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.
338 lines
37 KiB
338 lines
37 KiB
名称
|
|
存货周转韧性溢价因子
|
|
假设
|
|
存货周转效率（周转次数 / 周转天数）保持稳定且持续优于行业均值的公司，具备更强的供应链协同能力、需求预判能力与运营管控水平，抗周期风险能力突出。这类公司能有效降低库存积压成本、减少资金占用，现金流健康度更高，长期可获得估值溢价；反之，存货周转效率剧烈波动或持续恶化的公司，往往面临需求疲软、库存减值风险，应规避或建立空头仓位。
|
|
实施方案
|
|
构建 “存货周转效率稳定性” 指标，通过时序分析工具测算过去 8 个季度存货周转天数的波动率（离散系数），同时计算每季度周转效率相对行业均值的偏离度。对波动率低于行业中位数且偏离度持续为负（即周转效率优于行业）的公司建立多头仓位；对波动率高于行业中位数或偏离度持续为正且扩大的公司建立空头仓位。采用标准化处理消除行业属性对周转效率基准值的影响。
|
|
阿尔法因子优化建议
|
|
按行业细分库存类型（如快消品 vs 重工业原材料）分组，不同品类存货的周转周期差异显著，分组后可提升因子针对性；2. 叠加库存结构数据（如产成品、在产品占比），若高周转伴随产成品占比提升，说明终端需求旺盛，可强化正向信号；3. 引入宏观需求指标（如行业景气度指数）作为调节变量，在需求下行周期，周转韧性的信号权重可适度放大，提升策略抗风险能力。
|
|
英文版本
|
|
Name
|
|
Inventory Turnover Resilience Premium Factor
|
|
Hypothesis
|
|
Companies with stable inventory turnover efficiency (turnover frequency/days) that consistently outperform the industry average possess stronger supply chain coordination capabilities, demand forecasting accuracy, and operational control. They exhibit prominent anti-cyclical risk resistance, effectively reducing inventory holding costs, minimizing capital occupation, and maintaining healthier cash flow, thus gaining long-term valuation premiums. Conversely, companies with volatile or deteriorating inventory turnover efficiency often face weak demand and inventory impairment risks, and should be avoided or shorted.
|
|
Implementation Plan
|
|
Construct an "Inventory Turnover Efficiency Stability" indicator. Use time-series analysis tools to calculate the volatility (coefficient of variation) of inventory turnover days over the past 8 quarters, and compute the quarterly deviation of turnover efficiency from the industry average. Establish long positions in companies with volatility below the industry median and consistently negative deviations (i.e., turnover efficiency outperforming the industry); establish short positions in companies with volatility above the industry median or continuously positive and expanding deviations. Adopt standardization to eliminate the impact of industry attributes on the benchmark value of turnover efficiency.
|
|
Alpha Factor Optimization Suggestions
|
|
Group by industry-specific inventory types (e.g., FMCG vs. heavy industry raw materials). The turnover cycle of different inventory categories varies significantly, and grouping can enhance factor relevance; 2. Incorporate inventory structure data (e.g., proportion of finished goods and work-in-progress). If high turnover is accompanied by an increase in the proportion of finished goods, it indicates strong end-demand, which can strengthen positive signals; 3. Introduce macro demand indicators (e.g., industry prosperity index) as adjustment variables. During periods of declining demand, the signal weight of turnover resilience can be appropriately amplified to improve the strategy's risk resistance.
