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37 lines
3.5 KiB
37 lines
3.5 KiB
任务指令
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Residual Value Fluctuation Arbitrage Factor
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Hypothesis
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In capital-intensive industries utilizing operating leases (e.g., airlines, retail, industrial equipment), fluctuations in the estimated residual value of leased assets reflect market divergence regarding the assets' long-term worth. An upward, out-of-expectations revision in the residual value estimate disclosed in financial reports signals increased optimism from management or appraisers concerning the asset's economic life, technological obsolescence risk, or secondary market liquidity. This optimism may precede an actual improvement in the asset's realizable value or a reduction in discounting costs, serving as a potential positive signal. Conversely, a downward, unexpected revision may foreshadow potential asset impairment and future cash flow erosion.
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Implementation
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Construct a "Residual Value Revision Intensity" metric using data from financial statement notes related to "Lease Liabilities," specifically the present value of future minimum lease payments and the estimated residual value of leased assets. The calculation is: (Current Period Disclosed Residual Value Estimate - Prior Period Estimate) / Total Carrying Value of Leased Assets. Employ a time-series breakout detection operator (e.g., ts_breakout or residual analysis) to identify anomalous adjustment points where the estimate deviates from its historical trend. For companies identified with a positive anomalous adjustment, gradually establish a long position after a defined lag period (e.g., 1-3 months) following the disclosure. For those with a negative anomalous adjustment, establish a short position. Use a time-series backfill operator to ensure data continuity.
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Alpha Factor Optimization Suggestions
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The efficacy of this factor is likely highly dependent on asset characteristics. It is recommended to introduce asset-segmentation grouping: for instance, group leased assets by type (aircraft, vessels, retail storefronts, IT equipment) and compute the cross-sectional percentile of the Residual Value Revision Intensity within each group. Additionally, overlay industry capacity utilization or secondary asset transaction price momentum as confirming signals. Enhance the factor weight when a residual value upward revision coincides with improving activity in the corresponding asset's secondary market. Conversely, attenuate the signal when these metrics diverge.
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*=========================================================================================*
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输出格式：
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输出必须是且仅是纯文本。
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每一行是一个完整、独立、语法正确的WebSim表达式。
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严禁任何形式的解释、编号、标点包裹（如引号）、Markdown格式或额外文本。
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===================== !!! 重点(输出方式) !!! =====================
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现在，请严格遵守以上所有规则，开始生成可立即在WebSim中运行的复合因子表达式。
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**输出格式**(一行一个表达式, 每个表达式中间需要添加一个空行, 只要表达式本身, 不需要赋值, 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 20 个alpha：
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必须遵守操作符的使用方法 |