Alpha因子跟踪月报：量价因子表现出色

图表索引图1：发工Alpha子数库 4图2：深300 5图3：证A500 5图4：证500 5图5：证800 5图6：证1000 5图7：业指 5图8：深300 6图9：证A500 6图10：证500 6图证800 6图12：证1000 6图13：业指 6图14：深300 7图15：证A500 7图16：证500 7图17：证800 7图18：证1000 7图19：业指 7表1：子现析市场月换） 8表2：子现析深300，月换） 表3：子现析证A500，度仓） 15表4：子现析证500，月换） 19表5：子现析证1000，月换） 22表6：子现析业板月换） 26表7：子现析市场周换） 30表8：子现析深300，周换） 33表9：子现析证A500，度仓） 37表10：子现析证500，周换） 41表因表分（证1000，周换） 44表12：子现析业板周换） 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。100TB图1：广发金工Alpha因子数据库二、指数增强表现1%1%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 22.13%17.67%正 20.50%18.19%

12.35%08%15.35%08%

13.96.01%87.11%80%91.50%91.07%71%13.96.01%87.11%80%91.50%91.07%71%Level-2因子

fimagekeyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pct

正 8.31% 9.08%负 -1.47%正 3.83% 6.30%正 3.76% 5.86%

3.90%-6.59%-6.06.2%053%46.0%53%4

5.14%84.82%89.78%85.84%77.99%45%84.82%89.78%85.84%77.99%45%5.84.45%83.42%5.29%84.45%83.42%82.56%84.03%5.28%82.56%84.03%重点时段

keyperiod_amount_top30pctkeyperiod_amount_low50pct

正 12.67%12.55%12.负 -22.28%-15.99%-12.

76%

11.96.49%75.57%88%-1095.01%86.11%09%.96.49%75.57%88%-1095.01%86.11%09%Level-2大小单Level-2长短单Level-2大小长短单

keyperiod_sync_low50pct 正bigbuy bigsell 正bigbuy_bigsell 正bigbuy_bigsell_H1 bigbuy_bigsell_H8 integrated_bigsmall 正longbuy 正longsell 正longbuy_longsell 正longbuy_shortsell 正shortbuy_longsell 正shortbuy_shortsell integrated_longshort bigbuy_longbuy_bigsell_longsell 正bigbuy_longbuy_bigsell_shortsell 正bigbuy_shortbuy_bigsell_longsell 正bigbuy_shortbuy_bigsell_shortsell正bigbuy_shortbuy_bigsell_shortsell_H1正

6.83% 5.61%15.20%13.58%15.60%14.23%10.82%11.73%8.11% 10.70%2.92% 3.46%8.78% 10.09%24.31%15.86%23.48%14.68%-3.78%-3.60%24.36%15.91%23.52%14.74%-26.43%-16.67%23.33%15.87%-3.30%-2.95%18.37%13.21%17.60%11.80%1.99% 7.22%4.75% 8.69%

8.94.77%4.89%618.7%615986.45986.0%8.5%939.71.98%938.4%1-9.89.6%95%1-9.809.60.92%08.3%28.8%290.43%97.80%81.54%74.90%79%2295.790.43%97.80%81.54%74.90%79%229

6.37%92.72%84.64%65.91%92.72%84.64%65.91%83.42%92.84%64.90%7.10%92.84%64.90%94.91%78.39%71%9.94.91%78.39%71%88.73%75.64%6.73%88.73%75.64%86.08%78.05%5.53%86.08%78.05%88.98%98.49%70.20%74.70%88.98%98.49%70.20%74.70%13%51%9.89.41%75.30%31%10.89.41%75.30%31%82.11%64.77%47%2.82.11%64.77%47%88.88%70.07%09%9.88.88%70.07%09%89.32%74.97%28%10.89.32%74.97%28%92.04%71.95%54%-10.92.04%71.95%54%-1081.66%98.27%67.11%73.29%81.66%98.27%67.11%73.29%91%05%1.87.13%72.75%85%8.87.13%72.75%85%87.06%78.86%67%9.87.06%78.86%67%92.57%75.84%6.48%92.57%75.84%88.34%72.08%5.12%88.34%72.08%-8.-8.integrated_bigsmall_longshort-8.-8.

正

18.63%

10.

%10.90.03%78.19%transaction_order_ratio_oa190.03%78.19%

负 -9.96%

69%

02%Level-2因子

withdrew_order_ratio_oa1

负 -6.55%-5.92%-5.62%

-4.41%集合竞价

transaction_order_ratio_oa2transaction_order_ratio_oaselltransaction_sellorder_ratio_ca

负 -14.65%-7.13%负 -16.87%-8.65%负

53%-9.-9.99%-9.-9.-8.32%-8.

