Alpha因子跟踪月报：StableAlpha因子年内胜率超95

图表索引图1：广发金工Alpha因子数据库 5图2：沪深300 6图3：中证A500 6图4：中证500 6图5：中证800 6图6：中证1000 6图7：创业板指 6图8：沪深300 7图9：中证A500 7图10：中证500 7图11：中证800 7图12：中证1000 7图13：创业板指 7图14：沪深300 8图15：中证A500 8图16：中证500 8图17：中证800 8图18：中证1000 8图19：创业板指 8图20：沪深300 9图21：中证A500 9图22：中证500 9图23：中证800 9图24：中证1000 9图25：创业板指 9图26：沪深300 10图27：中证A500 10图28：中证500 10图29：中证800 10图30：中证1000 10图31：创业板指 10表1：因子表现分析（全市场，月度换仓） 11表2：因子表现分析（沪深300，月度换仓） 15表3：因子表现分析（中证A500，月度换仓） 19表4：因子表现分析（中证500，月度换仓） 23表5：因子表现分析（中证1000，月度换仓） 27表6：因子表现分析（创业板，月度换仓） 31表7：因子表现分析（全市场，周度换仓） 35表8：因子表现分析（沪深300，周度换仓） 39表9：因子表现分析（中证A500，周度换仓） 43表10：因子表现分析（中证500，周度换仓） 47表11：因子表现分析（中证1000，周度换仓） 51表12：因子表现分析（创业板，周度换仓） 55一、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。100TBWind图1：广发金工Alpha因子数据库数据来源：广发证券发展研究中心二、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%，BarraCNE5风格因子偏离0.2倍标准差，月末换仓、双边千三计费的情况下，部分绩优因子在各主要板块的指数增强表现如下：（一）StableAlpha_fimage_DL1复合因子在各板块的指数增强表现图2：沪深300 图3：中证A500数据来源：Wind，天软科技，通联数据，广发证券发展研究中心 数据来源：Wind，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数据来源：Wind、天软科技、通联数据、广发证券发展研究中心 数据来源：Wind，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）StableAlpha因子在各板块的指数增强表现图8：沪深300 图9：中证A500数据来源：Wind，天软科技，通联数据，广发证券发展研究中心 数据来源：Wind，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数据来源：Wind、天软科技、通联数据、广发证券发展研究中心 数据来源：Wind，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）fimage因子在各板块的指数增强表现图14：沪深300 图15：中证A500数据来源：Wind，天软科技，通联数据，广发证券发展研究中心 数据来源：Wind，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数据来源：Wind、天软科技、通联数据、广发证券发展研究中心 数据来源：Wind，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（四）agru_dailyquote因子在各板块的指数增强表现图20：沪深300 图21：中证A500数据来源：Wind，天软科技，通联数据，广发证券发展研究中心 数据来源：Wind，天软科技，通联数据，广发证券发展研究中心图22：中证500 图23：中证800数据来源：Wind、天软科技、通联数据、广发证券发展研究中心 数据来源：Wind，天软科技，通联数据，广发证券发展研究中心图24：中证1000 图25：创业板指（五）DL_1因子在各板块的指数增强表现图26：沪深300 图27：中证A500数据来源：Wind，天软科技，通联数据，广发证券发展研究中心 数据来源：Wind，天软科技，通联数据，广发证券发展研究中心图28：中证500 图29：中证800数据来源：Wind、天软科技、通联数据、广发证券发展研究中心 数据来源：Wind，天软科技，通联数据，广发证券发展研究中心图30：中证1000 图31：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Stable_Alpha 正

