Alpha因子跟踪月报：因子表现分化

图表索引图1：广发金工Alpha因子数据库 4图2：沪深300 5图3：中证A500 5图4：中证500 5图5：中证800 5图6：中证1000 5图7：创业板指 5图8：沪深300 6图9：中证A500 6图10：中证500 6图中证800 6图12：中证1000 6图13：创业板指 6图14：沪深300 7图15：中证A500 7图16：中证500 7图17：中证800 7图18：中证1000 7图19：创业板指 7表1：因子表现分析（全市场，月度换仓） 8表2：因子表现分析（沪深300，月度换仓） 表3：因子表现分析（中证A500，月度换仓） 15表4：因子表现分析（中证500，月度换仓） 19表5：因子表现分析（中证1000，月度换仓） 22表6：因子表现分析（创业板，月度换仓） 26表7：因子表现分析（全市场，周度换仓） 30表8：因子表现分析（沪深300，周度换仓） 33表9：因子表现分析（中证A500，周度换仓） 37表10：因子表现分析（中证500，周度换仓） 41表因子表现分析（中证1000，周度换仓） 44表12：因子表现分析（创业板，周度换仓） 48一、广发金工Alpha因子数据库广发金工Alpha因子数据库基于mysql8.0建立，整体框架如下图1所示，覆盖广发金工团队十余年研发经验深厚积累的基本面因子、Level-1中高频因子、Level-2高频因子、机器学习因子、另类数据因子等，为多空策略、指数增强、ETF轮动、资产配置、衍生品等策略提供可靠且有效的因子库支持。广发金工团队自有100TB级存储数据库、高性能CPU/GPU算力服务器，拥有、天软、通联等多个可靠的数据供应商，实现因子高效研发和动态更新。图1：广发金工Alpha因子数据库二、指数增强表现在控制行业偏离1%、市值偏离1%、个股权重偏离0.5%、成分股权重80%，月（一）agru_dailyquote因子在各板块的指数增强表现图2：沪深300 图3：中证A500天软科技通联数据 天软科技通联数据图4：中证500 图5：中证800天软科技通联数据 天软科技通联数据图6：中证1000 图7：创业板指天软科技通联数据 天软科技通联数据（二）DL_1因子在各板块的指数增强表现图8：沪深300 图9：中证A500天软科技通联数据 天软科技通联数据图10：中证500 图11：中证800天软科技通联数据 天软科技通联数据图12：中证1000 图13：创业板指天软科技通联数据 天软科技通联数据（三）fimage因子在各板块的指数增强表现图14：沪深300 图15：中证A500天软科技通联数据 天软科技通联数据图16：中证500 图17：中证800天软科技通联数据 天软科技通联数据图18：中证1000 图19：创业板指天软科技通联数据 天软科技通联数据三、因子表现分析（月度换仓）（一）全市场表1：因子表现分析（全市场，月度换仓）因子类型 因子名称 因子方向

RankIC表现 每期分档近一周 近一月 近一年历史以来历史胜率自相关性累计走势平均收益深度学习因子

agru_dailyquoteDL_1

正 5.30% -3.44%11.69%41%正 8.44% -4.38%13.69%41%

13.95.96%86.80%66%91.45%90.85%63%13.95.96%86.80%66%91.45%90.85%63%Level-2因子

fimagekeyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pct

正 6.14%负 正 5.97%正 4.19%

2.47%-6.39%-6.32.75%0.04%

3.80%-5.32%-5.4.90%21%25.4%21%2

5.06%39%5.-39%5.5.22%5.24%

77.44%84.72%89.75%84.72%89.75%84.34%83.01%84.34%95.00%85.76%82.58%83.70%95.00%85.76%82.58%重点时段

keyperiod_amount_top30pctkeyperiod_amount_low50pct

正 负 -5.42%

3.59% 10.5.15%-10.

605%6

10.70%-1096%.70%-1096%

96.49%74.97%96.49%bigbuy0bigsell0

正 8.06%正 正

3.78%14.- 14.12.- 12.

8.9%1.89%2.01%

6.34%7.07%6.97%

83.01%92.69%84.64%92.69%84.64%94.88%77.85%92.77%64.10%94.88%77.85%92.77%Level-2因子大小单

bigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8

正 5.71% 正 2.78% 正 2.62%

6.8%4.52%3.16%

9.63%6.62%63%56%5.56%

75.03%85.93%88.66%77.51%85.93%88.66%Level-2因子长短单

integrated_bigsmalllongbuylongsell91.94%71.25%longbuy_longselllongbuy_shortsellshortbuy_longsell91.94%71.25%

正 2.36%正 -2.36%正 1.31%正 4.41%正 -2.48%正 1.25%

0%13.-7.613.-7.6-9.35%-9.313%-9.514.86.5%17%2%13%-9.514.8

4.16%65.26657.23.41%655.177.17

7.97%43%97%43%21%10.21%57%2.57%93%8.93%18%10.18%

74.07%88.81%98.50%88.81%98.50%74.69%89.35%74.69%89.35%82.08%65.61%82.08%89.27%74.35%88.71%69.33%89.27%74.35%88.71%shortbuy_shortsellintegrated_longshort

负 0.68% 10.正 0.24%-10.

06%

74% 00%92%40%-104-6.7.000%92%40%-104-6.

