Alpha因子跟踪月报：fimage因子各域表现出色

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，周度换仓） 32表8：因子表现分析（沪深300，周度换仓） 36表9：因子表现分析（中证A500，周度换仓） 40表10：因子表现分析（中证500，周度换仓） 44表11：因子表现分析（中证1000，周度换仓） 48表12：因子表现分析（创业板，周度换仓） 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因子数据库广发证券发展研究中心二、指数增强表现1%1%0.5%（一）fimage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，广发证券发展研究中心 ，天软科技，通联数据，广发证券发展研究中心图4：中证500 图5：中证800、天软科技、通联数据、广发证券发展研究中心 ，天软科技，通联数据，广发证券发展研究中心图6：中证1000 图7：创业板指（二）agru_dailyquote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，广发证券发展研究中心 ，天软科技，通联数据，广发证券发展研究中心图10：中证500 图11：中证800、天软科技、通联数据、广发证券发展研究中心 ，天软科技，通联数据，广发证券发展研究中心图12：中证1000 图13：创业板指（三）DL_1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，广发证券发展研究中心 ，天软科技，通联数据，广发证券发展研究中心图16：中证500 图17：中证800、天软科技、通联数据、广发证券发展研究中心 ，天软科技，通联数据，广发证券发展研究中心图18：中证1000 图19：创业板指三、因子表现分析（月度换仓）45%94%62%%2602%57%45%94%62%%2602%57%06%58%%%879755%03%79%68%%9990%82%80%21%19%74%11%78%33%31%59%23%23%52%10%53%25%32%%%%07585124%68%2.-3.11-6.-9.-4.4.-1.-1.-2.-8.-8.2.-4.-2.-3.6.-3.-1.-2.0.0.-2.-1.-3.-4.-0.-3.-4.4.-3.-0.-1.-2.0.-0.-1.5.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深度学习因子agru_dailyquoteDL_1fimage正83%8.13.27%90.00%91.42%正41%8.13.23%85.35%96.02%正.16%4.5.14%77.94%89.86%Level-2因子知情交易vpin_voldpin_base_total_stddpin_big_am_stddpin_big_am_stabledpin_small_am_meandpin_small_am_stddpin_small_am_stabledpin_base_middle_stddpin_base_pm_std正96%4.10.25%72.26%97.47%正22%0.9.14%67.10%95.90%正85%1.7.82%70.26%88.44%负89%-1.-7.83%68.97%90.29%正90%3.4.09%68.71%85.33%正31%3.4.44%70.26%86.16%正04%3.4.51%70.26%85.96%正95%0.9.30%67.61%95.14%正06%1.8.64%69.10%88.92%Level-2因子重点时段keyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pctkeyperiod_sync_low50pct负79%-4.-5.29%85.03%84.87%正14%3.5.01%81.29%84.48%正12%3.5.04%82.32%82.53%正39%7.10.63%84.32%95.01%负07%-5.-10.33%73.61%96.52%正39%5.6.20%82.71%84.64%Level-2因子大小单bigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_bigsmall正01%-0.6.57%64.32%92.88%正24%-0.6.42%63.23%93.02%正79%4.9.27%76.77%95.01%正28%3.6.36%73.94%88.83%正88%0.5.12%75.29%86.31%正11%2.7.03%72.65%98.52%22%2.8.59%68.45%89.08%Level-2因子长短单longbuylongselllongbuy_longselllongbuy_shortsellshortbuy_longsellshortbuy_shortsellintegrated_longshort正正29%3.9.74%73.29%89.58%正79%2.2.52%65.23%82.23%正25%2.8.55%68.32%88.97%正33%3.9.70%72.97%89.49%负32%-3.-9.93%70.06%92.17%正53%3.9.56%71.61%98.25%01%1.1.93%67.48%81.76%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51%3.8.43%70.97%87.25%正67%4.9.22%76.84%87.20%正87%3.6.15%74.19%92.65%正23%2.4.79%70.52%88.45%正22%4.10.25%73.16%97.83%transaction_order_ratio_oa1负52%-4.-7.56%79.16%90.63%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withdrew_order_ratio_oa1

负

77.03%-4.26% %77.03Level-2集合竞价Level-2市价单

transaction_order_ratio_oa2transaction_order_ratio_oaselltransaction_sellorder_ratio_camarketorder_ratiomarketbuyorder_limitbuyorder_ratiomarketbuyorder_limitsellorder_ratiomarketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratio

负 负 负 负 负 负 负 负

% 71% %-9.-8.74.1375.35% 10% %-9.-8.74.1375.35-6.-7.73.23-6.-7.73.2380.00% 39% %-5.72.26% 92% %-5.72.26-6.73.55% 45% %-6.73.55-6.72.71% 31% %-6.72.7171.8773.42-6.71.8773.42-6.分钟频因子日内价格相关

real_varreal_skewreal_kurtosisreal_upvarreal_downvarratio_realupvarratio_realdownvartrendratio

负 4.69%负 -2.86%负 -4.55%负 4.24%负 4.69%负 -0.01%正 0.86%负 6.71%

%-5.% -5.-6.% -6.-9.% -9.-7.% -7.-7.% -7.% 4.30%5.79%4.%5.79%4.