|
|
*=========================================================================================*
|
|
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_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_eventv110_gdwlieps12', 'description': '不可使用,仅供参考:Impairment of Goodwill Basic EPS Effect 12MM'}
|
|
{'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'}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_gdwliaq', 'description': '不可使用,仅供参考:Impairment of Goodwill After-tax'}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_gdwlipq', 'description': '不可使用,仅供参考:Impairment of Goodwill Pretax'}
|
|
{'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: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: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:news_vol_stddev', 'description': '不可使用,仅供参考:(CurrentVolume - AvgVol)/VolStDev, where AvgVol is the average of the daily volume, and VolStdDev is one standard deviation for the daily volume, both for 30 calendar days'}
|
|
{'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_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_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:nws12_prez_atrratio', 'description': '不可使用,仅供参考:Ratio of Today Range to 20-day average true range'}
|
|
{'data_set_name': '可以使用:rp_css_earnings', 'description': '不可使用,仅供参考:Composite sentiment score of earnings news'}
|
|
{'data_set_name': '可以使用:fn_comp_fair_value_assumptions_weighted_avg_vol_rate_a', 'description': '不可使用,仅供参考:Weighted average expected volatility rate of share-based compensation awards.'}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_prcaq', 'description': '不可使用,仅供参考:Core Post-Retirement Adjustment'}
|
|
{'data_set_name': '可以使用:fnd6_eventv110_optlifeq', 'description': '不可使用,仅供参考:Life of Options - Assumption (# yrs)'}
|
|
{'data_set_name': '可以使用:est_ebitda', 'description': '不可使用,仅供参考:Earnings before interest, taxes, depreciation, and amortization - mean of estimations'}
|
|
{'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:pv13_hierarchy_f3_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
|
|
{'data_set_name': '可以使用:anl4_netprofita_low', 'description': '不可使用,仅供参考:Adjusted net income - the lowest estimation'}
|
|
{'data_set_name': '可以使用:fnd6_txtubpospinc', 'description': '不可使用,仅供参考:Increase - Prior Tax Positions'}
|
|
{'data_set_name': '可以使用:fnd6_newqv1300_pncq', 'description': '不可使用,仅供参考:Core Pension Adjustment'}
|
|
{'data_set_name': '可以使用:fnd6_newqv1300_rdipepsq', 'description': '不可使用,仅供参考:In-Process R&D Expense Basic EPS Effect'}
|
|
{'data_set_name': '可以使用:implied_volatility_put_180', 'description': '不可使用,仅供参考:At-the-money option-implied volatility for put option for 180 days'}
|
|
{'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).'}
|
|
{'data_set_name': '可以使用:implied_volatility_mean_120', 'description': '不可使用,仅供参考:At-the-money option-implied volatility mean for 120 days'}
|
|
{'data_set_name': '可以使用:fnd6_newa2v1300_revt', 'description': '不可使用,仅供参考:Revenue - Total'}
|
|
{'data_set_name': '可以使用:fnd6_eventv110_pncd12', 'description': '不可使用,仅供参考:Core Pension Adjustment Diluted EPS Effect 12MM'}
|
|
{'data_set_name': '可以使用:implied_volatility_call_270', 'description': '不可使用,仅供参考:At-the-money option-implied volatility for call Option for 270 days'}
|
|
{'data_set_name': '可以使用:actual_sales_value_annual', 'description': '不可使用,仅供参考:Sales - Actual Value'}
|
|
{'data_set_name': '可以使用:anl4_bac1detaillt_item', 'description': '不可使用,仅供参考:Financial item'}
|
|
{'data_set_name': '可以使用:fnd6_mfma1_at', 'description': '不可使用,仅供参考:Assets - Total'}
|
|
{'data_set_name': '可以使用:anl4_qf_az_div_median', 'description': '不可使用,仅供参考:Dividend per share - median of estimations'}
|
|