81.67%98.27%81.67%98.27%bigbuy_longbuy_bigsell_longsell

正 正

4.67%-9.87%-9.8

1.87% 665.6% 66

68.02%87.00%78.34%61%87.01%73%72.08%87.00%78.34%61%87.01%73%92.49%Level-292.49%

bigbuy_shortbuy_bigsell_longsell

正 3.34%

7.0% 9.88.25%大小长短单88.25%

正

1.11%

4.73%

6.43%

75.24%90.39%97.67%12.74.28%60%9bigbuy_shortbuy_bigsell_shortsell_H1 90.39%97.67%12.74.28%60%9

3.68%

3.76%

5.01%

71.39%-8.-8.-8.-8.

正 1.43%

33%

6.7%

10.89.98%89.98%

负 -6.21%

22%

06%

81.57%Level-2因子

withdrew_order_ratio_oa1

负 -5.04%-2.05%-4.49%

-4.36%

77.65%集合竞价

transaction_order_ratio_oa2transaction_order_ratio_oa

负 负 负

2.00%3.42%14%

09%-8.-8.11%-8.-8.-6.75%-6.

28%-9.-9.70%-9.-9.-6.-7.-6.-7.

77.30%93.71%92.12%76.00%93.71%92.12%90.28%91.26%90.28%91.26%Level-2市价单

marketorder_ratiomarketbuyorder_limitbuyorder_ratio

负 负

1.48% 1.79%

79%-6.31%-6.

74.55%73.52%

88.24%表1：因子表现分析（全市场，月度换仓）因子类型 因子名称 因子方向

RankIC表现 每期分档分钟频因子盘前相关

real_varreal_skewreal_kurtosisreal_upvarreal_downvarratio_realupvarratio_realdownvartrendratioret_intradayintraday_maxdrawdownratio_volumeH1ratio_volumeH2ratio_volumeH3ratio_volumeH4ratio_volumeH5ratio_volumeH6ratio_volumeH7ratio_volumeH8corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiqret_overnightret_open2AH1ret_open2AL1ret_open2AH2ret_open2AL2diverge_A1diverge_A2ret_H1ret_close2H1corr_VPH1corr_VRH1corr_VRlagH1real_varH1

近一周 近一月 近一年历史以来历史胜率自相关性累计走负 -2.39% 0.89% -4.64%-6.87%74.97%88.36%负 -5.98% 0.76% -4.53%-6.64%73.87%86.16%负 -6.61% 0.31% -5.10%-7.11%74.76%87.04%负 -5.14%-3.61%-7.94%-8.87%73.73%94.99%负 -1.89% 2.60% -5.57%-6.12%78.06%82.89%负 -3.36% 4.45% -4.13%-6.60%72.56%85.04%负 -5.09%-2.16%-8.40%-9.70%75.45%93.66%负 -4.44%-3.64%-6.95%-8.15%72.97%93.86%负 -0.42% 7.96% -5.52%-8.38%74.69%86.59%正 1.29% -0.45% 5.66% 4.55% 70.98%82.76%负 2.90% -4.60%-4.20%-3.60%61.42%79.57%负 0.95% -0.23%-5.93%-5.00%67.19%79.34%正 0.72% -7.94% 5.22% 9.36% 68.84%93.08%负 -3.52%-1.13%-5.16%-5.83%73.73%88.58%正 1.96% 4.69% 0.85% -0.41%52.41%81.39%正 4.72% 5.96% 3.08% 2.21% 63.82%81.44%正 9.09% 5.81% 3.67% 3.30% 69.26%81.64%正 0.69% 2.93% 2.58% 3.75% 73.04%82.17%正 5.27% 0.11% 3.15% 3.53% 71.66%82.42%正 3.40% 1.33% 4.84% 4.84% 75.93%83.64%负 -3.17%-6.58% 2.26% 3.05% 64.65%85.99%负 -5.64% 5.48% -2.18%-2.33%64.37%82.40%负 3.01% 1.94% -3.50%-2.79%63.07%81.45%负 0.51% -0.07%-5.64%-5.61%74.97%80.98%正 1.25% -1.50% 0.36% -0.61%52.89%81.84%正 5.82% -7.52%10.48%10.70%73.59%95.87%正 6.68% 3.06% 3.80% 3.09% 71.94%75.47%正 3.69% -3.12% 4.29% 6.05% 74.35%86.63%正 7.11% 4.86% 3.00% 1.54% 61.62%87.17%正 -0.01%-6.36% 2.77% 5.17% 72.15%85.32%负 4.87% 4.94% 0.62% -2.02%56.46%85.44%负 2.57% 5.94% -0.91%-3.74%64.03%88.74%负 2.59% 6.36% -1.75%-5.15%65.96%88.73%负 4.66% -1.44%-1.94%-2.72%58.80%80.06%负 -3.09%-2.63%-4.94%-3.45%64.72%78.16%负 -5.23% 1.00% -2.28%-0.69%54.47%81.92%正 3.27% 2.26% 0.93% 1.38% 61.62%80.53%正 38% 0.46% -0.36%52.54%81.42%负 2.66% -0.75%-1.92%-1.91%60.18%79.27%负 -3.05% 0.91% -7.07%-9.88%72.63%93.13%

平均收益表1：因子表现分析（全市场，月度换仓）因子类型 因子名称 因子方向

RankIC表现 每期分档real_skewH1

近一周 近一月 近一年历史以来历史胜率自相关性累计走负 -2.28% 0.73% -1.99%-2.06%66.30%

平均收益分钟频因子收盘前相关

real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8

正 -2.46% 0.14% -0.55%-0.74%负 -3.29%-3.99%-1.40%-0.61%负 -3.76%-2.68%-0.69%-0.35%负 -3.34% 1.45% -0.38%-0.73%负 -1.05% 0.54% -1.15%-0.88%负 -1.50%-2.60%-0.60%-0.48%