25%93.72%76.31%-9.92.14%77.58%-9.70%93.72%76.31%-9.92.14%77.58%-9.90.42%91.27%74.97%81.81%2%91.27%74.97%81.81%6.8.Level-2市价单

marketorder_ratio

负 -6.38%-5.75%-3.97%负 -4.72%-4.52%-3.50%

-75%6.-24%6.

73.76%88.27%73.76%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

marketbuyorder_limitsellorder_ratiomarketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratioreal_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_VRleadH1corr_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 -4.96%-4.68%-4.23%-6.79%75.17%88.38%负 -8.06%-6.73%-4.58%-6.64%74.36%86.53%负 -8.08%-6.57%-5.11%-7.09%75.17%87.42%负 -9.70%-4.31%-9.42%-8.80%73.96%94.97%负 -11.39%-7.90%-6.64%-6.15%78.39%82.90%负 -15.05%-11.35%-6.77%-6.73%73.22%85.10%负 -12.60%-6.68%-10.20%-9.66%75.70%93.63%负 -8.85%-3.59%-8.42%-8.08%73.15%93.83%负 -20.98%-14.38%-8.31%-8.50%75.30%86.58%正 5.30% 3.49% 5.64% 4.51% 70.87%82.74%负 -6.81%-1.73%-3.61%-3.52%61.48%79.61%负 -5.42%-3.08%-5.29%-4.93%67.25%79.38%正 18.64%10.87% 9.06% 9.42% 69.40%93.11%负 -6.44%-3.86%-6.04%-5.81%74.09%88.64%正 -7.14%-2.77% 0.48% -0.48%52.62%81.29%正 -0.07% 1.54% 2.78% 2.19% 63.89%81.42%正 -1.98%-0.35% 4.08% 3.25% 69.06%81.59%正 1.08% 2.07% 3.10% 3.70% 72.95%82.19%正 0.58% 3.71% 3.49% 3.55% 72.01%82.46%正 10.27% 5.30% 5.40% 4.89% 76.38%83.71%负 12.09% 4.19% 2.94% 3.12% 65.10%86.11%负 -3.04%-5.46%-2.87%-2.44%65.10%82.45%负 -7.37%-3.13%-3.36%-2.76%63.09%81.49%负 -6.91%-4.45%-5.91%-5.58%74.90%80.96%正 2.05% 2.32% 0.73% -0.56%52.48%81.87%正 23.21%14.68%12.26%10.86%74.23%95.95%正 3.43% 1.78% 3.50% 3.08% 71.95%75.21%正 9.52% 7.08% 5.99% 6.08% 74.97%86.64%正 -4.28%-3.94% 1.54% 1.47% 60.94%87.12%正 13.40% 7.81% 5.07% 5.21% 72.68%85.39%负 -9.98%-4.55%-1.36%-2.02%56.44%85.54%负 -10.94%-8.01%-3.33%-3.80%64.77%88.77%负 -14.81%-7.71%-4.35%-5.16%66.11%88.81%负 -2.40%-1.87%-2.06%-2.68%58.79%80.07%负 -6.21%-1.23%-3.86%-3.39%64.50%78.21%负 0.23% 0.52% -1.62%-0.67%54.43%81.92%正 1.52% 0.79% 1.46% 1.39% 61.61%80.56%正 -0.83% 1.70% 0.90% -0.32%52.48%81.35%负 -0.39%-0.04%-1.77%-1.87%60.00%79.25%负 -15.89%-8.50%-9.59%-9.87%72.95%93.10%

平均收益因子类型

因子名称real_skewH1

因子方向负

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-3.53%-2.95%-2.06%-2.07%66.24%

每期分档平均收益分钟频因子收盘前相关

real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8real_varH8real_skewH8

正 -1.30%-3.86%-1.54%-0.83%负 1.39% 2.62% -0.58%-0.53%负 0.34% 0.73% -0.08%-0.33%负 0.55% 1.19% -0.51%-0.72%负 -4.69%-1.35%-1.44%-0.91%负 5.07% 2.44% -0.04%-0.42%负 6.23% 5.74% -4.71%-3.44%负 -4.85%-2.43%-1.98%-2.14%

%55.5056.9155.1755.5056.9155.17%61.95%61.9556.78%56.7863.89%63.8970.00%70.00real_kurtosisH8real_varlargereal_kurtosislarge

