Alpha因子跟踪月报：新入库Level-2因子

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11：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） 12表3：因子表现分析（中证A500，月度换仓） 16表4：因子表现分析（中证500，月度换仓） 20表5：因子表现分析（中证1000，月度换仓） 24表6：因子表现分析（创业板，月度换仓） 28表7：因子表现分析（全市场，月度换仓） 32表8：因子表现分析（沪深300，月度换仓） 36表9：因子表现分析（中证A500，月度换仓） 40表10：因子表现分析（中证500，月度换仓） 44表11：因子表现分析（中证1000，月度换仓） 48表12：因子表现分析（创业板，月度换仓） 52一、广发金工Alpha因子数据库广发金工Alphamysql8.01Level-1Level-2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%（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，通联数据图4：中证500 图5：中证800、天软科技、通联数据图6：中证1000 图7：创业板指（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，通联数据图10：中证500 图11：中证800、天软科技、通联数据图12：中证1000 图13：创业板指（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，通联数据图16：中证500 图17：中证800、天软科技、通联数据图18：中证1000 图19：创业板指三、因子表现分析（月度换仓）表1：因子表现分析（全市场，月度换仓）因子类型 因子名称 因方

RankIC表现 每期分档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_1fimagevpin_voldpin_base_total_std

正 -4.07%9.10%31%正 -3.10%11.10%31%正 3.33% 正-11.94%正-22.70%

13.41%13.46%5.06%10.49%9.40%

90.39%85.94%77.63%72.86%67.76%

91.43%96.02%89.86%97.43%95.90%Level-2因子

dpin_big_am_stddpin_big_am_stable

正-6%14.6负 6%14.6

5%2.84% -2.32%-8.00%

70.83%69.52%

88.40%90.26%知情交易

dpin_small_am_meandpin_small_am_stddpin_small_am_stable

正 0.68% 正 0.51% 正 0.75%

4.17%4.52%4.61%

69.33%70.90%70.90%

85.31%86.14%85.94%dpin_base_middle_stddpin_base_pm_stdkeyperiod_ret_zero

正-21.87%2.55% 9.55%正-19.83%2.76% 8.87%负 -3.05%-5.54%-5.40%

68.28%69.91%86.20%

95.10%88.86%84.88%Level-2重点时段

keyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pct

正 -4.61%正 -3.20%39%-8.24%正 -3.89%39%-8.24%

5.14%5.14%10.83%

82.41%83.26%85.09%

84.42%82.52%94.93%keyperiod_amount_low50pctkeyperiod_sync_low50pct

负 正

13%7.

-10.56%6.33%

74.17%83.65%

96.48%84.56%Level-2因子

bigbuybigsellbigbuy_bigsell

正-15.01%0.87% 正-17.21%0.90% 正 -4.42%6.12%

64.55%63.51%76.91%

92.83%92.92%94.94%大小单

bigbuy_bigsell_H1

正 -4.56%

6.44%

74.10%

88.77%bigbuy_bigsell_H8

正 -7.48%1.89%

76.26%

86.25%integrated_bigsmalllongbuy

正 -7.75%正-11.53%

7.15%8.75%

73.12%68.93%

98.51%89.04%longselllongbuy_longsell

正 -9.78%5.11% 正 7.18% 2.63%

73.90%65.60%

89.52%82.16%Level-2长短单

longbuy_shortsellshortbuy_longsell

正-11.75%32正 -9.98%32

8.71%74%-10.74%-10.

68.80%73.58%

88.90%89.43%shortbuy_shortsell

负 11.7

-4.86%

13%

70.63%

92.14%Level-2因子大小长短单

integrated_longshortbigbuy_longbuy_bigsell_longsellbigbuy_longbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_longsellbigbuy_shortbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_shortsell_H1

正 -7.6%正 4.37% 正 -6.47%正 -5.78%正 -2.59%.2正 -4.21%.2

9.1.96%8.57%9.38%6.23%4.86%

71.94%67.69%71.42%77.44%74.23%70.57%

98.31%81.69%87.17%87.16%92.57%88.38%-5.90.53%79.99%integrated_bigsmall_longshort-5.90.53%79.99%