%77.35%77.3572.00%72.0073.61%73.6171.16%71.1673.35%73.3566.5269.94%60.65%66.5269.9467.68ret_intraday67.68

负

%-69% %intraday_maxdrawdown

正

% 8. %ratio_volumeH1

负

%-66%

73.35%ratio_volumeH2

正

%-0.42%

52.06%ratio_volumeH3ratio_volumeH4

正 正

% 2.17% %73.9470.2664.0683% 3.32% %73.9470.2664.068372.19ratio_volumeH572.19

正

% 3.% %74.9771ratio_volumeH674.9771

正

% 3.52% %分钟频因子成交量相关

63.10ratio_volumeH763.10

正

% 4.% %ratio_volumeH8

负

% 2.75% %corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiq

负 -8.94%负 0.95%负 3.04%正 3.03%正

%-2.51%%-2.54%%-5.21%%-0.42%%

%62.0665.61%73.16%62.0665.6151.42%72.2671.8772.2671.87分钟频因子盘前相关

ret_overnightret_open2AH1ret_open2AL1ret_open2AH2

正 2.74%正 2.29%正 正 3.84%

%%24%43%

3.22% %74.195.86% %74.1960.771.54% %60.7771.614.95% %71.6190.15%92.29%93.91%91.32%90.15%92.29%93.91%91.32%90.50%88.30%88.41%86.58%87.52%94.93%82.90%85.20%93.58%93.77%86.71%82.70%79.58%79.39%92.96%88.69%81.34%81.44%81.61%82.16%82.53%83.75%86.16%82.40%81.52%81.02%81.84%95.98%75.14%86.59%87.23%85.37%85.61%88.81%88.83%80.04%-4.494141909967256691202939427501155726290915-4.-4.-4.-0.-0.-1.-1.-1.-5.3.-4.-5.-4.-3.2.-1.-3.3.-..-2.-1.-..-1.-1.0.14940634283556070049666670diverge_A1diverge_A2ret_H1