{'data_set_name': '可以使用:news_pct_120min', 'description': '不可使用,仅供参考:The percent change in price in the first 120 minutes following the news release'}
|
|
{'data_set_name': '可以使用:min_free_cashflow_per_share_guidance', 'description': '不可使用,仅供参考:Free cash flow per share - minimum guidance value'}
|
|
{'data_set_name': '可以使用:eps_guidance_value_quarterly', 'description': '不可使用,仅供参考:Earnings Per Share - Basic value'}
|
|
{'data_set_name': '可以使用:rp_nip_marketing', 'description': '不可使用,仅供参考:News impact projection of marketing news'}
|
|
{'data_set_name': '可以使用:fnd6_cptmfmq_ceqq', 'description': '不可使用,仅供参考:Common/Ordinary Equity - Total'}
|
|
{'data_set_name': '可以使用:anl4_ebitda_flag', 'description': '不可使用,仅供参考:Earnings before interest, taxes, depreciation and amortization - forecast type (revision/new/...)'}
|
|
{'data_set_name': '可以使用:rp_css_insider', 'description': '不可使用,仅供参考:Composite sentiment score of insider trading news'}
|
|
{'data_set_name': '可以使用:fnd6_txs', 'description': '不可使用,仅供参考:Income Taxes - State'}
|
|
{'data_set_name': '可以使用:anl4_bac1detailqfv110_item', 'description': '不可使用,仅供参考:Financial item'}
|
|
{'data_set_name': '可以使用:fnd2_a_landlandiprts', 'description': '不可使用,仅供参考:Amount before accumulated depreciation and depletion of real estate held for productive use and additions or improvements to real estate held for productive use, examples include, but are not limited to, walkways, driveways, fences, and parking lots. Excludes land held for sale'}
|
|
{'data_set_name': '可以使用:pv13_hierarchy_min2_focused_pureplay_3000_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
|
|
{'data_set_name': '可以使用:fnd6_newqv1300_gdwlq', 'description': '不可使用,仅供参考:Goodwill (net)'}
|
|
{'data_set_name': '可以使用:fnd2_a_flintasamt1expyfour', '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 4th 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:fnd6_cptnewqeventv110_epsfxq', 'description': '不可使用,仅供参考:Earnings Per Share (Diluted) - Excluding Extraordinary items'}
|
|
{'data_set_name': '可以使用:nws12_afterhsz_maxupamt', '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:rel_num_all', 'description': '不可使用,仅供参考:number of the companies whose product overlapped with the instrument'}
|
|
{'data_set_name': '可以使用:total_goodwill_actual_value', 'description': '不可使用,仅供参考:Total Goodwill - announced financial value'}
|
|
{'data_set_name': '可以使用:pcr_oi_20', '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 20 days in the future."}
|
|
{'data_set_name': '可以使用:fnd6_sics', 'description': '不可使用,仅供参考:SIC Code'}
|
|
{'data_set_name': '可以使用:fnd6_newa1v1300_dpact', 'description': '不可使用,仅供参考:Depreciation, Depletion and Amortization (Accumulated)'}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_pncipq', 'description': '不可使用,仅供参考:Core Pension Interest Adjustment Pretax'}
|
|
{'data_set_name': '可以使用:nws12_mainz_rangestddev', 'description': '不可使用,仅供参考:(RangeAmt-AvgRange)/RangeStdDev, where AvgRange is the average of the daily range, and RangeStdDev is one standard deviation for the daily range, both for 30 calendar days'}
|
|
{'data_set_name': '可以使用:nws12_afterhsz_lowexcstddev', 'description': '不可使用,仅供参考:(TONLast - EODLow) / StdDev, where StdDev is one standard deviation for the close price for 30 calendar days'}
|
|
{'data_set_name': '可以使用:fnd6_txndbr', 'description': '不可使用,仅供参考:Deferred Tax Residual'}
|
|
{'data_set_name': '可以使用:fn_accum_oth_income_loss_fx_adj_net_of_tax_q', 'description': '不可使用,仅供参考:Accumulated adjustment, net of tax, that results from the process of translating subsidiary financial statements and foreign equity investments into the reporting currency from the functional currency of the reporting entity, net of reclassification of realized foreign currency translation gains or losses.'}