正 -8

6.01%

10.40%

73.51%

97.83%transaction_order_ratio_oa1

负

58%

-7.74%90.10%92.21%93.82%91.32%90.48%88.32%88.43%86.57%87.49%94.95%82.81%85.08%93.57%93.80%86.55%82.71%79.47%79.33%93.02%88.71%81.32%81.44%81.55%82.21%82.47%83.76%86.13%82.32%81.45%80.94%81.80%95.94%75.13%86.55%87.11%85.30%85.55%88.75%90.10%92.21%93.82%91.32%90.48%88.32%88.43%86.57%87.49%94.95%82.81%85.08%93.57%93.80%86.55%82.71%79.47%79.33%93.02%88.71%81.32%81.44%81.55%82.21%82.47%83.76%86.13%82.32%81.45%80.94%81.80%95.94%75.13%86.55%87.11%85.30%85.55%88.75%88.82%79.95%51.9372.8672.3374.1061.54因子类型因子名称因子方向近一月近一年RankIC表现历史以来历史胜率自相关性累计走势每期分档平均收益Level-2因子集合竞价withdrew_order_ratio_oa1transaction_order_ratio_oa2transaction_order_ratio_oaselltransaction_sellorder_ratio_ca负2.48%-4.47%-4.31%77.11% 负10.48%-5.47%-8.92%76.13%负13.39%-5.52%-9.31%74.89%负3.75%-5.80%-7.84%80.97%Level-2因子市价单marketorder_ratiomarketbuyorder_limitbuyorder_ratiomarketbuyorder_limitsellorder_ratiomarketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratio负1.37%-2.64%-6.57%74.23%负1.29%-2.19%-6.08%73.12%负1.35%-2.81%-6.62%74.49%负0.43%-3.39%-6.48%73.71%负0.72%-3.73%-6.91%74.43% 分钟频因子日内价格相关real_varreal_skewreal_kurtosisreal_upvarreal_downvarratio_realupvarratio_realdownvartrendratioret_intradayintraday_maxdrawdown负12.59%-5.68%-8.47%72.60%负10.97%-3.24%-5.91%77.37%负8.73%-4.06%-6.44%71.81%负14.43%-5.96%-9.28%74.30%负11.29%-5.16%-7.77%71.88%负17.42%-3.57%-8.05%73.84%正-9.15%2.41%4.35%70.11%负6.08%-2.35%-3.43%61.28%负5.49%-3.97%-4.84%67.17%正-18.22%3.60%8.93%68.15%分钟频因子成交量相关ratio_volumeH1ratio_volumeH2ratio_volumeH3ratio_volumeH4ratio_volumeH5ratio_volumeH6ratio_volumeH7ratio_volumeH8corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiq负0.44%-5.02%-5.74%73.77%正1.66%0.84%-0.45%52.52%正-0.77%2.68%2.15%63.70%正5.82%3.73%3.31%69.85%正6.23%3.32%3.80%73.58%正1.79%3.22%3.56%72.33%正-4.49%4.32%4.78%75.47%负-8.64%1.45%2.93%63.96%负-2.29%-2.45%-2.43%65.21% 负11.78%-1.23%-2.59%62.59%负12.84%-2.88%-5.33%73.97%正7.19%1.50%-0.47% %正-5.88%7.94%10.53% %12.10%3.81%3.23% %分钟频因子盘前相关ret_overnightret_open2AH1ret_open2AL1ret_open2AH2ret_open2AL2diverge_A1diverge_A2正正-4.31%3.60%5.91% %正8.38%2.01%1.61% %正-11.12%1.90%4.97%71.35%负16.18%1.12%-1.72%55.53%负9.64%-1.04%-3.56%63.64% 负17.76%-0.66%-4.79%64.94%18.03%0.12%-2.43%58.27%ret_H1负78.09%81.79%80.61%81.38%79.25%93.10%80.99%83.26%79.28%78.09%81.79%80.61%81.38%79.25%93.10%80.99%83.26%79.28%80.71%81.54%80.48%79.81%89.55%81.02%83.72%94.20%84.28%82.85%91.78%82.50%81.06%81.45%80.78%99.73%99.79%99.63%99.60%99.84%99.87%99.73%99.84%99.73%99.69%99.85%99.82%99.81%99.85%99.81%99.80%59.3955.3358.0855.33因子类型 因子名称因子方向RankIC表现近一月近一年历史以来历史胜率自相关性累计走势每期分档平均收益ret_close2H1corr_VPH1corr_VRH1分钟频因子 corr_VRleadH1开盘后相关 corr_VRlagH1real_varH1real_skewH1real_kurtosisH1负负正正负负负正-9.21%-4.41%-3.50%64.68% -7.56%-2.16%-0.73%54.81% 11.39%2.00% 1.49%62.13% 0.72% 1.00%-0.34%52.58% 8.65%-0.34%-1.71%59.25% 14.73%-5.26%-9.45%71.62% 5.31%-0.64%-1.96%65.21% 3.46%-0.98%-0.76%56.05% -3.58%-1.45%-0.60%56.12% -0.86%-0.69%-0.36%52.65% 1.89% 0.11%-0.68%54.55% -3.73%-1.48%-0.97%62.85% -0.52%0.04%-0.42%56.90% 1.29%-3.25%-3.41%63.96% 3.67%-0.65%-2.02%68.67% 15.29%-0.20%-3.07%60.76% 13.96%-5.93%-9.50%72.20% 5.68%-3.48%-4.60%69.06% 8.44%-2.70%-4.62%75.54% 11.74%-4.76%-8.61%73.90% -2.94%-2.88%-2.90%68.02% 11.18%-0.81%-2.07%60.95% 4.23% 1.58% 0.15%53.24% 10.88%-2.57%-4.63%74.43% -4.57%-0.10%-0.53% -2.83%-1.80%-1.18% -6.42%-0.37%-0.43% -4.40%0.14%-0.64% -1.63%0.01%-1.48%59.97% 7.74% 2.69%-0.67%54.68% -2.69%1.65% 0.59%50.29%-5.02%-0.55%-1.05%58.99%-3.72%1.48% 0.72%50.95%-1.42%0.42% 0.62%51.47% 11.29%4.41% 0.62%50.56% -4.16%-1.34%0.14%50.29% -1.11%-0.02%0.12%51.54% 2.21% 1.11%-0.17%50.03% 0.17%-0.44%-0.11%50.62% 4.24%-8.65%-10.51%74.62%ret_H8corr_VPH8corr_VRH8分钟频因子 corr_VRleadH8收盘前相关 corr_VRlagH8real_varH8real_skewH8real_kurtosisH8负负负负负负负负real_varlargereal_kurtosislargereal_skewlarge分钟频因子 ratio_realvarlarge大成交量相关 corr_VPlargecorr_VRlargecorr_VRleadlargecorr_VRlaglarge负负负负负负正负销售净利率风格因子 毛利率盈利 ROEROA正正正正总资产增长率净利润增长率风格因子 每股净资产增长成长EPS增长率ROE增长率主营业务收入增长率负负正负正正正资产负债率风格因子 长期负债比率杠杆 每股负债比流动负债率负负负正1个月成交金额负因子类型 因子名称因子方向RankIC表现近一月近一年历史以来历史胜率自相关性累计走势每期分档平均收益风格因子 近3个月平均成交流动 换手率负负-12.47%-7.20%-4.74%64.55% 13.89%-3.58%-7.77%66.64% 3.00%-4.33%-6.78%67.76% 10.40%-5.20%-6.43%66.12% 10.01%-2.76%-5.90%62.20% 14.35%-2.60%-4.35%60.89% -4.99%2.66% 4.42%64.36% 5.81%-2.48%-4.71%63.70% -3.66%-5.34%-3.45%60.50% -13.39%-3.11%-0.64%53.17% -4.64%-1.12%2.39%55.53% -4.64%-1.12%2.39%55.53% -6.29%-1.56%0.29%53.04% -2.97%-0.09%0.51%50.16% 2.00%-0.23%-0.32%50.69% -5.04%-4.21%-1.06%50.56% -1.13%1.57% 1.21%56.44% 5.76% 1.20%-0.49%52.32% 6.70% 1.47%-0.45%52.32% -5.39%-0.31%1.38%56.05% -2.27%0.66% 0.03%52.13% -10.48%0.04% 1.81%55.59% -14.05%0.70% 4.01%66.84% -11.41%4.00% 5.92%70.77% -1.28%0.12%-0.14%54.61%-14.74%-0.57%2.27%56.18%-17.64%0.59% 4.60%61.28% -19.10%2.18% 6.26%62.52% 1.79% 0.79%-0.58%55.53% 风格因子 六个月股价反转技术 一年股价反转/动最高点距离容量比负负负负正负流通市值风格因子 总资产规模 流通股本/总股本流通市值/总市值负负正正存货周转率风格因子 营业费用比质量 固定比净利润现金占比正正负正正正正正CFP(行业相对EP(行业相对)SP(行业相对)BP(行业相对)风格因子 CFP估值EPSPBPDP正正正正负正正正正99.94%99.91%98.69%99.46%99.63%99.75%97.72%98.02%99.94%99.91%98.69%99.46%99.63%99.75%97.72%98.02%99.79%99.86%99.80%99.80%99.54%99.58%99.81%99.76%99.82%99.82%99.84%99.59%93.96%99.66%99.79%99.79%99.67%99.79%99.77%99.75%99.77%因子类型 因子名称 因