负 负 负 负 4.40%

04%77%61%77%

%64.0655.55%64.0655.5564.97%57.68%64.9778.08%81.83%80.64%81.39%79.32%93.09%81.03%83.31%79.27%80.72%81.63%80.48%79.85%89.57%81.13%83.74%94.19%78.08%81.83%80.64%81.39%79.32%93.09%81.03%83.31%79.27%80.72%81.63%80.48%79.85%89.57%81.13%83.74%94.19%84.38%82.92%91.89%82.58%81.12%81.48%80.83%99.82%99.87%99.67%99.68%99.89%99.89%99.76%99.88%99.76%99.72%99.86%99.89%99.90%99.91%99.89%99.79%78%63%57%03%55%28%51%20%68%11%19%44%87%21%63%88%59%62%00%55%26%04%01%11%87%59%22%88%29%69%30%18%83%%6989%56%48%87%13%40%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ret_close2H1负5.-3.72%-3.38%64.06% corr_VPH1负-7.-2.47%-0.82%55.23% corr_VRH1正0.1.57%1.49%62.19% 分钟频因子corr_VRleadH1正1.0.76%-0.32%52.26% 开盘后相关corr_VRlagH1负2.-0.01%-1.65%58.58% real_varH1负3.-4.89%-9.28%71.03% real_skewH1负-3.-1.19%-1.98%65.42% real_kurtosisH1正-5.-1.92%-0.81%56.52% ret_H8负-2.-1.29%-0.63%56.32% corr_VPH8负0.-0.45%-0.35%52.65% corr_VRH8负0.0.33%-0.67%54.45% 分钟频因子corr_VRleadH8负-0.-1.35%-0.96%62.90% 收盘前相关corr_VRlagH8负1.0.19%-0.39%56.58% real_varH8负1.-3.60%-3.35%63.29% real_skewH8负0.-0.30%-1.98%68.39% real_kurtosisH8负1.0.36%-3.00%60.26% real_varlarge负3.-5.50%-9.32%71.61% real_kurtosislarge负-5.-4.06%-4.61%69.42% real_skewlarge负-4.-2.95%-4.60%75.61% 分钟频因子ratio_realvarlarge负-1.-4.42%-8.51%73.55% 大成交量相关corr_VPlarge负-8.-3.09%-2.97%68.26% corr_VRlarge负-0.-0.80%-2.04%60.77% corr_VRleadlarge正3.1.61%0.19%53.61% corr_VRlaglarge负2.-1.94%-4.54%73.68% 销售净利率正16.2.14%-0.30%58.58%风格因子毛利率正6.-1.11%-1.08%54.58% 盈利ROE正17.2.14%-0.20%57.29% ROA正15.2.42%-0.42%54.58% 股东权益增长率负14.2.33%-1.27%59.16%总资产增长率负14.4.67%-0.47%53.94% 净利润增长率正9.2.85%0.71%50.97%风格因子成长每股净资产增长率EPS增长率负12.1.45%-0.88%58.19%正8.2.62%0.83%51.61%ROE增长率正5.1.28%0.69%50.77% 主营业务收入增长率正11.5.77%0.77%50.13% -0.-1.19%0.14%50.26%资产负债率负风格因子长期负债比率负2.0.51%0.15%51.16% 负9.2.67%-0.03%50.65% 杠杆每股负债比流动负债率正-4.-1.04%-0.16%50.00% 12.-5.48%-10.20%73.87%1个月成交金额负99.94%99.91%98.69%99.37%99.94%99.91%98.69%99.37%99.62%99.75%97.72%97.98%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风格因子近3个月平均成交量负1.89%-5.93%-4.65%64.26%流动换手率负-6.06%-4.18%-7.74%66.71%风格因子技术一年股价反转/动量最高点距离容量比负13.24%-2.50%-6.51%66.84%负16.15%-3.22%-6.13%65.23%负11.55%-1.00%-5.67%61.48%负8.95%-0.70%-4.17%60.39%正-10.35%1.33%4.22%63.48%负7.41%-1.57%-4.54%62.90%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19.21%-1.38%-3.15%59.68%99.84%负13.47%-0.46%-0.46%52.52%99.92正-0.29%-1.10%2.35%55.35%99.8正-0.29%-1.10%2.35%55.35%9风格因子质量存货周转率固定比净利润现金占比正0.95%-1.20%0.30%53.29%正2.87%0.48%0.54%50.32%负-2.19%-0.52%-0.34%50.4正-7.24%-5.37%-1.14%51正2.48%1.74%1.23%正1.25%1.11%-0.47%正1.90%1.45%-0.4正10.82%1.02%1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-1.92%0.34%正11.58%2.05%正-0.71%0.49正0.33%3.负4.64%正13.94%正-3.27正-1.正、天软科技、通联数据、广发证券发展研究中心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深度学习因子agru_dailyquoteDL_1fimage正14.18%2.49%10.65%76.65%89.70%正13.07%2.26%9.64%68.39%95.41%正11.22%3.66%4.16%67.74%89.42%Level-2因子知情交易vpin_voldpin_base_total_stddpin_big_am_stddpin_big_am_stabledpin_small_am_meandpin_small_am_stddpin_small_am_stabledpin_base_middle_stddpin_base_pm_std正-2.92%-6.59%5.01%58.39%96.17%正0.31%-4.94%4.71%57.55%94.12%正2.47%-4.65%5.03%59.61%84.97%负-2.32%5.01%-5.00%60.06%86.78%正-2.51%-2.41%2.65%60.13%82.66%正-0.82%-2.63%2.81%60.13%83.62%正-1.53%-2.55%2.78%60.39%82.79%正0.08%-5.28%4.65%57.42%93.40%正-2.28%-3.24%4.53%58.19%86.30%Level-2因子重点时段keyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pctkeyperiod_sync_low50pct负2.84%-3.28%-1.97%57.87%83.67%正1.06%1.31%2.41%58.00%84.69%正-6.27%-0.07%2.64%58.90%82.70%正0.97%-0.15%6.71%60.45%93.71%负1.75%1.90%-5.50%58.58%93.73%正-3.34%-0.83%0.49%52.26%83.22%Level-2因子大小单bigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_bigsmall正6.37%1.93%5.15%59.29%91.41%正1.82%0.21%4.51%56.32%91.10%正5.75%3.01%6.10%62.84%93.60%正8.71%4.89%6.17%64.13%88.20%正-2.39%0.57%2.85%56.84%85.29%正6.05%3.23%5.61%61.81%98.22%Level-2因子长短单longbuylongselllongbuy_longselllongbuy_shortsellshortbuy_longsellshortbuy_shortsellintegrated_longshort正3.71%-5.55%4.93%58.90%88.75%正-0.94%-6.24%4.84%58.90%88.89%正-6.06%-0.77%-2.14%60.77%81.51%正3.77%-5.53%4.94%58.97%88.71%正-0.96%-6.22%4.84%58.77%88.86%负-1.33%6.42%-5.17%58.71%91.58%正3.48%-6.49%4.56%58.39%97.68%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-4.90%-0.58%-1.76%60.39%81.38%正5.39%-4.15%4.82%58.65%86.82%正-0.34%-5.08%4.69%58.65%86.53%正4.54%5.36%4.77%63.03%92.60%正7.70%5.69%5.12%64.06%88.18%正5.62%-2.12%6.01%59.87%96.98%6.33%4.67%-2.88%57.81%89.72%Level-2因子集合竞价transaction_order_ratio_oa1withdrew_order_ratio_oa1transaction_order_ratio_oa2负负-10.20%0.35%-1.97%56.71%89.18%负6.74%5.36%-3.20%58.13%91.86%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transaction_order_ratio_oaselltransaction_sellorder_ratio_ca