负 -11.40%负 -14.23%负 -9.77%

6%-3.69%-3.47% %7.47.973.5661.950%-10.10%7.47.973.5661.958.670.343%-5.49%-4.79% %8.670.34分钟频因子盈利成长

real_skewlargeratio_realvarlargecorr_VPlargecorr_VRlargecorr_VRleadlargecorr_VRlaglarge销售净利率毛利率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增长率主营业务收入增长率

负 -8.73%-6.70%-5.44%-4.79%负 -21.43%-14.75%-8.32%-8.99%负 -4.28%-4.00%-3.34%-2.92%负 -6.40%-3.12%-2.84%-2.22%正 2.31% 3.45% 1.36% 0.13%负 -4.40%-3.18%-5.21%-4.84%正 1.34% 0.20% 0.68% 正 0.26% -9.29%-2.05%-1.26%正 -0.91%-0.10% 0.47% 正 -3.77%-2.75% 0.58% 负 -5.64%-1.85% 0.20% 负 -5.81%-0.16% 1.53% 正 -4.52%-2.08% 1.58% 0.57%负 -4.50%-0.74% 0.14% 正 -3.99%-1.67% 1.56% 0.72%正 -1.97%-1.76% 0.50% 0.65%正 -7.75%-3.21% 2.52% 0.35%

76.38%75.37%67.99%67.9961.34%61.3453.0259.6655.6453.0259.6655.6458.3255.4460.2755.9150.27%%%%%%%59.19%51.07%51.21%51.61%风格因子

资产负债率长期负债比率

负 9.60% 负 8.49%

-0.40% 1.03%

50.81%50.81%杠杆 每股负比

负 4.81% 6.31% 1.03% -14.正 -6.68%-7.17%-1.41%-0.13%-14.

51.14%50.34%风格因子

1个月成交金额

负 -21.70%

65%

-12.87%

-10.80%

75.64%3流动

负 -3.89% 1.51%

06%-4.52% %风格因子技术

换手率一个月股价反转三个月股价反转六个月股价反转

负 -25.08%7.负 4.27%7.负 -23.90%负 -11.78%

-15.05%8% 7.7.8.-10.05%8.6.6.-3.09%6.6.

95%6.8.51%2%6.6.96%6.

09% %92% %72% %22% %81.01%83.26%79.30%80.73%81.62%80.44%79.79%81.01%83.26%79.30%80.73%81.62%80.44%79.79%89.64%81.11%83.69%94.23%84.31%82.93%91.72%82.65%81.09%81.47%80.78%99.84%99.89%99.70%99.71%99.90%99.90%99.80%99.89%99.80%99.76%99.88%99.90%99.91%99.92%99.90%99.80%99.94%99.91%98.68%99.45%99.64%99.73%63.6267.7267.7267.3263.2962.08

负 -11.60%-5.56%

98%-4.76% %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最高点距离正负容量比风格因子规模流通市值总资产//负负正正风格因子质量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（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_137.27.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_137.27..% 6.66.% 6.60fimagekeyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pct8.17%5.%-8.95%-6.34%-6.2.65%7.Level-2重点时段6.88%6....93.54%%59.9326%-65%.1.14%-5-2403%6-293.55%%61.6839%7.%% 8382.69%%60.2084.58%%58.5948% 34% 83.55%%59.2626%67%88%.4负正正正负89.03%67.92%27% 8%-2% % 41% 95.28%68.52%80%%50%242689.39%77.45%.84%109.%882593%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

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83.18%91.25%83.18%91.25%90.98%93.45%88.01%85.13%98.13%88.54%88.61%81.43%88.50%88.58%91.31%97.48%81.31%86.58%86.25%92.46%88.00%96.88%89.51%89.03%91.72%93.06%89.03%91.68%90.08%90.60%89.81%90.16%95.85%81.72%84.62%94.45%95.08%84.68%81.79%79.39%79.18%92.72%Level-2大小单Level-2长短单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

keyperiod_sync_low50pct 正bigbuy 正bigsell 正bigbuy_bigsell 正bigbuy_bigsell_H1 正bigbuy_bigsell_H8 正integrated_bigsmall 正longbuy 正longsell 正longbuy_longsell 正longbuy_shortsell 正shortbuy_longsell 正shortbuy_shortsell 负integrated_longshort bigbuy_longbuy_bigsell_longsell 正bigbuy_longbuy_bigsell_shortsell 正bigbuy_shortbuy_bigsell_longsell 正bigbuy_shortbuy_bigsell_shortsell 正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 负real_skew 负real_kurtosis 负real_upvar 负real_downvar 负ratio_realupvar 负ratio_realdownvar 正trendratio 负ret_intraday 负intraday_maxdrawdown 正