RankIC

每期分档深度学习因子

agru_dailyquoteDL_1

方向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89.66%76.78%.60%正 -3.33%2.82%1089.66%76.78%.60%95.41%68.28%60%正 -2.16%2.67% 9.95.41%68.28%60%fimagevpin_vol

正 -2.38%3.48% 4.%96.13%89.37%%58.7367.30%96.13%89.37%%58.7367.30%1206dpin_base_total_stddpin_big_am_std

正-25.74%-正-20.17%-

3%4.% %.6.484.96%59.710794.09%57.68786%5.% %.6.484.96%59.710794.09%57.6878Level-2知情交易

dpin_big_am_stabledpin_small_am_meandpin_small_am_stddpin_small_am_stable

负 19.37%正 37%正 正

4.95%-2.46%-2.84%-2.67%

-5. %82.62%60.37786.75%60.1704%2.2% %82.62%60.37786.75%60.1704%83.59%60.3782.7% %83.59%60.37893.36%57.627282.75%60.5682.4% %93.36%57.627282.75%60.568dpin_base_middle_std

正-26.11%-4.77%4.% %dpin_base_pm_stdkeyperiod_ret_zerokeyperiod_ret_low5pct

正-15.0920.15.0920.正-

49%-2.47%4.% 83.62%86.23%58.2758.5304%44%63%83.62%86.23%58.2758.5304%44%63%57.8884.65%02%%57.8884.65%Level-2重点时段

keyperiod_price_low5pctkeyperiod_amount_top30pct

正 -7.25%0.89% 2. %1480%61%54%7%793.67%60.5682.68%59.65正1480%61%54%7%793.67%60.5682.68%59.65Level-2大小单

keyperiod_amount_low50pctkeyperiod_sync_low50pctbigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_bigsmall