%56.2655.9155.1656.2655.9155.16%61.49%61.4965.1357.70%65.1357.70real_varH8

负 -4.34%-10.50%

-4.98%-3.62% %分钟频因子风格因子盈利

real_skewH8real_kurtosisH8real_varlargereal_kurtosislargereal_skewlargeratio_realvarlargecorr_VPlargecorr_VRlargecorr_VRleadlargecorr_VRlaglarge销售净利率毛利率ROE

负 -1.22% 1.65% -1.37%-2.12%负 1.62% 8.23% -1.23%-3.35%负 -4.58%-1.24%-8.05%-9.91%负 -3.04% 3.00% -3.28%-4.67%负 -2.09% 1.93% -4.64%-4.75%负 -2.06% 6.94% -5.31%-8.87%负 -4.76% 3.08% -2.89%-2.85%负 3.91% 3.62% -2.81%-2.23%正 0.84% -0.90% 0.77% 0.07%负 -0.02% 0.40% -5.04%-4.86%正 2.11% 3.92% -0.25%-0.60%正 0.68% 3.94% -0.50%-1.05%正 2.18% 4.18% -0.63%-0.48%

%73.2561.0769.6073.2561.0769.60%69.60%75.79%69.6074.76%67.47%67.4761.21%52.54%61.2175.38%60.1854.6860.1854.6858.8755.3060.2556.1950.14%%风格因子

ROA总资产增长率净利润增长率

正 5.32% 7.169负 3.49% 7.3696%负 4.71% 10.16%9%正 9.04% 10.99%

0.19% -0.70% %-0.13%-1.56% %2.09% -0.93% %1.75% 0.59% %每股净资产增长率成长EPS增长率ROE增长率

负 3.25% 5.01% -0.64%-1.08%正 8.75% 10.18% 1.61% 0.74%-11.50%正 -11.50%

59.70%50.89%50.34%主营业务收入增长率资产负债率

正 9.43%负 -10.08%

14.

79%

3.98% -2.64%

51.24%50.07%风格因子杠杆

长期负债比率每股负债比流动负债率

负 -1.55%-5.52%-1.42% 0.00%负 -4.07%-2.32%-0.47%-0.35%-8.-11正 -8.-11

51.93%52.06%51.58%风格因子

1个月成交金额

负 -7.42%

.15%

-10.64%

75.03%3个月平均成交量流动

负 -8.81%-

70%-4.59% %92%7.192%7.1

换手率一个月股价反转三个月股价反转

负 2.94% 10.63.96负 -1.23%-3.88%63.96负 2.04%

-4.02%-8.86%-7.57%

00% %-7.-8.68.09-7.-8.68.0967.06-6.-6.63.0067.5475% %-6.-6.63.0067.5461.42技术 六个月股价反转61.42

负 5.57%

-5.51%

28% %81.02%83.22%79.30%80.68%81.58%81.02%83.22%79.30%80.68%81.58%80.42%79.80%89.63%81.06%83.73%94.25%84.26%82.94%91.61%82.61%81.07%81.51%80.83%99.84%99.88%99.69%99.70%99.90%99.89%99.79%99.89%99.79%99.75%99.88%99.90%99.91%99.91%99.90%99.79%99.94%99.91%98.68%99.47%99.61%99.75%

负 3.52%

-7.51%-4.73% %因子类型因子名称容量比流通市值风格因子总资产因子类型因子名称容量比流通市值风格因子总资产规模 流通股本/总股流通市值/总市值存货周转率总资产周转率财务费用比例风格因子营业费用比例质量固定比CFP(行业相对)EP(行业相对)SP(行业相对)BP(行业相对)CFP估值EPSPBPDP正正正正负正正正正正正负正正正正正负负正正正负RankIC表现近一周 近一月 近一年历史以来历史胜率自相关性累计走势因子方向每期分档平均收益-4%88%-57%-3.3- 3%- 5%-4.69%-0.54%-0.91% 2.54%-0.91% 2.53%-2.38% 0.25% 0.08% 0.52% 50.14%99.631%--4.3%8%4%-1.89%-1.82%-0.47%50.28%99-1.97%-0.73%51.17%0.30% 1.00% 56.17.4 0% -0.49%57.81.6 5%-0.0 8%1%-0.59%1.04%-0.44%1.34.3% 3.27% 0.14%0.87.61.53%6%0.18%1.981.-1.07%-2-1.55%0.91-7%1% 22% 9%5%2%2.52.89%11.011.54%66%6.26.699.79%56.2699.79%56.265%-4.95%-4.9-5.58% 1.31.9-3.3-2.9-2.999.93%52.827.36.059.70-7.5.698.02%99.83%64.447%7%1%7%7%4.997.72%%%%%%%65.278%% 92% 5.32% -4.1% 1% 4% 2.41.0，天软科技，通联数据（二）沪深300每期分档因子类型因子名称平均收益agru_dailyquote深度学习因子DL_1fimage每期分档因子类型因子名称平均收益agru_dailyquote深度学习因子DL_1fimagekeyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pct-0.05%- 96%3.79% 10-2.76%- 92%2.57% 9.10.45%2.83%3.21%4.%-5.99%-7.09%-15%-2.2.96%2.81%1.50%2.Level-2重点时段-2.04%-0.48%1.06%2..82%11.04%1.72%-0.6.2.37%93.28%%58.9480%-5.17%93.36%%60.7398%82.34%%59.4284.24%%57.6383.08%%58.5300%49%75%4.负正正正负88.64%67.47%1795.03%67.74%42%17.88.68%76.89%.53%16.正正正RankIC表现近一周 近一月 近一年历史以来历史胜率自相关性累计走势因子方向因子类型因子名称因子方向RankIC表现每期分档近一周近一月近一年历史以来历史胜率自相关性累计走势平均收益keyperiod_sync_low50pct正Level-2因子大小单bigbuybigsellbigbuy_bigsellintegrated_bigsmall正正正正正正Level-2因子长短单longbuylongselllongbuy_longselllongbuy_shortsellshortbuy_longsellshortbuy_shortsellintegrated_longshort正正正正正负正Level-2因子大小长短单bigbuy_longbuy_bigsell_longsellbigbuy_longbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_longsellbigbuy_shortbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_shortsell_H1integrated_bigsmall_longshort正正正正正正transaction_order_ratio_oa1负Level-2因子集合竞价withdrew_order_ratio_oa1transaction_order_ratio_oa2transaction_order_ratio_oa负负负selltransaction_sellorder_ratio_ca负marketorder_ratio负Level-2因子市价单marketbuyorder_limitbuyorder_ratiomarketbuyorder_limitsellorder_ratiomarketsellorder_limitbuyorder_ratio负负负marketsellorder_limitsellorder_ratio负分钟频因子日内价格相关real_varreal_skewreal_kurtosisreal_upvarreal_downvarratio_realupvarratio_realdownvartrendratioret_intradayintraday_maxdrawdown负负负负负负正负负正因子类型 因子名称