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8.84%11.03%12.19%93.01%92.21%深度学习因子

agru_dailyquoteDL_1fimage

正 29.96%49%正 28.96%49%正

9.52%46%9.52%46%633.63

13.45%13.39%5.04%

90.08%85.25%77.43%

91.51%96.00%89.98%Level-2因子

vpin_voldpin_base_total_stddpin_big_am_stddpin_big_am_stable

正 26.71%78%正 30.71%78%40%正 27.40%负-28.66%

5.08%1.50% 9.34%3.13% 8.02%-2.72%-8.04%

72.16%67.07%70.18%68.91%

97.49%95.93%88.53%90.40%知情交易

dpin_small_am_meandpin_small_am_stddpin_small_am_stable

正 正 正

%9538%953800%00

% 9973% 997317% 17

69.10%70.63%70.63%

85.37%86.18%86.00%dpin_base_middle_stddpin_base_pm_stdkeyperiod_ret_zero

正 31.23%30%正 29.23%30%负

2.05% 9.51%2.29% 8.85%03-4.89%-5.29%03

67.58%69.04%84.87%

95.17%89.04%84.92%keyperiod_ret_low5pct

正 10.22%

%

81.12%

84.54%Level-2因子

keyperiod_price_low5pct

正

-6.56%43-6.56%43

54% 54

82.33%

82.56%1.重点时段1.

keyperiod_amount_top30pct

正 21.23%

10.73%

84.17%

95.01%keyperiod_amount_low50pct

负-2

23%

29%

-10.42%

73.49%

96.56%keyperiod_sync_low50pct

正

5.61%

6.25%

82.96%

84.65%Level-2因子

bigbuybigsellbigbuy_bigsell

正 11.66%0.08% 正 16.56%0.43% 08正 11.09%4.64% 08

64.27%63.19%76.61%

92.92%93.09%95.02%大小单

bigbuy_bigsell_H1

正 8.36%

%

73.68%

88.85%bigbuy_bigsell_H8integrated_bigsmall

正 3.62% 0.45% 9797正 7.26% 2.02% 9797

74.95%72.41%

86.39%98.54%longbuy

正 16.

%2.

%

68.40%

89.19%Level-2长短单

longselllongbuy_longselllongbuy_shortsell

正 21.85%4.22% 正 -6.03%1.51% 263.1706正 17.%263.1706

73.24%64.78%68.28%

89.70%82.30%89.08%64%-10.64%-10.

正 21.99%4.%

72.85%

89.61%shortbuy_shortsell

负-2

31%

-83%

02%

69.99%

92.30%1.integrated_longshort1.

正

4.%

71.52%

98.26%48bigbuy_longbuy_bigsell_longsell48

正 -5.98%0.70%

67.01%

81.82%4136bigbuy_longbuy_bigsell_shortsell4136

正 10.52%

%

70.88%

87.34%Level-2因子

bigbuy_shortbuy_bigsell_longsell

正

%4.

%

76.80%

87.30%97.89%大小长短单97.89%

bigbuy_shortbuy_bigsell_shortsell

正 6.64%

%

73.94%

92.69%28bigbuy_shortbuy_bigsell_shortsell_H1integrated_bigsmall_longshort28

正 6.75% 2.38% 4.78%正 16.54%4.56%10.28%

70.31%73.05%

88.47%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Level-2因子集合竞价Level-2因子市价单分钟频因子

transaction_order_ratio_oa1withdrew_order_ratio_oa1transaction_order_ratio_oa2transaction_order_ratio_oaselltransaction_sellorder_ratio_camarketorder_ratiomarketbuyorder_limitbuyorder_ratiomarketbuyorder_limitsellorder_ratiomarketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratioreal_varreal_skewreal_kurtosisreal_upvarreal_downvarratio_realupvar

负负 -9.29%负负负负 0.01%负 -0.14%负 -0.90%负 -0.19%负 -0.54%负负负负负25负25

47%-4.-5.51%-4.-5.-5.41%-5.-5.72%-5.-5.43%-5.-0.41%-0.26%-0.75%-0.93%-1.10%-7.14%-4.79%-4.-5.52%-5.-7.53%-7.-6.52%-6.-4.80%-4.