负 25.71%正 2.58%正正正正正正

1.13%-0.85%2.50%1.21%4.00%5.90%1.15%4.20%

. %91.33%83.21%59.0652.71-593.68%91.33%83.21%59.0652.71-593.68%58.805.% %91.05%56.51564.% %91.05%56.515693.55%62.79126.% %93.55%62.7912%63.9088.12%15%63.9088.12%153%985.23%57.293%985.23%57.2988.65%98.18%58.9961.67956288.65%98.18%58.9961.679562longbuylongsell

正-19.95%-正-17.64%-

3%4.% %.5.581.46%60.4309%88.77%58.99928%4.% %.5.581.46%60.4309%88.77%58.9992longbuy_longsell

正 5.01%-0.60%-2. %Level-2长短单

longbuy_shortsellshortbuy_longsell

正-20.00%-正-17.66%-

1%4.% %%88.73%9388.62%59.0697%88.73%9388.62%59.0697shortbuy_shortsellintegrated_longshort

负 15.32%正15.32%

6.0-5.23%58%71%81.33%97.66%60.1058.27%58.934%-5.23%58%71%81.33%97.66%60.1058.27%58.934%91.47%bigbuy_longbuy_bigsell_longsell

正 4.45%-0.50%-1. %Level-2因子大小长短单

bigbuy_longbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_longsellbigbuy_shortbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_shortsell_H1

正-16.66%-4.3.1正-13.25%-4.3.1正-13.99%-23.正-15.64%-23.

3%4.% 86.42%58.807686.72%58.73820%4.% 86.42%58.807686.72%58.73822%92.53%63.18784.% %2%92.53%63.187889.67%96.95%58.2759.71%63.967%0389.67%96.95%58.2759.71%63.967%0388.12%09integrated_bigsmall_longshort

