), industry) / group_std_dev(close, 60)
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group_scale(ts_zscore(close, 24), industry) * ts_zscore(ts_corr(close, ts_delay(close, 1), 12), 24)
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group_zscore(ts_zscore(close, 60), industry) + ts_zscore(ts_std_dev(close, 60))
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group_rank(ts_zscore(ts_mean(close, 12), 12), industry) * ts_zscore(close, 60)
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group_scale(group_rank(ts_zscore(close, 20), industry), industry) * ts_zscore(ts_std_dev(close, 20))
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group_mean(ts_zscore(close, 12), industry) - group_std_dev(ts_zscore(close, 12), industry)
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group_zscore(ts_zscore(close, 60), industry) * ts_zscore(ts_std_dev(close, 12))
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group_rank(ts_zscore(ts_std_dev(close, 12), 24), industry) * ts_zscore(close, 60)
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group_mean(ts_corr(close, ts_delay(close, 1), 12), industry) * ts_zscore(close, 24)
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group_rank(ts_zscore(ts_sum(volume, 12), 24), industry) * ts_zscore(close, 60)
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group_scale(ts_zscore(ts_std_dev(close, 24), 12), industry) * ts_zscore(close, 24)
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group_zscore(ts_zscore(ts_corr(close, ts_delay(close, 1), 20), 12), industry) + ts_zscore(ts_std_dev(close, 12))
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group_rank(ts_zscore(ts_max(close, 20), 12), industry) * ts_zscore(close, 60)
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group_scale(ts_zscore(close, 12), industry) / group_std_dev(ts_zscore(close, 12), industry)
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group_rank(ts_zscore(ts_quantile(close, 20, "gaussian"), 24), industry) * ts_zscore(close, 60)
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group_mean(ts_zscore(ts_sum(close, 12), 24), industry) * ts_zscore(close, 60)
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group_zscore(ts_zscore(ts_corr(volume, ts_delay(volume, 1), 12), 24), industry) * ts_zscore(close, 60)
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group_rank(ts_zscore(ts_std_dev(volume, 12), 24), industry) * ts_zscore(close, 60)
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### 行业内部分化与领导力因子 (Intra-Industry Differentiation & Leadership)
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group_std_dev(ts_zscore(close, 20), industry) * ts_zscore(close, 60)
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group_mean(ts_corr(close, ts_delay(close, 1), 20), industry) - group_std_dev(ts_corr(close, ts_delay(close, 1), 20), industry)
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group_rank(ts_zscore(close, 20), industry) - group_mean(ts_rank(close, 20), industry)
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group_std_dev(ts_rank(close, 20), industry) * ts_zscore(close, 60)
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group_scale(ts_zscore(close, 20), industry) * group_std_dev(ts_zscore(close, 20), industry)
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group_zscore(ts_zscore(close, 20), industry) + group_std_dev(ts_zscore(close, 20), industry)
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group_rank(ts_zscore(close, 20), industry) * group_std_dev(ts_zscore(close, 20), industry)
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group_std_dev(ts_zscore(close, 10), industry) - group_std_dev(ts_zscore(close, 30), industry)
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group_mean(ts_zscore(close, 10), industry) - group_mean(ts_zscore(close, 30), industry)
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group_std_dev(ts_zscore(close, 10), industry) * group_std_dev(ts_zscore(close, 30), industry)
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group_rank(ts_zscore(ts_corr(close, ts_delay(close, 1), 20), industry) - group_std_dev(ts_corr(close, ts_delay(close, 1), 20), industry)
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group_std_dev(ts_rank(close, 10), industry) - group_std_dev(ts_rank(close, 30), industry)
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group_mean(ts_rank(close, 10), industry) - group_mean(ts_rank(close, 30), industry)
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group_std_dev(ts_rank(close, 10), industry) * group_std_dev(ts_rank(close, 30), industry)
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group_rank(ts_zscore(ts_sum(close, 10), 20), industry) - group_rank(ts_zscore(ts_sum(close, 30), 20), industry)
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group_scale(ts_zscore(close, 10), industry) * group_std_dev(ts_zscore(close, 30), industry)
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group_zscore(ts_zscore(close, 10), industry) + group_std_dev(ts_zscore(close, 30), industry)
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group_rank(ts_zscore(ts_corr(close, ts_delay(close, 1), 10), 20), industry) - group_rank(ts_zscore(ts_corr(close, ts_delay(close, 1), 30), 20), industry)
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group_std_dev(ts_zscore(ts_sum(volume, 10), 20), industry) * ts_zscore(close, 60)
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group_mean(ts_zscore(ts_sum(volume, 10), 20), industry) * ts_zscore(close, 60)
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### 超买超卖与情绪反转因子 (Overbought/Oversold & Sentiment Reversal)
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ts_zscore(close, 20) * ts_zscore(volume, 20)