|
|
{'data_set_name': '可以使用:pv13_h_min10_top3000_sector', 'description': '不可使用,仅供参考:grouping fields'}
|
|
{'data_set_name': '可以使用:nws12_prez_01s', '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:fn_accrued_liab_curr_q', 'description': '不可使用,仅供参考:Carrying value as of the balance sheet date of obligations incurred and payable, pertaining to costs that are statutory in nature, are incurred on contractual obligations, or accumulate over time and for which invoices have not yet been received or will not be rendered.'}
|
|
{'data_set_name': '可以使用:fnd6_dd3', 'description': '不可使用,仅供参考:Debt Due in 3rd Year'}
|
|
{'data_set_name': '可以使用:anl4_eaz2lafv110_prevval', 'description': '不可使用,仅供参考:The previous estimation of financial item'}
|
|
{'data_set_name': '可以使用:pv13_r2_liquid_min5_sector', 'description': '不可使用,仅供参考:grouping fields'}
|
|
{'data_set_name': '可以使用:fnd2_dbplanbnfpaid', 'description': '不可使用,仅供参考:The amount of payments made for which participants are entitled under a pension plan, including pension benefits, death benefits, and benefits due on termination of employment. Also includes payments made under a postretirement benefit plan, including prescription drug benefits, health care benefits, life insurance benefits, and legal, educational and advisory services. This item represents a periodic decrease to the plan obligations and a decrease to plan assets.'}
|
|
{'data_set_name': '可以使用:max_reported_eps_guidance', 'description': '不可使用,仅供参考:Reported Earnings Per Share - Maximum guidance value'}
|
|
{'data_set_name': '可以使用:fn_business_acq_ppne_q', 'description': '不可使用,仅供参考:Business Combination, Assumed Property Plant And Equipment'}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_spceq', 'description': '不可使用,仅供参考:S&P Core Earnings'}
|
|
{'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'}
|
|
{'data_set_name': '可以使用:dividend_max_guidance_value', 'description': '不可使用,仅供参考:The maximum guidance value for Dividend per share on an annual basis.'}
|
|
{'data_set_name': '可以使用:rp_nip_inverstor', 'description': '不可使用,仅供参考:News impact projection of investor relations news'}
|
|
{'data_set_name': '可以使用:option_breakeven_150', 'description': "不可使用,仅供参考:Price at which a stock's options with expiration 150 days in the future break even based on its recent bid/ask mean."}
|
|
{'data_set_name': '可以使用:fnd2_a_unrgtxbnfthatwdiptetxr', 'description': '不可使用,仅供参考:The total amount of unrecognized tax benefits that, if recognized, would affect the effective tax rate.'}
|
|
{'data_set_name': '可以使用:pv13_hierarchy_min52_1k_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
|
|
{'data_set_name': '可以使用:scl12_buzz', 'description': '不可使用,仅供参考:relative sentiment volume'}
|
|
{'data_set_name': '可以使用:nws12_prez_57p', 'description': '不可使用,仅供参考:The minimum of L or S above for 7.5-minute bucket'}
|
|
{'data_set_name': '可以使用:fnd6_eventv110_txdbclq', 'description': '不可使用,仅供参考:Current Deferred Tax Liability'}
|
|
{'data_set_name': '可以使用:rel_num_comp', 'description': "不可使用,仅供参考:number of the instrument's competitors"}
|
|
{'data_set_name': '可以使用:net_profit_adjusted_value', 'description': '不可使用,仅供参考:Adjusted net income- announced financial value'}
|
|
{'data_set_name': '可以使用:fn_accum_depr_depletion_and_amortization_ppne_q', 'description': '不可使用,仅供参考:Amount of accumulated depreciation, depletion and amortization for physical assets used in the normal conduct of business to produce goods and services.'}
|
|
{'data_set_name': '可以使用:anl4_bvps_low', 'description': '不可使用,仅供参考:Book value - the lowest estimation, per share'}
|
|
{'data_set_name': '可以使用:fnd2_sbcpnshardpreops', 'description': '不可使用,仅供参考:Share-based compensation shares authorized under stock option plans exercise price range number of exercisable options'}