正 21%-1.02%6.% %transaction_order_ratio_oa1

负

4.62%-3.01% %Level-2集合竞价

withdrew_order_ratio_oa1transaction_order_ratio_oa2

负 5.07% 0.94%-1.86%%56.3191.80%58.6089.19%负 13.87%5.62%%56.3191.80%58.6089.19%93.16%89.17%91.69%90.15%90.67%89.75%90.09%95.87%81.78%84.71%93.16%89.17%91.69%90.15%90.67%89.75%90.09%95.87%81.78%84.71%94.46%95.08%84.77%81.80%79.38%79.23%92.71%85.50%80.79%80.87%80.70%81.01%81.49%82.93%85.22%82.06%80.58%80.36%80.62%96.93%81.91%84.08%84.84%83.88%85.35%87.63%88.43%79.15%77.79%80.78%因子类型 因子名称因子方向RankIC表现近一月近一年历史以来历史胜率自相关性累计走势每期分档平均收益transaction_order_ratio_oaselltransaction_sellorder_ratio_ca负负16.98%6.38%-4.10%58.67% 3.14% 0.03%-4.62%63.70% 4.48% 3.31% 1.18%55.13%9.28% 1.51% 1.05%54.09%8.97% 1.61% 0.90%53.56%1.22% 3.83% 0.71%50.03% 1.11% 4.02% 0.63%50.75% 18.62%4.93%-4.05%60.50% 9.49% 3.09%-2.72%60.76% -0.69%-0.91%-5.68%63.37% 19.85%5.50%-4.80%60.37% 16.66%3.91%-4.01%59.25% 13.41%2.46%-4.93%62.13% -17.09%-6.44%-0.38%50.69% 10.27%3.89% 0.47%50.56% 8.70% 3.65%-0.28%50.03% -20.65%-6.28%5.87%57.62% 6.40% 3.54%-4.16%60.76% 8.42% 2.81%-0.35%50.36% 1.73% 1.25% 1.65%57.42% 7.07%-0.15%1.91%58.73% 2.34% 0.08% 2.61%57.68% -3.46%-1.77%2.21%58.53%-16.28%-2.34%2.56%59.06%-14.54%-7.25%1.18%53.96%-6.58%1.70%-1.55%55.33% 9.85% 5.36% 0.70%53.37% 12.77%5.21%-0.95%51.67% 10.78%1.25% 0.00%50.82% -21.36%-5.48%2.43%55.26% 7.85% 1.46% 1.12%55.92% 0.54%-0.31%4.38%60.50% 5.68% 2.41%-0.18%50.36%-6.43%-3.06%3.91%56.97%15.10%5.31%-0.91%52.98%4.86% 2.00%-4.00%58.53% 14.55%5.77%-3.51%56.90% 19.28%5.87% 0.61%51.28% -6.29%-0.87%-0.86%52.65%-6.78%-0.29%-0.84%52.19%marketorder_ratiomarketbuyorder_limitbuyorder_ratioLevel-2因子marketbuyorder_limitsellorder_ratio市价单marketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratio负负负负负real_varreal_skewreal_kurtosisreal_upvar分钟频因子 real_downvar日内价格相关 ratio_realupvarratio_realdownvartrendratioret_intradayintraday_maxdrawdown负负负负负负正负负正ratio_volumeH1ratio_volumeH2ratio_volumeH3ratio_volumeH4ratio_volumeH5ratio_volumeH6分钟频因子ratio_volumeH7成交量相关ratio_volumeH8corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiq负正正正正正正负负负负正正ret_overnightret_open2AH1ret_open2AL1分钟频因子ret_open2AH2盘前相关ret_open2AL2diverge_A1diverge_A2正正正正负负负ret_H1分钟频因子 ret_close2H1开盘后相关corr_VPH1负负负79.68%80.69%78.82%94.20%80.62%82.24%80.53%80.71%82.02%80.35%80.24%90.54%80.81%79.68%80.69%78.82%94.20%80.62%82.24%80.53%80.71%82.02%80.35%80.24%90.54%80.81%81.89%95.10%83.48%81.79%90.67%81.72%79.99%80.56%80.16%99.70%99.77%99.61%99.60%99.80%99.83%99.78%99.80%99.78%99.77%99.84%99.78%99.84%99.83%99.81%99.78%99.92%99.89%50.9556.3155.1352.1350.6953.9650.7551.4158.0860.1060.7662.2659.8462.9856.6452.4550.7552.7855.4651.0150.6951.3450.6951.8650.1052.4551.2151.8655.5953.0450.9551.8054.0255.0053.11因子类型因子名称因子方向近一月近一年RankIC表现历史以来历史胜率自相关性累计走势每期分档平均收益corr_VRH1正7.58%5.49%3.22%61.15% corr_VRleadH1正3.90%-0.35%-0.58%52.84% corr_VRlagH1负7.04%4.06%0.18%51.14% real_varH1负17.87%5.61%-6.16%59.78% real_skewH1负3.48%1.34%-0.05% % real_kurtosisH1正-6.90%-3.79%-1.11% % ret_H8负-4.98%0.12%-1.46% % corr_VPH8负2.14%1.21%-0.03% % corr_VRH8负4.78%3.67%0.01% % 分钟频因子corr_VRleadH8负-3.38%-1.34%-0.73% % 收盘前相关corr_VRlagH8负-4.77%0.53%0.38% % real_varH8负1.52%0.72%-0.41% % real_skewH8负5.06%1.94%-1.19% % real_kurtosisH8负13.35%1.21%-3.39% % real_varlarge负18.91%5.47%-5.56% % real_kurtosislarge负-5.07%-2.38%-4.51% % real_skewlarge负6.50%1.79%-2.21% % 分钟频因子ratio_realvarlarge负5.70%1.90%-6.31% % 大成交量相关corr_VPlarge负-4.43%1.17%-1.66% % corr_VRlarge负10.22%5.08%0.59% % corr_VRleadlarge正8.62%0.81%0.13% % corr_VRlaglarge负13.49%4.97%-0.93% % 销售净利率正1.77%-0.37%1.51% %风格因子毛利率正5.51%-4.66%-0.50% % 盈利ROE正4.84%4.86%0.10% % ROA正9.10%4.29%-0.86% % 股东权益增长率负15.40%6.63%-1.64% %总资产增长率负26.58%8.48%-1.55% % 净利润增长率正14.08%9.66%0.08% %风格因子成长每股净资产增长率EPS增长率负11.56%4.94%-0.28% %正12.21%9.00%0.71% %ROE增长率正9.19%6.31%0.90% % 主营业务收入增长率正26.64%9.37%-1.30% % -7.93%-0.83%1.70% %资产负债率负风格因子长期负债比率负-0.33%2.88%1.11% % 负-7.50%-2.80%0.94% % 杠杆每股负债比流动负债率正-2.01%-3.60%-1.20% % 24.53%6.54%-2.72% %1个月成交金额负风格因子流动近3个月平均成交量换手率负-0.45%4.03%2.31% % 负27.17%8.63%-5.59%58.34%54.0252.7851.8054.0252.7851.8055.0058.9958.9955.4054.8150.0351.0850.2351.60-1.85%4.2-2.86%%2.49%-0.75%-2.33%-1.85%4.2-2.86%%2.49%-0.75%-2.33%%1.53% 0.10% 0.62%%13.62%6.03.88%58.93%-1.58%-4.9%1.37%%1.82% 4.7-2.85%%5.65%-0.77%3.%60.04%-17.57%-2.37%3.%%3.07% 0.40% 0.87%%3.07% 0.40% 0.87%%-12.24%-0.06%1.75%%4.60% 4.7-1.41%%-5.42%0.90%-0.47%%-1.27%2%-3.49%56.05%1.41% 3.28%-0.08%%7.25%-0.15%-0.64%%11.07%0.91%-1.17%%-1.59%0.79% 3.00%61.22%-3.90%-1.30%-0.70%%-3.09%5.61.72%%-107%0.91% 1.29%%48%1.10% 2.98%%0%6.21.62%%94%1.27% 4.16%%77%1.58% 2.31%%64%-2.41%4.09%%8%-0.21%0.08%50.10%2.9%9%-13.39%8%17%2%0.7-27.-21.-24.-16.-1.6正负正正正正DPBP(行业相对)CFPEPSPBP风格因子估值正正正CFP(行业相对EP(行业相对)SP(行业相对)正正负正正正正正存货周转率固定比风格因子质量负负正正总资产流通股本/流通市值/风格因子规模流通市值负负负负正负六个月股价反转一年股价反转/最高点距离容量比风格因子技术一个月股价反转三个月股价反转每期分档平均收益RankIC表现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名称因子类型57.1052.3254.3556.3856.5753.9653.3752.98860754.0251.3498.72%99.45%99.60%99.73%97.76%98.42%99.77%99.88%99.37%99.37%99.49%99.54%99.78%99.76%99.81%99.80%99.79%99.60%95.03%99.70%99.78%99.77%99.67%99.78%99.78%99.80%99.87%因子类型 因子名称 因