-8.17%-6.06%-0.96% 0.52% %60.2052.8217.86%60.2052.8257.7911.82%16.57% 5.52% 5.14% %57.7964.0911.09%15.52% 7.67% 6.68% %64.0965.1710.49%16.61% 9.04% 6.61% %65.1758.593.29% 4.71% 3.31% 3.31% %58.5960.1362.8960.1362.8930.53%22.90% 0.33% 5.47% %60.1328.78%20.20% 0.12% 5.43% %60.1361.14-10.95%-15.42%-2.30%-2.25% %61.1460.2030.52%22.97% 0.36% 5.49% %60.2060.0028.78%20.26% 0.16% 5.44% %60.0060.07-31.31%-22.81%-0.24%-5.78% %60.0760.8159.4025.49%21.96%60.8159.40-7.85%-12.15%-1.98%-1.85% %59.8724.16%18.83% 0.77% 5.29% %59.8759.9323.98%16.76% 0.24% 5.17% %59.9364.500.20% 8.82% 8.60% 5.24% %64.5065.234.77% 13.18% 9.26% 5.52% %65.2359.4060.8722.86%59.4060.87-17.35%-9.59% 1.07% -3.34% %57.05-27.32%-18.52%-0.68%-1.93% %57.0559.73-25.51%-15.10%1.67% -3.73% %59.7359.80-28.64%-17.41%1.47% -4.56% %59.8055.1064.43-12.17%-7.46%55.1064.437.29% 7.20% 5.45% 1.17% %53.96-4.74%-6.31% 2.29% 1.00% %53.9653.42-5.31%-6.26% 2.04% 0.84% %53.4250.0016.65%13.77% 6.61% 0.70% %50.0061.5450.6715.95%61.5450.67-16.37%-6.60%-1.07%-4.46% %61.28-16.18%-12.87%-0.60%-2.87% %61.2863.83-21.29%-17.85%-2.87%-5.85% %63.8361.41-20.15%-10.57%-1.24%-5.25% %61.4160.27-15.53%-5.73%-1.30%-4.38% %60.2763.29-23.67%-21.89%-2.39%-5.27% %63.2951.076.72% 5.22% -2.13%-0.19% %51.0750.27-6.80% 1.18% 2.03% 0.31% %50.2750.27-6.80%-2.42% 1.41% -0.39% %50.2758.5931.84%19.96% 0.92% 6.35% %58.59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_volumeH1 负ratio_volumeH2 正ratio_volumeH3 正ratio_volumeH4 正ratio_volumeH5 正ratio_volumeH6 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-19.04%-8.23% 1.49% -4.33%61.61%85.27%-11.84%-2.61% 2.71% -0.35%50.34%80.66%-12.39%1.15% 1.37% 1.75% 57.85%80.78%-3.60% 5.17% 0.54% 1.82% 58.26%80.56%19.02% 9.75% 0.19% 2.45% 57.11%81.02%12.71%-1.40%-1.71% 2.26% 58.86%81.46%分钟频因子成交量相关

ratio_volumeH7ratio_volumeH8

正 18.40% 3.94% 负 18.95% 8.54%

2.79%1.41%

59.73%54.77%

82.76%85.15%corr_VP

负 -4.53%-10.54%1.33%

55.23%

82.07%corr_VR

负 -9.39%-3.42%

0.59%

53.02%

80.52%corr_VRlagcorr_VRlead

负 -7.74%-7.91% 2.12% 正 -2.79%-1.49% 1.35%

52.01%50.94%

80.35%80.58%Amihud_illiqret_overnight

正 22.18%16.99%-1.09%401315401315

2.97%1.04%

56.38%55.64%

96.84%82.06%ret_open2AH1

正 25.43%

%

4.39%

60.34%

84.08%分钟频因子

ret_open2AL1

正 -16.33%

.34%1.80%

50.00%

84.88%盘前相关

ret_open2AH2

正 27.56%

%

4.11%

57.65%

83.89%ret_open2AL2

负 -13.48%-11.52%1.56%

54.03%

85.20%diverge_A1diverge_A2

负 -33.79%负 -25.65%

.40%-0.66%-4.12%-19-24.01%0.17% -19-24

59.06%57.99%

87.53%88.27%ret_H1

负 -5.34%-1.95%

0.38%

50.81%

79.20%ret_close2H1corr_VPH1

负 -3.79%-0.98%-0.86%-0.77%负 -1.85%-2.62%-0.64%-0.76%

52.75%51.81%

77.75%80.84%分钟频因子开盘后相关

corr_VRH1corr_VRleadH1corr_VRlagH1

正 3.53% 2.08% 正 -9.46%-4.84% 负 0.88% -2.35%

3.24%-0.48%0.10%

61.34%52.95%52.9550.74%50.74

79.68%80.56%78.80%分钟频因子收盘前相关

real_varH1real_skewH1real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8

负 -27.14%-15.32%-0.86%负 -5.36%-5.73% 0.33%正 -8.63%-6.74%-2.84%负 -11.87%-1.29% 0.82%负 -7.92%-2.58% 1.37%负 -6.90%-1.40% 2.42%负 -5.05%-0.68%-0.92%负 -5.31%-2.04% 0.51%