负 4.13% 6.25%负 -1.83%

-3.99% %63.7458.2655.4263.7458.2655.42marketorder_ratio

负

4.16%

1.29% %Level-2市价单

marketbuyorder_limitbuyorder_ratiomarketbuyorder_limitsellorder_ratiomarketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratioreal_var

负 10.00%负 11.81%9%负 5.52% 4.39%3%7%负 3%7%负 6.05% 5.7

1.18% %54.0054.521.05% %54.0054.5250.260.77% %50.2660.0050.9760.0050.9761.23-3.90% %61.23real_skew

负 -7.97%2.45%-2.78% %分钟频因子日内价格相关

real_kurtosisreal_upvarreal_downvarratio_realupvarratio_realdownvartrendratioret_intraday

负-20.38%-2.16%2%负 2.59% 6.02%8%负 6.25% 4.78%负-13.73%1.70%正 -5.18%9%负 8.63% 4.09%5%负 5.84% 3.65%

-5.88% %60.0663.87-4.69% %60.0663.8758.71-3.86% %58.7162.65-5.04% %62.6550.39-0.45% %50.3950.970.59% %50.97-48060.9057.42-48060.9057.4250.19intraday_maxdrawdown

正 1.55%

5.% %ratio_volumeH1

负 -3.51%

50.32.15% %50.32ratio_volumeH2

正 1.02% 2.42%-0.34% %分钟频因子成交量相关

ratio_volumeH3ratio_volumeH4ratio_volumeH5ratio_volumeH6ratio_volumeH7ratio_volumeH8

正 3.90% 0.88%正 10.52%0.74%正 3.06% 0.33%正 -4.37%-2.09%正 4.77%负 -4.26%-7.04%

1.68% %58.9757.482.03% %58.9757.4857.812.63% %57.8158.002.12% %58.0059.162.58% %59.1655.8153.481.10% %55.8153.4853.61corr_VP53.61

负-12.66%0.97%-1.70% %51.35corr_VR51.35

负 3.12%

0.74% %corr_VRlag

负 4.50% 5.33%-0.87% %corr_VRleadAmihud_illiq

正 1050正1050

% 1.25%.21%

0.10% %56.5254.7750.4556.5254.7750.45ret_overnightret_open2AH1

正 13.61%正 13.43%

1.29% %50.0060.974.51% %50.0060.97ret_open2AL1

正 -5.29%2.20%-0.24% %分钟频因子盘前相关

52.5859.0356.7152.5859.0356.7151.6152.7152.26

正

-2.92%

3.97%57.48%ret_open2AL2

负

5.86%

-0.79% %diverge_A1diverge_A2

负-12.18%1.65%-4.11% %负 0.78% 6.14%-3.45% %93.20%89.18%93.20%89.18%91.70%90.17%90.68%89.77%90.11%95.90%81.78%84.84%94.48%95.11%84.85%81.78%79.41%79.26%92.73%85.56%80.81%80.87%80.73%81.04%81.51%82.96%85.25%82.11%80.61%80.35%80.61%96.95%81.93%84.08%84.91%83.89%85.38%87.63%88.43%79.10%77.80%80.78%分钟频因子开盘后相关

ret_H1ret_close2H1corr_VPH1

负 9.38% 6.13%负 -1.41%负 -4.89%

0.73% %-0.86% %-0.89% %因子类型 因子名称 因

RankIC

每期分档corr_VRH1

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正 8.90% 5.42% 3.30%61.35%79.69%80.69%79.69%80.69%78.81%94.24%80.65%82.31%80.48%80.72%82.02%80.38%80.28%90.55%80.82%81.87%95.12%83.59%81.79%90.75%81.74%80.03%80.56%80.15%99.74%99.78%99.63%99.62%99.82%99.84%99.79%99.81%99.79%99.77%99.84%99.79%99.84%99.84%99.82%99.78%99.92%99.89%分钟频因子收盘前相关分钟频因子盈利成长杠杆流动

corr_VRleadH1corr_VRlagH1real_varH1real_skewH1real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8real_varH8real_skewH8real_kurtosisH8real_varlargereal_kurtosislargereal_skewlargeratio_realvarlargecorr_VPlargecorr_VRlargecorr_VRleadlargecorr_VRlaglarge销售净利率毛利率ROEROA股东权益增长率EPS增长率ROE增长率资产负债率每股负债比流动负债率1个月成交金额近3换手率