RankIC

每期分档深度学习因子

agru_dailyquoteDL_1

方向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89.90%77.04%98%正 -4.24%3.06% 9.89.90%77.04%98%96.61%89.41%58.1465.99%445595.45%71.16%24%正 96.61%89.41%58.1465.99%445595.45%71.16%24%fimage

正 -3.38%2.50% 3.%vpin_vol

正-25.26%-4.27%

5.% %dpin_base_total_stddpin_big_am_std

正-30.68%-84%-正 03%-84%-

4.% %85.94%59.395794.60%56.77544.% %85.94%59.395794.60%56.7754Level-2知情交易Level-2重点时段Level-2大小单Level-2长短单Level-2大小长短单

dpin_big_am_stabledpin_small_am_meandpin_small_am_stddpin_small_am_stabledpin_base_middle_stddpin_base_pm_stdkeyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pctkeyperiod_sync_low50pctbigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_bigsmalllongbuylongselllongbuy_longselllongbuy_shortsellshortbuy_longsellshortbuy_shortsellintegrated_longshortbigbuy_longbuy_bigsell_longsellbigbuy_longbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_longsellbigbuy_shortbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_shortsell_H1integrated_bigsmall_longshorttransaction_order_ratio_oa1

负 24.正正正正正负 6.10%正正 -9.49%正52%负 24.52%正 0.16%正正正正正正正正正 1.77%正54%正54%负 25.正正 0.58%正正正正正负 12.75%

5.76%-2.71%-2.86%-2.79%-5.70%-2.98%-4.58%2.68%1.96%2.80%-1.55%-0.01%0.82%0.27%8%4.68%8%5.28%1.01%3.92%7-3.71-3.11.33%7-3.71-3.1363.736-3.1.12%-1.78%-1.40%6.36%6.01%0.78%3.55%

-.4.4.-.-6.-..5.5.-1.5.5.-5.-5.4.-.4.3.49%3.49%-

83.14%59.8487.71%59.0647%36%83.14%59.8487.71%59.0647%36%42%45%84.02%59.84%84.02%59.8483.45%60.37%83.45%60.3793.80%56.6451% %93.80%56.645183.80%86.76%63.7057.2383.80%86.76%63.7057.2336%50%68%%9868%%9884.20%62.7282.40%63.96%82.40%63.968233%46%70%8233%46%70%93.65%63.5794.07%61.87%94.07%61.8791.66%83.25%61.1591.66%83.25%61.1555.79% %91.43%59.4509% %91.43%59.450993.75%68.28%04%93.75%68.28%0488.43%66.32%85%88.43%66.32%8585.27%62.98%22%85.27%62.98%2288.97%98.30%58.6065.5388.97%98.30%58.6065.532456% %89.12%60.0413% %89.12%60.041381.17%56.7715%%81.17%56.7715%88.93%58.7326% %88.93%58.732689.10%60.0414% %89.10%60.041491.90%59.7160%99%91.90%59.7160%99%92%81.07%97.79%56.4481.07%97.79%56.4460.37%86.92%59.5821% %86.92%59.582186.59%61.5480% %86.59%61.548092.51%66.58%51%92.51%66.58%5188.44%66.84%87%88.44%66.84%8789.72%97.10%57.4289.72%97.10%57.4261.0901% Level-2集合竞价