因子方向

RankIC表现

每期分档盘前相关分钟频因子

ratio_volumeH1ratio_volumeH2ratio_volumeH3ratio_volumeH4ratio_volumeH5ratio_volumeH6ratio_volumeH7ratio_volumeH8corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiqret_overnightret_open2AH1ret_open2AL1ret_open2AH2ret_open2AL2diverge_A1diverge_A2ret_H1ret_close2H1corr_VPH1corr_VRH1corr_VRleadH1corr_VRlagH1real_varH1real_skewH1real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8real_varH8real_skewH8real_kurtosisH8real_varlargereal_skewlarge

近一周 近一月 近一年历史以来历史胜率自相关性累计走势平均收益负 15.21%21.43% 2.68% -4.27%61.28%84.80%正 3.00% 3.90% 3.07% -0.26%50.07%80.18%正 9.69% 0.44% 1.68% 1.80% 58.12%80.60%正 12.40%-2.92%-0.95% 1.70% 57.63%80.18%正 -6.35%-4.44%-0.95% 2.39% 57.08%80.92%正 -2.70%-8.58%-1.91% 2.22% 58.94%81.15%正 -14.05%-14.97%-0.96% 2.72% 59.49%82.32%负 -22.08%-21.46%-5.46% 1.36% 54.75%84.52%负 3.39% 15.69% 3.51% -1.28%54.40%81.51%负 23.77%12.12% 3.32% 0.59% 53.03%80.28%负 15.79%11.02% 3.11% -1.07%51.79%80.04%正 0.53% -2.32% 1.41% 0.05% 50.48%80.33%正 -5.78%-16.21%-4.30% 2.64% 55.30%96.57%正 8.32% 1.29% 0.69% 0.96% 55.43%81.95%正 -14.23%-17.70%-0.34% 4.23% 59.70%83.79%正 12.60%16.40% 3.11% -0.11%50.41%84.48%正 -18.47%-24.27%-0.73% 3.96% 57.02%83.68%负 10.51%13.67% 2.58% -1.21%53.85%84.84%负 21.82%25.55% 2.25% -3.85%58.25%87.34%负 20.12%25.60% 2.42% -3.76%57.50%88.12%负 15.20% 3.94% 3.37% 0.40% 51.03%78.90%负 16.31% 5.22% -1.89%-0.84%52.89%77.43%负 -3.02% 2.35% -0.46%-0.79%52.06%80.30%正 6.94% 5.52% 4.67% 3.22% 61.21%79.60%正 4.99% -5.60% 0.71% -0.43%52.75%80.49%负 11.58% 0.37% 3.27% 0.11% 50.76%78.58%负 23.04%26.61% 1.35% -6.58%60.59%94.12%负 6.83% 6.34% 0.85% 0.06% 50.89%80.48%正 0.19% -0.35%-2.52%-0.88%54.95%81.90%负 11.44%-1.69% 0.37% -1.41%55.36%80.42%负 5.95% 2.66% 0.86% 0.01% 51.99%80.30%负 12.41% 8.76% 2.68% -0.06%50.89%81.80%负 -0.49% 2.98% -0.42%-0.56%52.68%80.26%负 -3.62%-2.44%-0.29% 0.46% 51.17%79.79%负 -0.02%-4.19%-2.51%-0.59%52.06%90.41%负 1.41% -0.13% 1.60% -1.26%58.67%80.74%负 0.71% 11.22% 0.37% -3.62%60.39%81.60%负 .57% 0.85% -5.98%61.69%95.07%负 3.71% 10.06%-1.39%-4.41%61.76%83.11%负 15.02%13.88% 1.01% -2.08%59.63%81.49%表2：因子表现分析（沪深300，月度换仓）因子类型 因子名称 因子方ratio_realvarlarge 负