-6.63%-0.01%-0.96%-1.39%-0.04%-0.07%-0.61%0.44%

60.81%50.87%50.8755.0355.4455.0355.44%52.21%52.2151.07%51.0753.15%53.1551.14%51.14

94.19%80.56%82.17%80.61%80.78%82.05%80.27%80.20%分钟频因子大成交量相关

real_varH8real_skewH8real_kurtosisH8real_varlargereal_kurtosislargereal_skewlarge

负 4.77% 9.41% -1.79%-0.43%负 -17.64%-5.54% 0.36% -1.33%负 -13.30%-12.01%-2.73%-3.84%负 -24.11%-12.75%-1.13%-6.01%负 -15.06%-14.71%-3.39%-4.59%负 -16.17%-12.89%-1.04%-2.26%

%90.49%59.0651.48%80.81%59.0651.4861.8161.34%61.8161.34%95.07%62.48%83.40%62.4860.07%81.71%60.07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-28.16%-21.23%-1.12%-6.56%64.09%corr_VPlargecorr_VRlarge

负 -7.66%-9.72% 0.45% -1.57% %56.3852.1550.7452.9555.2356.3852.1550.7452.9555.2350.1350.2052.6251.8853.0950.8151.4150.3451.0156.6453.8351.9552.5554.1656.0453.6959.3354.3653.2251.61corr_VRleadlarge

正

0.07% 1.38% 0.17% %corr_VRlaglarge

负 -3.45%-5.78% 2.19% -1.08% %销售净利率

正

7.99% 1.27% 1.39% %风格因子

毛利率

正 13.14%-5.19%-4.2%-0.72% %盈利 ROE

正

5.67%

-0.12% %%7%7

正 -2.56%-2.55% 3.34% -1.12% %风格因子成长风格因子

股东权益增长率总资产增长率净利润增长率EPS长期负债比率

负 -2.83%-4.96% 5.53%%负 -2.41%-4.02% 4.88%%正 -20.03%-15.21%%负 -7.73%-8.04% 5.17%正 -21.68%-16.65%%正 -16.58%-11.37%6.11%%正 -19.68%-16.15%6.46%1负 16.25%13.8% 1负 13.06%20.74%

-2.10% %-2.19% %-0.28% %-0.60% %0.43% %0.75% %-1.88% %1.89% %1.27% %杠杆 每股负比 负 19.12%12.28%-0.55% 1.06% %风格因子

流动负债率1个月成交金额

正 -12.36%负 -23.99%

.40%-4.37%-1.29% %1717.15%1717近3个月平均成交量流动换手率

负 1.78% 10.71% 4.64% 2.45% %负 -36.71%-24.15%1.57% -6.13% %风格因子

一个月股价反转三个月股价反转六个月股价反转

负 4.47%负 -31.25%负 -27.32%

2.28% 1.84% -2.94% 13.50%-2.29%-2.43% %1313.93%-3.81% 0.54% %13技术 一年股反转/动量最高点距离容量比

负 -17.32%-10.81%3.31% 3.61%正 -1.94%-2.26%-2.63% 1.48%负 -8.16%-1.17% 2.00%

58.19%51.5454.3651.5454.3659.3355.9758.4658.4656.4455.5751.2155.7051.5451.5452.62%流通市值

负

1.66% -0.11% 2.92% %风格因子规模

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

负 29.37%26.71% 2.57% 4.29% %正 -3.87%-1.84% 0.10% 0.82% %正 -3.87%-1.84% 0.10% 0.82% %正 17.89%20.34% 2.94% 2.04% %-25-1833-2369-25-1833-2369风格因子

财务费用比例

负

15.