withdrew_order_ratio_oa1transaction_order_ratio_oa2

负 9.48% 0.96%-2.12% %91.55%58.0888.78%59.71负 18.04%3.91%-3.69% %91.55%58.0888.78%59.7193.01%88.70%91.36%89.55%89.82%88.36%88.98%95.87%81.68%84.62%94.51%95.10%84.95%81.65%78.95%79.07%92.75%93.01%88.70%91.36%89.55%89.82%88.36%88.98%95.87%81.68%84.62%94.51%95.10%84.95%81.65%78.95%79.07%92.75%86.35%80.90%80.82%81.00%81.04%81.50%83.25%85.44%81.67%80.67%80.46%80.82%96.81%81.54%84.45%85.14%83.99%85.41%87.66%88.52%79.44%77.60%80.92%-4.-3.-1.-1.-1.-1.-1.-4.-2.-5.-4.-4.-4.0.-0.-0.5.-3.-.1.2.1.-0.0.-.3.0.3.-0.2.2.-0.-1.-0.因子类型 因子名称因子方向RankIC表现近一月近一年历史以来历史胜率自相关性累计走势每期分档平均收益transaction_order_ratio_oaselltransaction_sellorder_ratio_ca负负21.00%5.52% 02%58.93% 8.40% 0.44% 99%63.96% -5.90%2.52% 32%51.34%-1.83%1.47% 39%52.45%-2.28%1.55% 56%52.71%-7.94%2.31% 36%51.73%-8.54%2.53% 56%52.26% 21.35%2.83% 18%59.65% 8.65% 1.41% 48%58.53% 0.96%-0.76% 07%63.83% 22.64%3.01% 81%60.82% 19.27%2.37% 11%60.24% 14.58%1.24% 49%60.63% -15.09%-3.68% 04%51.60% 7.95% 0.43% 43%51.28% 6.17% 0.16% 92%51.54% -25.45%-6.05% 11%57.82% 7.78% 2.72% 46%59.58% 5.63% 2.67% 98%52.78% 0.83% 1.47% 40%57.29% 7.05% 0.24% 61%55.13% 2.14%-0.02% 51%61.15% -3.19%-0.93% 92%58.08%-14.91%-2.65% 46%58.34%-16.05%-5.79% 22%53.63%0.09% 1.70% 40%50.69% 10.54%2.95% 80%52.13% 13.47%3.19% 97%52.91% 6.98% 0.86% 02%51.01% -21.08%-1.65% 86%58.27% 11.58%1.12% 45%58.01% -3.23%-0.33% 63%62.00% 10.12%2.93% 20%51.60%-10.77%-3.86% 06%58.80%19.50%5.48% 44%52.32%11.57%2.75%-96%59.65% 20.80%6.13%-73%57.62% 19.39%3.09% 03%50.29% -9.89%-2.95% 26%54.48%-6.06%0.22% 01%51.34%marketorder_ratiomarketbuyorder_limitbuyorder_ratioLevel-2因子marketbuyorder_limitsellorder_ratio市价单marketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratio负负负负负real_varreal_skewreal_kurtosisreal_upvar分钟频因子 real_downvar日内价格相关 ratio_realupvarratio_realdownvartrendratioret_intradayintraday_maxdrawdown负负负负负负正负负正ratio_volumeH1ratio_volumeH2ratio_volumeH3ratio_volumeH4ratio_volumeH5ratio_volumeH6分钟频因子ratio_volumeH7成交量相关ratio_volumeH8corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiq负正正正正正正负负负负正正ret_overnightret_open2AH1ret_open2AL1分钟频因子ret_open2AH2盘前相关ret_open2AL2diverge_A1diverge_A2正正正正负负负ret_H1分钟频因子 ret_close2H1开盘后相关corr_VPH1负负负79.96%80.73%79.01%94.23%80.51%82.26%79.96%80.73%79.01%94.23%80.51%82.26%79.85%80.64%82.09%80.24%79.83%90.64%80.81%82.00%95.18%83.43%81.81%90.93%81.68%80.21%80.68%80.34%99.60%99.66%99.49%99.49%99.74%99.68%99.70%99.67%99.58%99.55%99.69%99.79%99.69%99.79%99.67%99.78%99.85%99.89%因子类型 因子名称因子方向RankIC表现近一月近一年历史以来历史胜率自相关性累计走势每期分档平均收益corr_VRH1corr_VRleadH1corr_VRlagH1real_varH1real_skewH1real_kurtosisH1正正负负负正9.14% 3.94% 3.03%61.87% 1.01% 0.20% 0.05%50.56% 8.78% 3.18% 0.34%50.82% 21.70%3.90%-5.78%60.30% 2.18% 0.61% 0.04%50.03% -6.75%-2.34%-0.63%54.35% -2.00%-0.16%-1.31%55.59% 4.43% 1.01% 0.23%50.95% 6.36% 2.79% 0.08%50.03% -0.64%-1.01%-1.12%57.03% 0.01% 1.15% 0.37%52.52% 4.27%-0.44%-0.94%53.96% 6.57% 1.42%-1.25%58.99% 13.80%0.93%-3.03%59.19% 21.88%3.37%-5.33%60.76% -3.52%-1.58%-3.70%64.75% 4.65% 0.73%-1.79%58.80% 6.75% 0.99%-5.98%61.35% 0.27% 1.49%-0.36%50.69% 10.89%3.04% 1.05%53.96% 4.52% 0.75% 0.25%50.36% 12.09%3.39%-0.65%50.82% -5.50%0.47% 0.43%50.82% -0.96%-4.41%-1.72%53.04% -4.80%2.55% 0.19%50.82% -0.95%3.43%-0.22%51.86% 9.60% 5.24%-0.81%50.62% 18.24%6.85%-0.61%52.45% 9.69% 5.86% 1.15%53.83%6.21% 5.48% 0.26%52.98%8.26% 5.94% 1.48%54.09%7.77% 3.47% 1.55%56.51% 22.65%9.11% 1.33%50.62% -3.23%-1.57%1.28%53.70% 1.09% 2.17% 1.66%57.82% -1.75%-0.82%0.72%51.73% 0.40%-2.87%-1.48%58.34% 24.90%2.76%-4.32%58.14% -1.07%-0.25%0.09%50.56%28.58%8.25%-5.08%58.34%ret_H8corr_VPH8corr_VRH8分钟频因子 corr_VRleadH8收盘前相关 corr_VRlagH8real_varH8real_skewH8real_kurtosisH8负负负负负负负负real_varlargereal_kurtosislargereal_skewlarge分钟频因子 ratio_realvarlarge大成交量相关 corr_VPlargecorr_VRlargecorr_VRleadlargecorr_VRlaglarge负负负负负负正负销售净利率风格因子 毛利率盈利 ROEROA正正正正股东权益增长率总资产增长率净利润增长率风格因子 每股净资产增长成长EPS增长率ROE增长率主营业务收入增长率负负正负正正正资产负债率风格因子 长期负债比率杠杆 每股负债比流动负债率负负负正1个月成交金额风格因子 近3个月平均成交流动换手率负负负55.0055.4055.0055.4050.8254.0952.1956.5150.4355.7255.4655.4652.4551.2151.9953.7654.3553.11正正正正负正正正正DP正正正正负正正正正DPCFP(行业相对EP(行业相对SP(行业相对BP(行业相对)CFPEPSPBP风格因子估值正正负正正正正正存货周转率固定比风格因子质量负负正正总资产流通股本/流通市值/风格因子规模流通市值负负负负正负六个月股价反转一年股价反转/最高点距离容量比风格因子技术一个月股价反转三个月股价反转RankIC表现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名称因子类型53.2458.0853.7655.3361.7461.5460.3055.5352.132218-1.08.89.9% 1.76%-1.00%%20.05%4.19% 1.77%%-3.16%-1.29%1.56%%3.77% 1.24%-2.79%%3.40%-3.16%-0.07%%-18.26%-3.28%2.91%%-2.62%-0.53%1.01%%-2.62%-0.53%1.01%%-12.87%-1.35%1.41%%5.45% 4.01% 0.34%%-0.47%1.71% 0.46%%-3.65%57%-3.13%58.47%-2.24%5.41.59%%1.98%-1.11%-1.80%%7.19% 0.33%-1.84%%-6.67%0.61% 2.45%61.22%1.15% 0.43%-0.24%%-10.99%2.08% 2.06%%-13.23%-0.88%2.33%%-18.37%2.39% 3.98%%-1.31%4.17% 1.52%%-25.38%0.64% 3.%%57%0.27% 3.%%86%-0.88%4.58%%1%-1.06%0.07%%8%-10.-6.5-29.0.-29%5%-0.46%-3.41%%1%1.01%-3.23%每期分档平均收益98.73%99.44%99.61%99.71%97.77%98.38%99.72%99.72%99.32%99.32%99.41%99.43%99.74%99.65%99.68%99.65%99.66%99.62%94.71%99.63%99.74%99.74%99.70%99.76%99.73%99.73%99.68%因子类型 因子名称 因