|
|
{'data_set_name': '可以使用:high', 'description': '不可使用,仅供参考:Daily high price'}
|
|
{'data_set_name': '可以使用:news_atr14', 'description': '不可使用,仅供参考:14-day Average True Range'}
|
|
{'data_set_name': '可以使用:put_breakeven_150', 'description': "不可使用,仅供参考:Price at which a stock's put options with expiration 150 days in the future break even based on its recent bid/ask mean."}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_prcdq', 'description': '不可使用,仅供参考:Core Post-Retirement Adjustment Diluted EPS Effect'}
|
|
{'data_set_name': '可以使用:implied_volatility_mean_skew_90', 'description': '不可使用,仅供参考:At-the-money option-implied volatility mean skew for 90 days'}
|
|
{'data_set_name': '可以使用:est_sales', 'description': '不可使用,仅供参考:Sales - mean of estimations'}
|
|
{'data_set_name': '可以使用:fnd6_newqv1300_dcomq', 'description': '不可使用,仅供参考:Deferred Compensation'}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_prce12', 'description': '不可使用,仅供参考:Core Post Retirement Adjustment 12MM'}
|
|
{'data_set_name': '可以使用:max_net_profit_guidance', 'description': '不可使用,仅供参考:The maximum guidance value for net profit on an annual basis.'}
|
|
{'data_set_name': '可以使用:fnd2_unremittedfrer', 'description': '不可使用,仅供参考:Unremitted Foreign Earnings'}
|
|
{'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_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:nws12_afterhsz_open_vol', 'description': '不可使用,仅供参考:Main open volume'}
|
|
{'data_set_name': '可以使用:news_open_gap', 'description': '不可使用,仅供参考:(DayOpen - PrevClose) / PrevClose'}
|
|
{'data_set_name': '可以使用:fn_allowance_for_doubtful_accounts_receivable_q', 'description': '不可使用,仅供参考:For an unclassified balance sheet, a valuation allowance for receivables due a company that are expected to be uncollectible.'}
|
|
{'data_set_name': '可以使用:fnd6_lifr', 'description': '不可使用,仅供参考:LIFO Reserve'}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_mibnq', 'description': '不可使用,仅供参考:NonRedeemable Noncontrolling Interest (Balance Sheet) - Quarterly'}
|
|
{'data_set_name': '可以使用:anl4_ebitda_value', 'description': '不可使用,仅供参考:Earnings before interest, taxes, depreciation and amortization - announced financial value'}
|
|
{'data_set_name': '可以使用:anl4_qf_az_wol_spfc', 'description': '不可使用,仅供参考:Cash Flow Per Share - The lowest estimation'}
|
|
{'data_set_name': '可以使用:fnd6_txtubposdec', 'description': '不可使用,仅供参考:Decrease - Current Tax Positions'}
|
|
{'data_set_name': '可以使用:fn_mne_a', 'description': '不可使用,仅供参考:Amount before accumulated depreciation of tangible personal property used to produce goods and services, including, but is not limited to, tools, dies and molds, computer and office equipment.'}
|
|
{'data_set_name': '可以使用:fn_treasury_stock_shares_q', '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:fnd6_newqeventv110_lqpl1q', 'description': '不可使用,仅供参考:Liabilities Level 1 (Quoted Prices)'}
|
|
{'data_set_name': '可以使用:pv13_hierarchy_min51_f3_513_sector', 'description': '不可使用,仅供参考:grouping fields'}
|
|
{'data_set_name': '可以使用:returns', 'description': '不可使用,仅供参考:Daily returns'}
|
|
{'data_set_name': '可以使用:fnd6_newqeventv110_invoq', 'description': '不可使用,仅供参考:Inventory - Other'}
|
|
{'data_set_name': '可以使用:nws12_prez_4p', 'description': '不可使用,仅供参考:The minimum of L or S above for 4-minute bucket'}
|
|
{'data_set_name': '可以使用:fnd6_ch', 'description': '不可使用,仅供参考:Cash'}
|
|
{'data_set_name': '可以使用:nws12_afterhsz_result2', 'description': '不可使用,仅供参考:Percent change between the price at the time of the news release to the price at the close of the session'}
|
|
========================= 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!! |