% 2.51% -0.28% %营业费用比例质量

正

.03%-13.44%-3.50% %固定比

正

14.% 2.76% 0.00% %90.53%81.80%79.95%90.53%81.80%79.95%80.51%80.15%99.76%99.80%99.66%99.65%99.84%99.85%99.80%99.83%99.80%99.78%99.85%99.80%99.86%99.85%99.83%99.75%99.90%99.88%98.71%99.43%99.58%99.72%97.75%98.41%99.75%99.89%99.37%99.37%99.54%99.59%99.81%99.80%99.85%99.82%99.82%流动比率

正 -6.48%正 -15.45%

.07%-2.39%-0.91% %.18%-2.10%-1.49% %因子类型因子名称净利润现金占比估值CFP(行业相对)因子类型因子名称净利润现金占比估值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11.44%6.60%3.81%-2.81%10.03%1.67%.%.17.-1...31..1.%3.503.39.%%%%%%%%%%99.90%50.5403%10%-0.235% 99.79%58.19%73% 2%-032%1999.77%53.4285%%% 1714%2299.78%55.30%634.2.%7.7626%3757%99.67%56.3161% 99.77%57.921699.77%55.37% % % 99.71%54.63%52.3599.65%95.39%61.4109%65%89%67%49%59%% 3.9%44% 19% -1.606% 58% ，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26.68%20.64% 6.57% 10.21%77.52%89.76%深度学习因子

DL_1

正 16.33%17.27%

9.47%

71.74%

95.32%Level-2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 3.81% 6.94% 2.04% 3.74%负 0.52% -0.65%-7.00%-3.53%正 -1.68% 1.57% 5.26% 3.21%正 2.37% 2.76% 3.54% 2.81%正 10.77%11.08% 8.18% 7.81%负 -17.24%-14.31%-7.65%-7.00%正 5.68% 0.14% 0.47% 0.68%正 4.62% 9.95% 4.51% 5.38%正 4.40% 9.40% 4.19% 4.70%正 3.39% 7.94% 8.04% 6.57%正 -2.00% 6.26% 7.99% 6.26%正 3.56% 4.13% 3.39% 3.62%正 -1.08% 5.69% 7.06% 6.10%正 26.57%18.59% 2.54% 5.79%正 27.12%17.56% 2.90% 5.69%正 -3.95%-7.28% 0.47% 正 .58% 2.53% 5.81%正 27.07%17.56% 2.90% 5.71%负 -29.02%-19.29%-2.92%-6.21%

66.71%64.77%63.29%64.50%64.77%63.02%55.37%62.48%60.87%69.73%67.85%64.30%66.91%59.73%61.21%57.32%59.87%61.21%60.87%

89.29%83.58%84.14%82.27%93.53%93.84%83.19%91.45%91.26%93.60%88.27%85.09%98.19%88.83%88.97%81.09%88.79%88.95%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56.7161.54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56.7161.54integrated_longshort

正 22.27%17.46% 2.59% 5.50% %97.71%80.98%97.71%80.98%86.79%86.43%92.34%88.27%97.02%89.51%88.56%91.45%92.89%88.66%91.35%89.51%89.78%88.36%88.99%95.86%81.67%84.55%94.49%95.08%84.85%81.65%78.97%79.01%92.77%86.15%80.76%80.69%80.80%80.96%81.32%83.06%85.34%81.74%80.62%80.41%80.80%96.68%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integrated_bigsmall_longshort 正transaction_order_ratio_oa1 负withdrew_order_ratio_oa1 负transaction_order_ratio_oa2 负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 负real_skew 负real_kurtosis 负real_upvar 负real_downvar 负ratio_realupvar ratio_realdownvar 正trendratio 负ret_intraday intraday_maxdrawdown ratio_volumeH1 ratio_volumeH2 ratio_volumeH3 ratio_volumeH4 ratio_volumeH5 ratio_volumeH6 ratio_volumeH7 ratio_volumeH8 corr_VP 负corr_VR corr_VRlag 负corr_VRlead Amihud_illiq