RankIC

每期分档方向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_1fimagevpin_voldpin_base_total_stddpin_big_am_std

正 -6.90%3.63%5%正 -6.57%2.93%5%0%正 -0.38%3.00%正-24.61%-3.28%正-28.43%-4.23%06%-23.正 91%06%-23.

9.16%8.50%3.33%5.87%5.07%4.62%

77.17%72.60%64.88%59.12%55.40%58.53%

89.63%95.31%89.03%96.44%94.23%85.94%Level-2知情交易Level-2重点时段Level-2大小单

dpin_big_am_stabledpin_small_am_meandpin_small_am_stddpin_small_am_stabledpin_base_middle_stddpin_base_pm_stdkeyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pctkeyperiod_sync_low50pctbigbuy3.

负 24.正 -9.76%正 -9.96%正正正负 4.27%正正 -6.33%正52%负 23.52%正 -2.68%正正正正正正

3.90%-1.02%-1.02%-0.95%-4.11%-2.20%-3.59%8%2.68%1.93%3.51%-0.65%-0.20%0.30%-0.30%8%3.58%2%4.22%0.49%22%22%

-5.01%2.31%2.47%2.43%5.16%4.97%-2.85%2.95%2.89%-6.39%-6.39%36%2.01%4.85%4.35%6.06%5.38%3.40%5.71%

58.73%58.53%59.06%58.93%55.40%57.23%63.31%62.59%64.55%66.78%62.00%60.56%57.49%56.38%63.44%62.66%63.90%62.00%

87.91%82.90%83.62%83.33%93.45%86.51%83.42%83.40%81.99%93.25%94.00%83.05%91.66%91.44%93.50%87.74%84.77%98.03%longbuylongsell

正-73%-2.正