正 1.21%%负 7.38% 4.26%负 -0.97%5.91%负 -1.37%0.92%正 -8.49%负 -1.92%0.12%负 -1.58%0.95%负 1.98% 3.75%负 -2.18%负 1.18% 0.37%负 14.51%2.00%负 -3.81%2.16%负 -4.26%1.29%67%负 67%负-19.50%-3.负 -9.66%0.96%-13-17负 .71%-13-17负 .17%0.65%负 1.96% 4.77%正 5.18% 0.74%负 4.35% 5.16%正 24.57%0.75%%正 14.16%-3.85%%%%正 12.20%%%正 2.59% 4.89%负 18.14%6.80%%负 25.92%9.31%%正 8.78% 9.04%负 10.52%4.95%正 7.24% 8.32%%正 9.30% 6.15正 13.69%9.62%负 12.92%-0.96%负 1.90% 3.11%0%7负 14.40%0%7正 -3.13%-3.负 10.55%6.7负 5.54% 3.49%负 -9.12%8.45%

-0.56%0.29%-6.08%-0.07%-1.20%-1.46%-0.05%0.04%-0.75%0.40%-0.21%-1.23%-3.40%-5.46%-5.-4.70%-4.-2.31%-6.46%-1.81%0.62%0.20%-0.86%1.82%-0.31%0.27%-0.80%-1.37%-1.18%0.19%-0.13%0.80%1.01%-1.09%1.84%1.12%1.11%-1.22%-2.53%2.35%-5.62%

%51.0351.5552.77%59.55%51.0351.5552.77%55.2356.7155.2356.71%52.00%52.0050.52%50.5254.32%54.3250.90%50.9050.71%50.7158.26%58.2660.4560.1960.4560.19%62.77%62.7760.32%60.3263.48%63.4856.97%56.9752.58%52.5851.03%51.0356.0652.4556.0652.45%51.68%51.6851.35%51.3550.0051.2350.0051.23%51.16%51.1650.26%50.2652.90%52.9051.35%51.3552.13%52.1353.6154.9053.6154.90%50.90%50.9052.39%52.3954.5254.3254.5254.32%53.48%58.45%53.4853.2952.0652.4555.4858.7758.7755.4853.2952.0652.4555.4858.7758.7755.4855.1650.5850.3950.1951.16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一个月股价反转负20.43%5.50%-2.54% 三个月股价反转负22.48%1.82%-2.01% 风格因子六个月股价反转负17.27%1.82%0.84% 技术一年股价反转/动量负14.64%6.60%4.02%59.35% 最高点距离正-16.89%-5.21%1.12%50.65% 容量比负12.52%5.15%-2.64%53.29% 流通市值负27.10%0.59%3.38%60.58% 风格因子总资产负17.26%-2.22%4.03% 规模流通股本/总股本正0.14%0.62%0.86% 流通市值/总市值正0.14%0.62%0.86% 存货周转率正1.94%-0.99%1.75% 总资产周转率正-11.75%4.63%-1.54% 财务费用比例负4.66%0.98%-0.41% 风格因子营业费用比例正-11.74%-13.20%-3.59%56.58% 质量固定比正-14.96%2.98%-0.28% 速动比率正4.65%0.55%-0.57% 流动比率正4.02%1.86%-1.10% 净利润现金占比正19.57%2.19%3.22%61.74% CFP(行业相对)正-2.91%-1.21%-0.73% %EP(行业相对)正-3.53%5.10%1.65% SP(行业相对)正-6.95%-0.16%1.18% BP(行业相对)正-5.12%0.83%2.86% 风格因子CFP负17.50%7.29%1.82% %估值EP正17.41%1.00%4.32% %SP正-11.87%0.27%2.11% BP正7.54%-2.67%4.12%57.23% DP正4.96%0.16%0.15%50.39% 98.73%99.46%99.60%99.74%97.77%98.43%99.78%99.89%98.73%99.46%99.60%99.74%97.77%98.43%99.78%99.89%99.34%99.34%99.50%99.55%99.80%99.78%99.83%99.80%99.80%99.63%95.23%99.71%99.79%99.78%99.68%99.80%99.79%99.80%99.88%53.5553.1053.2356.0656.9054.8451.61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深度学习因子agru_dailyquoteDL_1fimage正7.37%3.58%8.88%-10.13%-9.76%-4.77%4.48%-3.60%-2.92%-3.50%-9.77%-9.08%8.24%-7.23%-3.51%-8.77%10.91%-0.43%-2.93%-5.65%-2.34%-0.79%-4.96%-4.48%-4.04%-6.09%-4.39%-4.00%-6.09%5.54%-5.39%-3.97%-2.18%-3.99%-2.68%-1.48%-4.66%11.10%-4.98%10.65%2.66%1.67%2.69%-5.69%-6.85%-5.89%6.33%-2.69%-2.84%-2.88%-6.98%-4.37%-3.09%1.25%1.06%0.82%0.35%-0.25%-0.22%-1.02%3.27%3.88%0.26%2.55%-4.90%-4.50%0.95%-4.89%-4.50%5.14%-4.55%0.78%-2.93%-2.66%5.15%4.63%-1.14%4.13%0.86%4.72%9.95%9.16%3.62%5.23%4.34%4.44%-4.34%2.28%2.35%2.37%4.31%4.31%-3.21%2.83%2.59%7.11%-6.22%0.69%4.71%3.95%5.92%5.75%3.10%5.41%5.11%4.97%-1.19%5.13%4.98%-5.44%4.84%-0.96%5.11%4.68%4.41%4.78%6.33%-2.82%-2.16%-3.49%76.90%71.16%66.45%57.55%56.13%58.97%58.71%59.42%59.48%60.00%55.94%56.58%62.90%61.87%63.42%62.90%61.10%55.74%60.77%58.77%67.74%66.00%62.32%65.10%58.19%59.55%57.16%58.32%59.55%59.29%59.87%56.77%59.23%61.03%66.06%66.52%60.65%56.71%59.81%57.48%89.94%95.46%89.47%96.64%94.63%86.01%87.77%83.23%84.10%83.54%93.85%86.85%83.83%84.24%82.42%93.74%94.13%83.25%91.73%91.49%93.79%88.50%85.34%98.33%89.03%89.25%81.22%88.99%89.22%92.00%97.79%81.13%86.99%86.71%92.54%88.49%97.14%89.79%88.85%91.63%正正Level-2因子知情交易vpin_voldpin_base_total_stddpin_big_am_stddpin_big_am_stabledpin_small_am_meandpin_small_am_stddpin_small_am_stabledpin_base_middle_stddpin_base_pm_std正正正负正正正正正Level-2因子重点时段keyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pctkeyperiod_sync_low50pct负正正正负正Level-2因子大小单bigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_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负负负Level-2因子withdrew_order_ratio_oa1集合竞价transaction_order_ratio_oa2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Level-2因子市价单分钟频因子分钟频因子成交量相关