RankIC表现 每期分档近一周 近一月 近一年历史以来历史胜率自相关性累计走势平均收益18.77%23.65% 1.54% -6.37%63.41%corr_VPlargecorr_VRlarge

负 8.57% 12.42% 负 23.23%12.61% 正 -4.04%-5.39%

-1.42% %55.7152.2055.7152.2051.1052.7554.7550.8950.8952.6150.7652.1350.2852.6851.5151.3855.6453.4450.8352.4153.0354.9552.8958.4655.3053.6551.790.21% %corr_VRlaglarge

负

9.21%

-1.03% %销售净利率

正 - 93%-18.92%

1.28% %18.盈利18.成长

毛利率ROEROA股东权益增长率总资产增长率净利润增长率每股净资产增长率EPS增长率ROE增长率

正 -13.33%-14.12%-2.83%9正 -9.56%-8.52% 4.7%9正 5.54% 4.16% 3.59%5负 -7.23% 2.30% 7.3%52负 -5.45% 2.82% 6.4%206%正 7.01% 16.46%11.06%5负 0.45% 7.80% 7.1%592%正 8.34% 17.52%10.92%6正 6.25% 9.49% 7.0%6

-0.55% %-0.24% %-1.19% %-1.96% %-2.04% %-0.03% %-0.40% %0.71% %0.88% %主营业务收入增长率资产负债率

正 6.79% 18.91负 -24.73%18.91

% 8.97%63%

-1.63% %1.81% %风格因子杠杆流动技术

每股负债比流动负债率1个月成交金额近3个月平均成交量换手率16.52.20一个月股价反转三个月股价反转六个月股价反转一年股价反转/16.52.20

负 4.39% 1.60% 0.95% 0.91%负 -28.94%-22.90%-1.68% 1.01%正 -10.98%-6.70%-1.57%-0.96%负 5.81% 18.41% 4.51% 负 2.78% 3.14% 2.51% 2.29%负 29.35%38.18% 6.42% 负 20.32% 1.78% -0.18%负 13.14%12.05%-2.86%-2.48%负 24.56%30.45%-1.71% 0.71%负 10.15%16.38% 2.61% 3.86%

%%%%%%%%%59.08%59.6354.5459.6354.54

正 - 57%-5.85%-0.99% 1.60% %容量比

负

16.28% 1.05% -3.04% %风格因子规模风格因子

流通市值总资产流通股本/总股本流通市值/总市值存货周转率总资产周转率财务费用比例

负 -21.57%-13.26%-1.11% 3.08% %58.3255.16负 -22.86%-26.18%-2.19% 3.96% %58.3255.1655.3658.32正 55.3658.32正 6.49% 5.07% -0.27% 0.80% %55.71正 -1.79%-6.71%-1.17% 1.70% %55.7150.07正 10.08%11.59% 3.39% -1.57% %50.07负 5.38% 5.56% -0.02%-0.61% %营业费用比例质量固定比

正 -40%20.正 40%20.

08%-1105.105.

56%%

-8.76%-3.00% %50.4854.750.21% -0.38% %50.4854.7590.41%81.38%79.74%90.41%81.38%79.74%80.41%79.83%99.76%99.79%99.65%99.64%99.84%99.84%99.80%99.83%99.80%99.78%99.84%99.80%99.85%99.85%99.83%99.69%99.88%99.81%98.47%99.32%99.46%99.70%97.66%98.25%99.62%99.89%99.24%99.24%99.53%99.58%99.81%99.80%99.84%99.81%99.82%流动比率

正 4.66% 4.81% 0.27% -0.59% %51.5850.55正 5.77% 7.28% 1.96% -1.08% %51.5850.55因子类型因子名称CFP(行业相对)EP(行业相对)SP(行业相对因子类型因子名称CFP(行业相对)EP(行业相对)SP(行业相对)BP(行业相对)CFP估值EPSPBPDP正正正正负正正正正正RankIC表现近一周 近一月 近一年历史以来历史胜率自相关性累计走势因子方向每期分档平均收益-3.01%-6.25% 0.3-3.19%-2.64%-2..18.05%10.82% 5.3% 1.5.41% 2.30% 1.111.29%-0.43% 0.52.60% 6.57% 6.9% 1.- 85% .54%2.50% 4.53% 1.41% 2..74%-1.90% 4..17%-0.60%-0.99.90%50.4104%99.66%57.22%2399.64%52.2741%6% 95%36%3.7-10.-11.99.66%54.33%04-2817.99.55%56.81499.58%56.8899.55%54.479% 1.3% 3.99.38%53.51953.3799.64%95.25%%%%%%%%%%%60.5293%79%67%56%18%65%2% 16%，天软科技，通联数据（三）中证A500表3：因子表现分析（中证A500，月度换仓）因子类型 因子名称 因子方agru_dailyquote 正

RankIC表现 每期分档近一周 近一月 近一年历史以来历史胜率自相关性累计走势平均收益-2.99%-17.08%4.80% 9.98% 76.96%89.94%深度学习因子

DL_1

正 -5.31%-20.14%4.24%

71.05%

95.46%Level-2因子重点时段Level-2大小单Level-2长短单

fimagekeyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pctkeyperiod_sync_low50pctbigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_bigsmalllongbuylongselllongbuy_longselllongbuy_shortsellshortbuy_longsellshortbuy_shortsell