-3.35%-5.95% 0.55% -0.95% %60.7420.41%15.85% 3.47% 5.68% %60.7462.6822.97%15.23% 3.48% 5.28% %62.6868.26-6.82% 2.60% 7.94% 4.92% %68.2668.26-6.61% 3.60% 7.84% 5.23% %68.2658.3962.2812.76%58.3962.28-22.40%-8.65%-0.09%-3.31% %60.60-17.15%-12.87%-0.91%-2.28% %60.6059.13-27.40%-14.05%-1.03%-4.11% %59.1360.00-28.61%-13.71%-0.01%-4.51% %60.0050.8765.10-14.77%-9.47%-2.53%50.8765.10-6.42%-1.25% 5.88% -1.26% %51.68-14.29%-8.53% 3.56% -1.35% %51.6852.15-14.88%-9.09% 3.37% -1.53% %52.1551.010.65% 2.35% 6.20% -1.29% %51.0160.6751.6160.6751.61-23.04%-9.50%-3.21%-4.59% %59.19-14.07%-12.63%-2.14%-2.58% %59.1964.36-11.70%-11.73%-2.38%-5.21% %64.3661.88-24.48%-11.87%-3.57%-5.25% %61.8861.28-21.52%-7.99%-2.98%-4.50% %61.2861.68-19.16%-17.28%-3.37%-4.80% %61.6852.019.94% 9.19% 0.63% 0.16% %52.0151.54-13.26%-6.40%-1.16%-0.50% %51.5451.68-13.70%-8.28%-1.35%-0.94% %51.6860.5458.7928.60%60.5458.79-20.66%-8.06% 0.38% -3.62% %53.02-13.16%-2.72% 2.19% -1.01% %53.0257.92-9.26% 1.06% 1.46% 1.52% %57.9254.233.56% 0.84% 0.23% 1.46% %54.2360.6712.50% 4.00% 0.31% 2.40% %60.6758.4610.98% 4.16% -0.45% 1.94% %58.4659.0617.12% 7.77% -0.30% 2.68% %59.0654.5021.55% 7.00% -2.76% 1.49% %54.5050.40-4.61%-3.28% 1.08% -0.37% %50.4052.15-13.05%-8.16% 0.78% 0.72% %52.1553.15-14.20%-10.86%-0.21%-1.13% %53.1551.41-9.23%-4.02% 0.77% 0.01% %51.4159.3317.52% 9.90% 2.60% 4.30% %59.33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_skewlargecorr_VPlargecorr_VRlargecorr_VRlaglarge销售净利率毛利率ROEROA每股净资产增长率

正 2.63%正 17.15%正 -11.35%正 22.20%负 -15.48%负 -22.94%负 -23.70%负 -9.58%负 -9.22%负 2.08%正 -2.50%正 -12.33%负 -6.51%负 -28.10%负 -3.36%正 0.38%负 -6.47%负 -3.84%负 -6.56%负 -5.64%负 4.06%负 -6.84%负 -8.73%负 -7.84%负 -27.30%负 -5.17%负 -11.42%负 -23.03%负 -3.61%负 -13.52%正 -7.78%负 -11.51%正 15.40%正 12.20%正 8.91%正 3.36%负 -3.11%负 0.38%正 -12.20%负 -3.37%

-0.12% 0.46% 1.26% %84.44%81.68%62.1557.5211.74% 2.21% 3.68% %84.44%81.68%62.1557.5284.94%50.81-10.31%2.16% -0.03% %84.94%50.8184.04%59.6611.83% 0.60% 3.26% %84.04%59.6685.26%53.36-10.98%1.18% -0.89% %85.26%53.3687.43%60.60-17.46%-0.48%-3.22% %87.43%60.6079.41%88.40%50.0758.66-14.43%79.41%88.40%50.0758.66-9.48% 0.73% -0.25% %77.68%54.23-1.99%-2.21%-1.09% %77.68%54.2380.96%51.281.54% 0.06% 0.01% %80.96%51.2879.91%61.54-3.81% 3.59% 3.00% %79.91%61.5480.55%50.81-2.37% 1.14% 0.17% %80.55%50.8178.91%50.34-5.61% 1.20% 0.21% %78.91%50.3494.18%61.34-13.76%-2.57%-6.26% %94.18%61.3480.46%50.34-6.25%-0.46% 0.08% %80.46%50.3479.86%82.18%55.4453.42-4.58%-1.10%79.86%82.18%55.4453.42-0.02% 0.78% -1.28% %80.63%50.74-0.75% 1.29% 0.20% %80.63%50.7481.99%50.67-1.36% 1.62% -0.03% %81.99%50.6780.22%56.78-1.23%-1.08%-1.07% %80.22%56.7879.80%52.752.51% 0.82% 0.36% %79.80%52.7590.63%54.23-0.23%-3.60%-0.99% %90.63%54.2380.60%59.73-2.53%-0.22%-1.40% %80.60%59.7395.15%81.91%61.8160.47-6.98%-2.60%95.15%81.91%61.8160.47-12.84%-3.08%-5.78% %83.36%64.83-8.81%-2.19%-3.75% %83.36%64.8381.77%58.86-10.60%-1.85%-1.79% %81.77%58.8690.75%62.35-16.34%-1.84%-6.20% %90.75%62.3581.72%50.94-1.89% 0.44% -0.32% %81.72%50.9480.18%54.03-8.63% 0.86% 0.98% %80.18%54.0380.54%50.34-1.67% 1.29% 0.31% %80.54%50.3499.78%80.33%51.0199.78%80.33%51.0151.078.28% 1.87% 0.36% %99.84%53.62-5.22%-4.26%-1.90% %99.84%53.6299.66%51.285.59% 4.04% 0.14% %99.66%51.2899.87%99.66%51.8199.87%99.66%51.8152.48-1.12% 4.77% -1.14% %99.85%53.832.18% 3.78% -1.19% %99.85%53.8399.78%52.89-7.74% 5.03% 0.88% %99.78%52.8999.86%52.010.33% 5.68% 0.03% %99.86%52.01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EPSROE

