You can not select more than 25 topics
Topics must start with a letter or number, can include dashes ('-') and can be up to 35 characters long.
69 lines
4.7 KiB
69 lines
4.7 KiB
任务指令
|
|
**Name**
|
|
Institutional Herding Reversal Effect
|
|
|
|
**Hypothesis**
|
|
When a large number of institutional investors concentrate on buying a particular stock within a short period, it can create a "herding effect," potentially driving the stock price away from its fundamental value. However, such concentrated positioning is often accompanied by diminishing informational advantages and increasing liquidity needs. Once market sentiment reverses or a negative catalyst emerges, institutions might be forced to sell simultaneously, leading to sharp price reversals. Therefore, establishing short positions in stocks with a significant recent surge in institutional concentration and long positions in stocks where institutional ownership has stabilized after a period of disorderly selling may capture the alpha generated by this behavioral finance phenomenon.
|
|
|
|
**Implementation Plan**
|
|
Utilize data on changes in institutional ownership holdings. Calculate the quarterly change rate of institutional ownership and its cross-sectional percentile rank. Employ the `ts_rank` operator to identify stocks with abnormally high growth in institutional ownership (e.g., top 10%). Simultaneously, use the `ts_decay_linear` operator to apply time decay to selling pressure, identifying stocks where ownership has stabilized after a period of selling. Assign negative weights to the former and positive weights to the latter.
|
|
|
|
**Alpha Factor Optimization Suggestions**
|
|
The impact of institutional behavior varies across market cap styles (e.g., persistence might be stronger in large-caps, while reversal effects could be more violent in small-caps). Would it be beneficial to group stocks by market capitalization and calculate the abnormality of institutional behavior within each group to enhance the factor's robustness? Furthermore, incorporating overall market liquidity conditions (e.g., using the `trade_when` operator) to overweight this factor specifically during periods of tightening liquidity might better capture reversal opportunities arising from forced institutional selling.
|
|
|
|
|
|
*=========================================================================================*
|
|
|
|
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 20 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
|
|
|
|
|
|
=================================================================
|
|
以下是错误的组合, 请勿类似的操作：
|
|
Operator ts_product does not support event inputs
|
|
Operator ts_zscore 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 subtract does not support event inputs
|
|
Operator ts_delta does not support event inputs
|
|
Operator ts_rank 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_count_nans does not support event inputs
|
|
Operator ts_covariance 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 multiply does not support event inputs
|
|
Operator if_else does not support event inputs
|
|
Operator ts_sum does not support event inputs
|
|
Operator ts_delay does not support event inputs
|
|
Operator group_zscore 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_backfill does not support event inputs |