正 4.62% 3.12% 1.65% 3.61%负 -7.34%-4.23%-5.27%-3.40%正 1.10% 0.02% 3.34% 3.11%正 -4.06%-6.05% 2.14% 2.73%正 3.41% -6.63% 4.22% 7.57%负 -5.19% 5.84% -3.54%正 -13.18%-6.80% 0.92% 0.67%正 10.91%-1.42% 2.46% 5.18%正 8.96% -2.24% 2.41% 4.53%正 12.60% 2.93% 6.11% 6.38%正 11.38% 3.47% 5.49% 6.07%正 7.68% -0.22% 2.89% 3.56%正 12.26% 0.53% 5.13% 5.97%正 -9.64%-19.78%-0.78% 5.60%正 -6.61%-20.51%-0.52% 5.50%正 -0.21% 5.93% 1.46% 正 .73%-0.78% 5.62%正 -6.52%-20.47%-0.52% 5.52%负 8.67% 21.72% 0.68%

66.16%64.51%63.00%63.89%63.89%62.10%55.16%61.55%59.90%69.05%67.33%63.82%66.44%58.87%60.25%56.33%58.94%60.25%59.90%

89.38%83.80%84.21%82.49%93.70%94.09%83.23%91.66%91.26%93.77%88.41%85.05%98.30%88.84%88.95%81.17%88.81%88.93%91.73%表3：因子表现分析（中证A500，月度换仓）因子类型 因子名称 因子方

RankIC表现 每期分档56.1960.5997.76%81.08%86.79%86.41%92.54%88.40%97.10%89.52%88.70%91.42%92.84%56.1960.5997.76%81.08%86.79%86.41%92.54%88.40%97.10%89.52%88.70%91.42%92.84%88.63%90.96%89.56%89.83%87.30%87.93%95.94%81.80%84.59%94.59%95.19%84.98%81.80%79.00%79.11%92.80%86.17%80.91%80.85%80.96%81.09%81.52%83.17%85.29%81.73%80.77%80.50%80.90%integrated_longshort

正 -7.49%-20.26%-0.96% 5.31% %Level-2因子大小长短单Level-2因子集合竞价Level-2因子市价单分钟频因子

bigbuy_longbuy_bigsell_longsell bigbuy_longbuy_bigsell_shortsell 正bigbuy_shortbuy_bigsell_longsell 正bigbuy_shortbuy_bigsell_shortsell 正bigbuy_shortbuy_bigsell_shortsell_H1 integrated_bigsmall_longshort 正transaction_order_ratio_oa1 withdrew_order_ratio_oa1 transaction_order_ratio_oa2 transaction_order_ratio_oa selltransaction_sellorder_ratio_ca 负marketorder_ratio 负marketbuyorder_limitbuyorder_ratio marketbuyorder_limitsellorder_ratio 负marketsellorder_limitbuyorder_ratio 负marketsellorder_limitsellorder_ratio 负real_var real_skew real_kurtosis real_upvar real_downvar ratio_realupvar ratio_realdownvar trendratio ret_intraday

0.61% 5.08% 1.31% -0.89% %59.83-8.45%-16.89%0.48% 5.51% %59.8361.83-2.40%-14.97%0.52% 5.12% %61.8368.0919.42%12.52% 6.99% 4.77% %68.0967.8814.41% 8.47% 5.87% 5.06% %67.8858.3261.352.49%-13.15%58.3261.3510.03%15.86% 0.84% -3.26% %59.8313.02%12.41% 1.70% -2.09% %59.8358.8010.19%15.77% 0.87% -3.99% %58.8059.5613.79%22.41% 2.27% -4.39% %59.5651.2464.311.67% 11.53%-1.00%51.2464.315.73% 3.20% 4.24% -1.36% %51.447.81% 0.97% 2.86% -1.32% %51.4451.937.40% 0.45% 2.85% -1.49% %51.9351.582.14% 5.92% 4.41% -1.42% %51.5860.8752.0660.8752.0620.65%21.99%-1.42%-4.62% %59.0115.27%14.96% 0.06% -2.48% %59.0163.554.93% 13.38%-0.55%-5.08% %63.5561.8321.71%23.56%-1.41%-5.24% %61.8361.4917.69%19.69%-1.61%-4.54% %61.4961.1411.92%17.05%-0.66%-4.64% %61.1451.86-17.97%-16.33%-1.94% 0.10% %51.8651.3818.93% 4.50% -1.06%-0.52% %51.38-3.5440-3218-1860.4558.53-3.5440-3218-1860.4558.5351.51

正

.13%-2.18%

5.% %ratio_volumeH1

负

%20.

%

59% %分钟频因子成交量相关

corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiq

正 3.10% 7.63% 2.24% 正 1.88% 1.45% 2.01% 1.59%正 6.76% -2.69%-0.44% 1.45%正 -1.52%-5.90%-0.95% 2.39%-16正 0.32%-10.45%-0.94% 1.86%-16-17正 .37%-17.54%-1.29% 2.61%-17负 .60%-21.65%-3.53% 1.46%负 3.70% 13.07% 2.58% 负 23.74%14.19% 1.62% 0.75%负 18.00%14.28% 1.19% 正 4.79% 0.09% 0.79% 0.02%正 0.94%-10.43%0.52% 4.10%

%58.0552.96%58.0552.9654.26%54.2660.45%60.4557.98%57.9858.67%58.6754.33%54.3350.14%50.1452.34%52.3452.96%52.9651.3896.71%%58.39%51.3896.71%因子类型 因子名称