transaction_order_ratio_oaselltransaction_sellorder_ratio_camarketorder_ratiomarketbuyorder_limitbuyorder_ratiomarketbuyorder_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_open2AL1

负 9.91% 6.31%负 4.94% 1.08%负 2.63% 2.49%负 1.50% 1.67%负 2.31% 1.77%负 0.79% 2.07%负 2.20% 2.34%负 4.83% 4.05%负 -3.32%1.66%负-13.80%-1.49%负 3.25% 4.17%负 4.60% 3.48%负 -5.65%1.47%正 -4.40%负 9.19% 1.34%负 5.77% 0.73%正 -0.51%负 -1.54%2.51%正 3.54% 2.77%正 6.41% 1.76%正 6.65% 0.65%正 2.54% 0.60%正 -5.26%正 1.23%负 -8.38%负-15.80%0.96%负 1.78% 3.31%负 3.92% 3.76%正 7.78% 0.89%正-15.61%-3.26%正 9.05% 1.57%正 8.97% 0.09%正 -3.80%2.84%

83% 63.2358.3287% 63.2358.3251.1027% 51.1052.1935% 52.1952.4550% 52.4551.5534% 51.5559.2352.0051% 59.2352.0005% 58.7748% 58.7764.3219% 64.3260.3969% 60.3959.8799% 59.8761.0350% 61.0351.1003% 51.1050.9030% 50.9051.2983% 51.2959.6157.6802% 59.6157.680243% 52.2691% 52.2657.6146% 57.6155.4868% 55.4861.1652% 61.1657.6882% 57.6858.2643% 58.2653.1009% 53.1051.2960% 51.2952.3282% 52.3252.5890% 52.5850.6512% 50.6558.5257.4859% 58.5257.4855% 62.3971% 62.3951.3515% 51.35分钟频因子盘前相关

ret_open2AH2ret_open2AL2

正 4.27%-32%.8负 2%.8

08%37%

58.77%52.0060.0657.4252.0060.0657.4250.7154.2650.8493.06%88.73%91.42%93.06%88.73%91.42%89.58%89.83%88.47%89.09%95.90%81.74%84.72%94.52%95.13%85.04%81.68%79.00%79.09%92.75%86.45%80.91%80.89%81.07%81.08%81.55%83.29%85.44%81.73%80.69%80.45%80.82%96.84%81.65%84.50%85.20%84.02%85.44%87.69%88.54%79.43%77.56%80.88%-3.-3.-1.-1.-1.-1.-1.-4.-2.-5.-4.-3.-4.-0.-0.-0.5.-3.-.1.2.1.-0.0.-.3.0.3.-0.-3.-2.0.-1.-0.分钟频因子开盘后相关

diverge_A1diverge_A2ret_H1ret_close2H1corr_VPH1

负 -9.00%2.51%负 1.57% 6.52%负 8.03% 3.78%负 4.64%负 -9.25%0.12%

04% %67% %08% %18% %12% %因子类型 因子名称 因

RankIC

每期分档corr_VRH1

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正 4.87% 4.07% 3.06%62.06%corr_VRleadH1corr_VRlagH1

正 5.41% 负 5.52%

0.12% %51.1650.840.42% %51.1650.84分钟频因子收盘前相关

real_varH1real_skewH1real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8real_varH8real_skewH8

负 1.29% 4.78%负 0.87% 0.96%正 -9.11%-3.03%负 -3.07%-0.38%负 -1.02%0.97%负 -1.85%2.99%负 -1.87%-1.31%负 0.39% 1.00%负 6.49% 0.63%负 -2.28%1.96%

-5.67%0.06%-0.74%-1.33%0.22%0.06%-1.13%0.38%-0.84%-1.26%

60.19%50.1954.9050.1954.9055.8150.9050.00%%%52.5253.4852.5253.4858.9758.8460.52%%%real_kurtosisH8real_varlargereal_kurtosislarge

负 1.76% 1.63%负 2.16% 4.43%负-14.05%-2.47%

-97%-5.2.-5.2.-3.84%-3.