正 -11.80%-6.99% 正 -3.97%-1.15% 正 -10.73%-5.05% 24负 6.77% 6.36% 24

1.25% %55.7753.1599.77%99.75%55.7753.1599.77%99.75%99.86%99.84%99.86%99.84%99.84%99.77%99.84%99.86%98.71%99.39%99.56%99.67%97.74%98.36%99.69%99.90%99.34%99.34%99.59%99.60%99.81%99.83%99.87%99.83%99.83%99.69%94.62%99.52%99.70%99.69%99.73%99.70%99.69%99.91%54.9750.4754.9750.4757.921.47% %57.925752.28风格因子5752.28

长期负债比率

负 8.19%

% 2.96% 1.75% %杠杆 每股负比

负 14.67% 9.

0.40% 0.80% %风格因子

流动负债率1个月成交金额

正 -8.67%负 -20.57%

.09%-3.66%-1.53% %111059.1958.93.03%-2.28%111059.1958.93流动技术

近3个月平均成交量换手率/

负 -9.85% 4.59% -0.07% 0.29% %55.0359.3351.28负 -30.74%-15.91%55.0359.3351.28负 -6.87%-5.38%-2.34%-3.26% %56.24负 -41.10%-18.50%-3.37%-3.53% %56.2450.07负 -24.58%-7.49%-3.54%-1.18% %50.0752.0153.29负 -20.86%-10.69%-0.58% 1.39% %52.0153.29最高点距离

正

1.64% 0.72% 1.61% %50.8756.58容量比 负 -13.11%-3.01%-2.30%50.8756.58流通市值

负

3.27% -2.17%-0.14% %风格因子

总资产

负 18.79%18.34% 1.19% 3.37% %56.78规模 流通股/总流通市/总56.78存货周转率

正 正 正

3.67% 1.30% 1.11% %53.4256.8556.8553.4256.8556.8550.279.70% 0.62% 1.70% %50.2752.75总资产周转率52.75

正 -11.83%-4.12% 2.82% 0.19% %7%-10.441-147%-10.441-1458.26

负

4.49% 2.09% 0.53% %54.36风格因子54.36

营业费用比例

正

.46%

6%-3.14% %质量 固定比

正

15.%

5.5

1.68% %速动比率流动比率

正 2.66% -5.89%-2.54%-2.03% %54.5055.50正 -5.55%-11.45%-1.67%-2.13% %54.5055.50净利润现金占比

正

6.54% 1.99%

61.88%CFP(行业相对)EP(行业相对)

正 7.54% 7402正 8.05% 7402

% 0.09% -0.29% %52.8956.5852.8956.5861.8861.5456.3155.1759.19风格因子估值

SP(行业相对)BP(行业相对)CFP

正 正负 3.07%

3.24% 1.19% 2.76% %17.29% 4.90% 4.54.15% 3.74% 1.46% %19EP 19

30.99%

26.87%

6.05%

3.62% %SP

.% 4.16% 3.78% %BP

25.09%24.44%

4.59% 5.29% %DP

正

7.87% 0.13%

53.49%（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Level-2因子重点时段

agru_dailyquoteDL_1fimagekeyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pct

正 正 9% 88%9% 88%-6.05% 5% 负 -10.正 8.7正 -0.135.正 35.

21.65320.1536%0%3%8%-24.320.3-24.3

6.27%5%6.57%5%2.02%-5.51%-5.25.1%2-6.0%93.5%7.9-6.0%9

9.35%8.75%3.45%-2.99%3.17%3.03%7.81%

77.79%73.83%65.44%64.23%63.62%65.17%67.92%

89.28%95.17%88.78%83.32%83.26%81.93%93.09%keyperiod_amount_low50pct

负 -

28%

63%

-6.87%

63.09%

93.89%Level-2因子大小单

bigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_bigsmall

正 10.75% 3.65%3正 16.60%18.838正 16.50%20.281正 16.12%17