因子方向

RankIC表现

每期分档近一周 近一月 近一年历史以来历史胜率自相关性累计走势平均收益盘前相关分钟频因子盈利成长

ret_overnightret_open2AH1ret_open2AL1ret_open2AH2ret_open2AL2diverge_A1diverge_A2ret_H1ret_close2H1corr_VPH1corr_VRH1corr_VRleadH1corr_VRlagH1real_varH1real_skewH1real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8real_varH8real_skewH8real_kurtosisH8real_varlargereal_skewlargeratio_realvarlargecorr_VPlargecorr_VRlargecorr_VRleadlargecorr_VRlaglarge销售净利率毛利率总资产增长率净利润增长率每股净资产增长率

正 4.88% 1.29% 0.30% 1.30% %84.61%81.95%61.6257.63正 -12.14%-17.36%0.14% 3.59% %84.61%81.95%61.6257.6385.16%51.31正 15.71%11.54% 3.79% 0.08% %85.16%51.3184.10%59.56正 -17.37%-24.54%-1.53% 3.19% %84.10%59.5685.32%53.23负 15.28%15.68% 2.66% -0.80% %85.32%53.2387.70%60.04负 21.66%22.33% 2.53% -3.05% %87.70%60.0479.45%88.50%50.2158.67负 21.35%79.45%88.50%50.2158.67负 17.27% 8.00% 1.78% -0.20% %77.71%53.99负 13.30% 3.37% -3.00%-1.11% %77.71%53.9980.95%50.89负 -5.60% 4.31% -0.49%-0.05% %80.95%50.8979.97%61.76正 13.99%10.09% 3.59% 3.03% %79.97%61.7680.74%50.83正 5.94% -3.45% 1.03% 0.18% %80.74%50.8378.96%50.28负 13.24% 5.95% 2.07% 0.22% %78.96%50.2894.26%61.42负 22.00%27.18%-0.23%-6.25% %94.26%61.4280.60%50.28负 6.12% 7.15% 0.07% 0.11% %80.60%50.2879.85%82.23%55.9852.8979.85%82.23%55.9852.89负 8.61% -2.09%-0.04%-1.35% %80.60%50.83负 5.65% -1.65% 0.52% 0.18% %80.60%50.8382.07%50.48负 13.40% 9.02% 2.13% -0.03% %82.07%50.4880.26%56.33负 3.54% 5.36% -0.84%-1.04% %80.26%56.3379.83%52.34负 0.43% -2.76%-0.27% 0.28% %79.83%52.3490.70%54.47负 9.35% 4.29% -3.18%-1.07% %90.70%54.4780.81%59.35负 6.37% 2.44% 0.96% -1.36% %80.81%59.3595.23%81.99%61.9059.6395.23%81.99%61.9059.63负 22.32%25.66%-0.82%-5.78% %83.44%63.96负 3.64% 9.06% -0.74%-3.61% %83.44%63.9681.90%58.53负 11.76%11.76% 0.09% -1.68% %81.90%58.5390.85%61.62负 8.71% 18.45% 0.34% -6.07% %90.85%61.6281.75%51.24负 7.69% 13.23% 2.03% -0.26% %81.75%51.2480.30%54.20负 23.68%14.42% 2.03% 1.05% %80.30%54.2080.75%50.28正 4.52% -1.13% 0.99% 0.30% %80.75%50.2899.77%80.41%51.3850.89负 15.26%99.77%80.41%51.3850.8999.83%52.96正 -11.29%-9.39%-0.10% 0.28% %99.83%52.9699.65%51.79正 -6.52%-6.88%-2.66%-1.73% %99.65%51.7999.86%99.65%51.2453.3799.86%99.65%51.2453.37正 -1.87%-1.29% 2.37% -0.46% %99.85%53.58负 -4.83% 2.13% 5.02% -1.08% %99.85%53.5899.77%53.92负 -10.90%-0.61% 4.44% -1.10% %99.77%53.9299.85%51.99正 6.74% 13.32% 5.33% 1.05% %99.85%51.99负 -1.36% 3.62% 5.40% 0.04% %近一周近一月RankIC表现近一年历史以来历史胜率自相关性累计走势每期分档因子类型因子名称因子方向平均收益EPS增长率正ROE增长率正主营业务收入增长率正风格因子杠杆资产负债率每股负债比流动负债率负负负正风格因子流动1个月成交金额近3个月平均成交量换手率负负负风格因子技术一个月股价反转三个月股价反转六个月股价反转一年股价反转/最高点距离容量比负负负负正负风格因子规模流通市值总资产流通股本/总股本流通市值/总市值负负正正风格因子质量存货周转率固定比净利润现金占比正正负正正正正正风格因子估值CFP(行业相对)EP(行业相对)SP(行业相对)BP(行业相对)CFPEPSPBPDP正正正正负正正正正，天软科技，通联数据（四）中证500表4：因子表现分析（中证500，月度换仓）因子类型 因子名称 因子方

RankIC表现 每期分档近一周 近一月 近一年历史以来历史胜率自相关性累计走势平均收益深度学习因子

agru_dailyquoteDL_1

正 - 13%-24.11%4.34213.12.9%7%9%9%3.19%4213.12.9%7%9%9%3.19%5%0%4%3%5%5%8%7%3%3%2%0%3%4%3%7%7%0%6%2%9%8%3%3%0%3%2%2%7%1%9%1%7%

9.09%8.47%

77.30%73.31%

88.37%94.36%fimage

正 12.