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ts_quantile(close, 20, "gaussian") / ts_zscore(close, 20)
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ts_zscore(close, 20) - ts_zscore(ts_quantile(close, 20, "gaussian"), 20)
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ts_zscore(ts_delta(close, 1), 20) * ts_zscore(volume, 20)
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ts_zscore(ts_std_dev(close, 20), 20) * ts_zscore(close, 20)
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ts_zscore(ts_corr(close, ts_delay(close, 1), 20), 20) / ts_zscore(close, 20)
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ts_zscore(ts_max(close, 20) / close - 1, 20)
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ts_zscore(ts_min(close, 20) / close - 1, 20)
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ts_zscore(ts_max(close, 20) - close, 20) / ts_zscore(close, 20)
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ts_zscore(ts_min(close, 20) - close, 20) / ts_zscore(close, 20)
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ts_zscore(ts_quantile(ts_delta(close, 1), 20, "gaussian"), 20)
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ts_zscore(ts_std_dev(ts_delta(close, 1), 20), 20) * ts_zscore(close, 20)
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ts_zscore(ts_corr(ts_delta(close, 1), ts_delta(volume, 1), 20), 20)
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ts_zscore(ts_max(close, 60) - close, 20) / ts_zscore(close, 20)
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ts_zscore(ts_min(close, 60) - close, 20) / ts_zscore(close, 20)
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ts_zscore(ts_delta(ts_zscore(close, 20), 1), 10) * ts_zscore(volume, 20)
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ts_zscore(ts_std_dev(ts_zscore(close, 20), 10), 20) * ts_zscore(close, 20)
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ts_zscore(ts_corr(close, ts_delay(close, 5), 20), 20) * ts_zscore(close, 20)
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ts_zscore(ts_corr(ts_quantile(close, 20, "gaussian"), ts_delay(close, 1), 20), 20)
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ts_zscore(ts_delta(ts_quantile(close, 20, "gaussian"), 1), 20) * ts_zscore(volume, 20)
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### 行业间关联与动量溢出因子 (Inter-Industry Correlation & Momentum Spillover)
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ts_zscore(ts_corr(group_mean(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20), 20)
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ts_zscore(ts_covariance(group_mean(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20), 20)
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group_rank(ts_zscore(ts_corr(ts_zscore(close, 12), group_mean(ts_zscore(close, 12), industry), 20)), industry)
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ts_zscore(ts_regression(group_mean(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20, 0, 1), 20)
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group_scale(ts_zscore(ts_corr(group_mean(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20)), industry)
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group_zscore(ts_zscore(ts_covariance(group_mean(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20)), industry)
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group_rank(ts_zscore(ts_regression(group_mean(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20, 0, 1)), industry)
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group_std_dev(ts_zscore(ts_corr(group_mean(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20)), industry)
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group_mean(ts_zscore(ts_regression(group_mean(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20, 0, 1)), industry)
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group_scale(ts_zscore(ts_corr(ts_zscore(close, 12), ts_zscore(group_mean(close, 5), industry), 20)), industry)
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ts_zscore(ts_corr(group_std_dev(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20), 20)
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ts_zscore(ts_covariance(group_std_dev(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20), 20)
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group_rank(ts_zscore(ts_corr(ts_zscore(ts_std_dev(close, 12)), group_mean(ts_zscore(close, 12), industry), 20)), industry)
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ts_zscore(ts_regression(group_std_dev(ts_zscore(close, 12), industry), ts_zscore(close, 12), 20, 0, 1), 20)
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group_scale(ts_zscore(ts_corr(group_mean(ts_zscore(close, 24), industry), ts_zscore(close, 24), 20)), industry)
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group_zscore(ts_zscore(ts_covariance(group_mean(ts_zscore(close, 24), industry), ts_zscore(close, 24), 20)), industry)
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group_rank(ts_zscore(ts_regression(group_mean(ts_zscore(close, 24), industry), ts_zscore(close, 24), 20, 0, 1)), industry)
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group_std_dev(ts_zscore(ts_corr(group_mean(ts_zscore(close, 24), industry), ts_zscore(close, 24), 20)), industry)
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group_mean(ts_zscore(ts_regression(group_mean(ts_zscore(close, 24), industry), ts_zscore(close, 24), 20, 0, 1)), industry)
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group_scale(ts_zscore(ts_corr(ts_zscore(close, 24), ts_zscore(group_mean(close, 10), industry), 20)), industry)
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``` |