%59.2361.8159.2361.8150.1954.1350.0650.5850.1352.5850.1351.1650.0651.7454.1953.6154.4556.7151.2353.3557.5552.2658.3257.4250.65分钟频因子大成交量相关

real_skewlargeratio_realvarlargecorr_VPlarge

负 -5.22%0.74%-1.83% %负-11.16%0.57%-6.05% %负-16.11%0.77%-0.56% %corr_VRlargecorr_VRleadlarge

负 -0.27%正 6.84%

1.04% %0.34% %corr_VRlaglarge

负 3.45% 3.81%-0.59% %风格因子销售净利率风格因子销售净利率毛利率正正盈利ROE正ROA正股东权益增长率负总资产增长率负净利润增长率正风格因子每股净资产增长率负成长EPS增长率正ROE增长率正主营业务收入增长率正资产负债率负风格因子长期负债比率负杠杆每股负债比负流动负债率正1个月成交金额负风格因子近3个月平均成交量负流动换手率负

1.42%

0.67% %4.24%-4.49%-1.64% %18.45%15.87%

3.36%4.27%

0.44% %0.00% %21.03%20.45%

6.41%-0.52% %8.26%-0.33% %7.73% 6.12%15.45%6.16%6.79% 6.09%7.48% 4.09%12.00%9.79%-2.35%-1.62%-1.83%2.25%4.73%-0.28%

1.24% %0.46% %1.55% %1.63% %1.48% %1.23% %1.61% %0.77% %-0.43%-2.84%-1.46% %14.94%4.28%-4.06% %0.69%-0.16%0.10% %-2.86%8.67%