4.60%

3.32%

64.65%

87.96%Level-2因子重点时段

keyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pct

负 -4.79%-3.46%-正 -6.20%-7.20% 正 -7.09%-11.14%11.15.13.849正 - 55%-20.08%11.15.13.849

-2.78%2.99%2.93%7.51%

63.34%62.79%64.79%67.26%

82.62%82.61%81.22%92.33%keyperiod_amount_low50pct

%24.0%

-1.7

-6.52%

62.31%

93.37%keyperiod_sync_low50pctbigbuy

正 - 94%-13.44%正 0.15%-15.76%

2.09%5.11%

60.87%57.70%

82.26%90.57%Level-2因子大小单

bigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8

正 -4.35%-17.45%正 0.42%-12.76%3.6正 5.69% -8.48% 3.55.正 -2.44%-8.83% 1.55.

4.65%6.34%5.51%3.72%

56.60%63.82%63.14%64.31%

90.44%92.45%86.66%83.88%integrated_bigsmall

正 0.44%

87%2.7

5.96%

62.31%

96.68%longbuylongsell

正 - 63%-29.87%20.0.819.5.120.正 - 09%-32.33%20.0.819.5.120.

6.49%6.67%

59.56%60.59%

87.72%88.10%Level-2因子

longbuy_longsell

正

3% 1.7

0.18%

52.89%

80.11%长短单

longbuy_shortsellshortbuy_longsellshortbuy_shortsellintegrated_longshort

正 - 61%-29.82%16.1.220.21.19.16.1.220.21.19.6%33.318%负 1.36%33.318%3.3正 - 82%-32.99%3.3

6.48%6.67%-7.06%6.72%

59.63%60.80%59.77%61.35%

87.68%88.08%90.75%96.58%bigbuy_longbuy_bigsell_longsell

7% 7%

0.36%

53.44%

80.02%Level-2

bigbuy_longbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_longsell

正 - 97%-24.11%0.014.正 - 18%-25.17%0.614.

6.46%6.34%

61.62%63.48%

85.63%85.01%大小长短单

bigbuy_shortbuy_bigsell_shortsell 正bigbuy_shortbuy_bigsell_shortsell_H1 正

10.93%10.28%

8% -0.2-2.24% -0.2-2.2

3.84%4.02%

64.24%63.07%

90.77%86.33%802%integrated_bigsmall_longshort802%

正 -9.54%-27.12%

7.69%

61.42%

95.64%8282

负

26.0%

-0.3

-4.31%

63.69%

88.55%Level-2因子

withdrew_order_ratio_oa1

负 13.%11.38%

-2.50%

63.00%

87.57%集合竞价

transaction_order_ratio_oa2transaction_order_ratio_oamarketorder_ratio

负 24.21%08%负 27.21%08%负 8.99%负

28.83%0%33.63%0%214.92-5.25%

0.11.3-1.04.0

-5.41%-5.70%-3.85%-1.00%

65.41%62.93%67.54%51.38%

90.44%92.11%88.08%90.37%Level-2

marketbuyorder_limitsellorder_ratio

负 - 93%-14.14%17.负 .77%17.

-1.36%-1.59%

51.58%52.96%

88.36%88.43%市价单

marketsellorder_limitbuyorder_ratio marketsellorder_limitsellorder_ratio

8.28%9.19%

7.20% 7.90%

-0.82%-0.97%

52.68%52.20%

86.18%86.87%因子类型 因子名称

因子方向

RankIC表现

每期分档分钟频因子

real_varreal_skewreal_kurtosisreal_upvarreal_downvarratio_realupvarratio_realdownvartrendratioret_intradayintraday_maxdrawdownratio_volumeH1ratio_volumeH2ratio_volumeH3ratio_volumeH4ratio_volumeH5ratio_volumeH6ratio_volumeH7ratio_volumeH8corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiqret_overnightret_open2AH1

近一周 近一月 近一年历史以来历史胜率自相关性累计走势平均收益负 24.07%23.54%-2.13%-5.52%65.89%94.95%负 12.32%14.93%-0.45%-3.61%63.14%81.37%负 10.04%18.75%-0.69%-6.28%61.97%83.77%负 25.03%25.59%-2.16%-6.19%67.88%93.47%负 22.49%21.51%-2.14%-5.32%65.89%94.23%负 15.13%22.78%-0.49%-5.78%64.31%84.59%正 -11.38%-14.25%-1.01% 1.16% 54.75%81.00%负 15.16% 4.36% -1.77%-1.41%53.37%78.57%负 17.03%11.90%-2.00%-1.85%54.06%78.26%正 -24.98%-37.24%-1.19% 7.03% 60.66%91.75%负 25.17%22.30%-0.06%-3.97%65.34%85.47%正 4.50% 7.81% 2.01% -0.98%53.71%80.03%正 -3.56% 1.29% 1.55% 1.62% 57.57%79.88%正 -0.62%-3.80% 0.30% 2.00% 59.56%80.35%正 -14.46%-8.26% 0.34% 2.46% 62.45%80.51%正 -14.07%-17.13%0.11% 1.72% 61.14%80.55%正 -17.56%-16.02%0.83% 3.24% 63.55%82.20%负 -18.96%-19.09%-1.71% 2.42% 59.15%84.34%负 -0.24%15.31% 1.42% -0.97%54.40%81.10%负 17.18%13.63%-0.31%-0.81%