-7.79%-4.33%-8.92%-8.-9.36%-9.-7.76%-6.29%-6.-5.82%-5.-6.36%-6.-6.21%-6.-6.63%-6.-8.64%-6.08%-6.-6.62%-6.-9.46%-9.-7.94%-7.-8.20%-8.

%79.3477.3775.4079.3477.3775.4074.1990.70%90.16%92.35%93.98%91.33%90.52%88.34%88.44%86.59%87.52%94.99%82.93%85.20%93.63%93.82%86.73%82.74%79.59%79.48%93.06%88.84%81.43%81.47%81.67%82.21%82.59%83.83%86.28%82.36%81.50%80.99%81.82%96.02%75.23%86.62%87.38%85.39%85.74%88.94%88.91%%72.85%80.04%72.85%71.84%71.8473.11%73.1172.28%72.2872.1672.9872.1672.98%77.62%77.6272.35%72.3573.87%73.8771.46%71.4670.2573.36%70.2573.3660.97ratio_realdownvar60.97

正 16.

3.26%

4.46% %trendratio

负-14.96%

-2.28%

-3.48% %ret_intradayintraday_maxdrawdownratio_volumeH1

负-15.44%95%正 39.95%负-16.30%

-00%-5.594.5.-5.594.91%

-86%5.13%5.13%4.-79%

%67.8366.62%73.68%67.8366.62ratio_volumeH2ratio_volumeH3ratio_volumeH4

正 正 正

1.39%2.96%4.10%

-0.30%2.17%833.39%83

51.62%64.21%64.2173.8170.44%73.8170.4472.47ratio_volumeH572.47

正

4.36%

3.% %75.3385ratio_volumeH675.3385

正

4.20%

3.62% %分钟频因子成交量相关

ratio_volumeH7

正

5.30%

4.% %分钟频因子盘前相关

ratio_volumeH8corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiqret_overnightret_open2AH1ret_open2AL1ret_open2AH2ret_open2AL2diverge_A1diverge_A2

负 8.30%负 -6.71%负负正 -3.34%正 20.04%正 -2.02%正 16.57%40%正 -5.60%40%正 28.负负负

0.61%-3.05%-2.22%-3.04%1.13%4.77%3.07%4.61%0.67%4.51%-1.87%-2.82%-4.08%

2.81%-2.54%-2.73%-5.37%-0.47%10.29%3.16%5.99%1.45%5.24%-2.01%-3.71%-5.12%

%65.6163.00%65.6163.0062.4951.6862.4951.6871.7771.9674.5160.14%%%%%71.96%56.01%64.40%64.4065.29%65.29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分钟频因子分钟频因子

ret_H1ret_close2H1corr_VPH1corr_VRH1corr_VRleadH1corr_VRlagH1real_varH1real_skewH1real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8real_varH8real_skewH8real_kurtosisH8real_varlarge

负-11.02%-0.26%-2.48%负 -5.85%-3.48%-3.44%负 2.49%-2.28%-0.77%正-12.87%0.17% 1.28%正 0.66% 0.81%负-10.22%-0.81%-1.77%负-41.82%-7.15%-9.66%负-13.74%-2.36%-2.14%正 -6.44%-2.13%-0.89%负-10.38%-2.14%-0.78%负 -8.76%-1.30%-0.48%负 -4.40%-0.07%-0.71%负 0.86%-1.04%-0.93%负 -4.31%-0.12%-0.45%负-13.74%-4.08%-3.48%负-10.32%-0.92%-2.07%负-15.06%-0.36%-3.14%负-41.39%-7.65%-9.70%