-5.04%

58.32%79.97%80.75%79.97%80.75%79.02%94.26%80.55%82.28%79.75%80.64%82.10%80.24%79.84%90.60%80.81%81.99%95.20%83.51%81.83%91.04%81.70%80.21%80.72%80.31%99.76%99.82%99.62%99.63%99.85%99.84%99.75%99.85%99.74%99.72%99.84%99.83%99.85%99.83%99.83%99.78%99.86%99.89%53.4853.7452.4553.4853.7452.45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一个月股价反转负17.87%3.14%-2.94%54.26% 三个月股价反转负22.01%2.56%-3.07%54.65% 风格因子六个月股价反转负14.03%3.84%-0.80%51.35% 技术一年股价反转/动量负12.17%5.85%1.91%54.45% 最高点距离正-13.39%-2.66%1.35%51.48% 容量比负11.89%2.98%-2.59%55.74% 流通市值负21.71%-1.38%0.22%50.26% 风格因子总资产负6.81%-3.02%2.95%56.06% 规模流通股本/总股本正0.38%-0.37%1.00%55.35% 流通市值/总市值正0.38%-0.37%1.00%55.35% 存货周转率正-0.45%-1.76%1.38%52.58% 总资产周转率正5.24%4.47%0.40%51.87% 财务费用比例负-3.54%1.41%0.41%51.29% 风格因子营业费用比例正-9.36%-11.04%-3.21%58.90% 质量固定比正-0.78%5.10%1.55% 速动比率正3.58%-0.84%-1.73% 流动比率正4.52%0.90%-1.75% 净利润现金占比正11.06%1.42%2.56%61.74% CFP(行业相对)正-3.82%0.20%-0.29%52.71%EP(行业相对)正5.70%2.42%2.10%55.87% SP(行业相对)正-6.37%-1.72%2.22%59.61% BP(行业相对)正-7.00%1.57%3.83%60.84% 风格因子CFP负11.03%5.27%1.65%62.26%估值EP正11.58%0.64%3.29%55.61%SP正-8.09%-0.68%3.06%53.16% BP正-4.78%-1.90%4.44%57.74% DP正8.31%-0.88%0.17%53.81% 98.74%99.44%99.61%99.72%97.78%98.39%99.73%98.74%99.44%99.61%99.72%97.78%98.39%99.73%99.90%99.33%99.33%99.54%99.55%99.79%99.80%99.85%99.82%99.82%99.66%94.94%99.64%99.75%99.74%99.73%99.77%99.74%99.74%99.89%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深度学习因子agru_dailyquoteDL_1fimage正2.02%0.26%8.63%-7.26%-8.13%-3.22%4.03%-2.74%-2.25%-2.60%-8.35%-7.52%5.34%-5.78%-0.32%-2.49%4.36%-0.38%-0.82%-2.16%3.29%3.09%-0.23%0.98%-1.37%-3.81%-3.45%-1.29%-3.73%2.98%-0.77%-3.33%0.51%-2.05%2.19%2.67%1.45%7.50%-1.08%8.83%2.88%1.74%3.69%-5.12%-6.00%-4.73%4.98%-1.34%-1.34%-1.37%-5.86%-4.08%-2.38%0.89%1.12%1.49%1.51%-0.75%-0.98%-1.73%2.16%2.80%-0.35%1.86%-3.94%-3.42%1.15%-3.95%-3.44%4.18%-4.19%0.96%-2.06%-1.55%3.31%3.17%-1.03%2.66%-0.26%3.58%9.07%8.39%3.40%5.69%4.89%4.51%-4.88%2.24%2.40%2.36%4.97%4.79%-2.74%2.83%2.84%7.25%-6.21%1.98%4.77%4.26%6.02%5.34%3.34%5.64%6.15%6.28%0.11%6.15%6.28%-6.65%6.38%0.30%6.21%5.99%3.60%3.91%7.36%-3.95%-2.48%-4.92%76.97%72.32%65.35%58.71%54.97%58.26%58.32%58.13%58.65%58.52%54.97%56.71%62.58%62.06%64.26%66.32%61.61%60.32%57.48%56.32%63.48%62.84%63.68%61.94%59.16%59.87%52.77%59.23%60.06%59.16%60.90%53.10%61.03%62.65%63.48%62.39%61.03%62.19%62.45%64.00%89.73%95.36%89.13%96.48%94.28%86.02%87.97%82.93%83.67%83.37%93.50%86.60%83.48%83.49%82.01%93.38%94.09%83.10%91.74%91.53%93.57%87.83%84.85%98.07%88.82%89.05%81.07%88.78%89.02%91.68%97.75%80.93%86.60%86.23%91.93%87.70%96.94%89.63%88.78%91.76%正正Level-2因子知情交易vpin_voldpin_base_total_stddpin_big_am_stddpin_big_am_stabledpin_small_am_meandpin_small_am_stddpin_small_am_stabledpin_base_middle_stddpin_base_pm_std正正正负正正正正正Level-2因子重点时段keyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pctkeyperiod_sync_low50pct负正正正负正Level-2因子大小单bigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_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负负负Level-2因子withdrew_order_ratio_oa1集合竞价transaction_order_ratio_oa293.23%89.10%91.52%88.67%88.72%88.38%89.04%95.62%82.06%84.67%94.21%94.88%93.23%89.10%91.52%88.67%88.72%88.38%89.04%95.62%82.06%84.67%94.21%94.88%85.25%81.90%79.02%78.97%92.54%86.84%80.84%80.88%81.17%81.32%81.51%83.19%85.25%81.59%80.63%80.64%80.67%96.46%81.89%84.96%85.60%84.28%85.43%87.96%88.67%79.43%77.52%80.71%52.9759.7458.3950.8455.4850.84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7.81% 4.69%-5.20%61.81% 3.62% 0.72%-3.69%66.39% 3.07% 3.35%-0.97%50.97%1.56% 1.61%-1.39%51.16%3.07% 1.64%-1.59%52.26%1.79% 4.31%-0.80%52.39%3.00% 4.59%-0.91%51.94% 6.22% 1.09%-5.11%64.45% -2.18%1.74%-3.46%62.32% -9.90%-1.82%-6.33%62.39% 5.05% 1.16%-5.78%66.26% 5.87% 0.62%-4.94%64.39% -3.47%1.49%-5.57%63.68% -3.20%-4.34%0.90%53.81% 9.87% 0.62%-1.20%53.03% 7.12%-0.61%-1.78%53.68% -2.64%-3.99%6.59%59.81% 0.84%-0.01%-3.82%64.39% 2.92% 2.50%-0.95%52.97% 4.36% 1.77% 1.52%57.03% 1.15% 1.44% 2.14%60.26% 0.20% 1.30% 2.53%62.97% -4.65%-0.63%1.70%60.58%-2.14%0.08% 3.09%63.03%-7.61%-3.21%2.12%57.74%-11.45%0.29%-1.19%55.55% 2.57% 2.54%-0.60%52.13% 4.13% 2.67%-2.07%56.39% 5.62% 1.63% 0.06%51.23% -6.56%-4.64%5.05%59.35% 3.69% 1.99% 1.97%60.32% 2.44% 0.77% 4.16%65.87% 1.53% 2.88% 0.53%54.13% 1.16%-1.55%3.86%61.16%2.41% 3.96%-1.30% %-1.28%1.54%-3.16% % 1.40% 3.58%-3.79% % 7.16% 3.20%-0.82% % 6.47%-2.73%-1.46% %-9.52%-0.74%0.11% %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_intradayint