%64.2757.8580.06%64.2757.8580.06%78.10%81.81%80.63%81.39%79.33%93.13%81.00%83.34%79.40%80.81%81.64%80.48%79.88%89.59%81.14%83.75%94.25%84.38%82.89%91.94%82.56%81.09%81.48%80.81%99.83%99.88%99.68%99.69%99.89%99.89%99.78%99.89%99.77%99.74%99.87%99.90%99.91%99.91%99.90%61.41%52.45%58.93%71.33%65.92%57.15%65.9256.90%53.34%54.93%54.9362.49%62.4957.15%57.1563.76%63.7668.47%68.4771.9060.3371.9060.33%分钟频因子大成交量相关

real_kurtosislargereal_skewlargeratio_realvarlargecorr_VPlarge

负-16.134.4.负-17.964.4.3.-5.负3.-5.负 -7.88%

74%-4.75% %75.9169.8025%-4.78% %75.9169.8073.7492%-8.75% %73.7461.1668.2856%-3.00% %61.1668.2853.53corr_VRlarge53.53

负-14.83%-1.98%-2.21% %corr_VRleadlarge

正

1.40% 0.18% %corr_VRlaglarge

负-14.67%-2.86%-4.67%

73.94%风格因子

毛利率

正 正

3.71%0.34%

57.72%53.78%盈利 ROEROA股东权益增长率

正 正 9.32%负 4.45%

3.%3207894.%3207893.%

56.45%53.85%58.93%风格因子成长

EPS增长率ROE增长率主营业务收入增长率

负 正 0.62%负 6.41%正 1.01%正 2.32%正

4.68%2.55% 0.73%2.63%2.35% 0.85%1.39% 0.72%4.96% 0.70%

53.97%50.92%57.47%51.56%50.41%50.03%资产负债率

负 0.44%-1.25%0.12%

50.29%风格因子杠杆

每股负债比

负 负

1.03% 2.99%

51.05%51.24%流动负债率

正 -5.30%-1.78%-0.23%

50.54%63%62%-10.29%73.74%5%42%-4.62%63%62%-10.29%73.74%5%42%-4.62%1%74%-7.16%-8.13%1%-15.54%-96%-6.58%2%-26.59%-86%-6.34%0%-31.31%-2.13%-5.94%4%技术一年股价反转/最高点距离容量比负正负76%-2.78%-51%6%20.27%2.35%4.%4%-24.02%-3.24%-76%6%3.50% 0.16%-3.03%4%21.83%1.96%-0.17%51.88%4.33%-0.39%2.37%55.50%4.33%-0.39%2.37%55.50%4.74%-0.45%0.33%53.27%0.33% 1.29% 0.54%50.16%-6.15%-1.05%-0.43%50.29%8.96%-4.23%-1.01%50.60%0.65% 2.25% 1.21%56.77%-1.19%0.81%-0.45%52.26%-1.80%1.12%-0.41%52.26%9.68% 2.32% 1.61%57.28%0.43% 0.20% 0.01%52.64%17.6%3.86% 2.14%%19.7%1.81% 4.%%21.7%4.39% 6.01%%1.123.7%4.05% 2.70%57.34%21.8%1.91% 4.%60.97%94.3%3.50%-0.23%53.97%%2%3.36% 6.44%105%1% 0.90%-0.05%544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营业费用比例固定比风格因子质量存货周转率总资产周转率财务费用比例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4.-3负负负一个月股价反转风格因子-40.-21.-1.4负负负1个月成交金额近3换手率风格因子流动每期分档平均收益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62.3659.463.063.660.461.565.166.667.064.266113.2.-5.-5.56.7756.7766.6270.5053.899.80%99.94%99.91%98.72%99.47%99.64%99.75%97.72%98.04%99.85%99.93%99.80%99.80%99.60%99.61%99.87%99.86%99.91%99.89%99.89%99.73%93.19%99.68%99.84%99.84%99.76%99.86%99.83%99.83%99.93%数据来源：Wind、天软科技、通联数据、广发证券发展研究中心表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Stable_Alphaagru_dailyquoteDL_1fimage正9.14%4.58%8.81%71.65%89.45%正24.82%4.60%10.81%76.48%88.50%正16.82%3.72%9.70%68.28%94.54%正-4.65%3.14%4.05%67.39%88.92%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21.59%-5.34%5.18%58.42%95.78%正17.39%-4.50%4.83%57.53%93.38%正16.76%-3.41%5.15%59.57%84.65%负-17.37%4.00%-5.12%60.01%86.23%正18.19%0.31%2.82%60.20%82.45%正18.00%0.04%2.99%60.27%83.46%正20.89%0.41%2.99%60.58%82.59%正18.42%-4.69%4.79%57.41%92.82%正18.74%-2.75%4.67%58.30%85.61%Level-2因子重点时段keyperiod_ret_zerokeyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pctkeyperiod_amount_low50pctkeyperiod_sync_low50pct负-15.82%-3.90%-2.12%58.04%82.84%正20.37%2.89%2.62%58.11%83.99%正8.28%1.16%2.72%59.19%82.25%正25.53%1.58%6.92%60.65%93.02%负-18.71%1.39%-5.64%58.68%92.91%正3.99%-0.04%0.54%52.45%82.74%Level-2因子大小单bigbuybigsellbigbuy_bigsellbigbuy_bigsell_H1bigbuy_bigsell_H8integrated_bigsmall正7.24%0.25%5.15%59.12%90.96%正6.43%-1.63%4.52%56.20%90.51%正10.69%1.46%6.14%62.75%93.31%正13.13%3.58%6.23%64.08%87.54%正1.21%-0.63%2.83%56.71%84.45%正12.03%1.99%5.68%61.79%97.72%13.57%-4.81%4.99%58.93%87.88%Level-2因子长短单longbuylongselllongbuy_longselllongbuy_shortsellshortbuy_longsellshortbuy_shortsellintegrated_longshort正正12.90%-5.95%4.90%59.00%88.36%正-3.85%-0.80%-2.14%60.58%81.18%正13.59%-4.79%5.01%58.93%87.87%正12.96%-5.92%4.91%58.80%88.33%负-13.84%5.85%-5.24%58.74%91.01%正13.94%-5.73%4.65%58.42%96.75%-5.40%-0.93%-1.79%60.20%81.04%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9.05%-3.93%4.84%58.55%86.20%正10.01%-5.03%4.72%58.68%85.91%正8.82%3.38%4.81%63.06%92.28%正11.56%4.12%5.17%64.02%87.50%正15.86%-2.55%6.10%59.89%96.32%-26.32%2.72%-3.18%58.17%89.37%Level-2因子transaction_order_ratio_oa1withdrew_order_ratio_oa1负负-17.03%-1.30%-2.15%56.96%88.61%表2：因子表现分析（沪深300，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集合竞价 transaction_order_ratio_oa2transaction_order_ratio_oa

负- 9%27.722.9负- 2%27.722.9

43% %58.3658.23-4.-3.91.22%92.73%58.3658.23-4.-3.91.22%92.73%88.54%91.44%89.08%89.57%89.46%89.95%95.56%81.29%84.52%93.98%94.72%84.22%81.41%78.84%78.76%91.98%85.26%80.48%80.82%79.96%80.59%80.96%82.26%84.64%81.52%80.00%80.11%79.89%96.55%81.39%83.48%84.44%83.27%84.79%87.03%88.02%78.93%77.23%Level-2市价单

selltransaction_sellorder_ratio_camarketorder_ratiomarketbuyorder_limitbuyorder_ratiomarketbuyorder_limitsellorder_ratiomarketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratio

负 -7.24%负 11.45%5.07%负 0.75% 2.72%负 1.33% 3.07%3%负 12.65%5.23%7%负 13.05%5.67%

59%-4.1.39%-4.1.15%1.03%0.89%0.84%

63.64%55.31%55.3154.55%54.5554.04%54.0450.22%50.2260.2750.9260.2750.92分钟频因子日内价格相关

real_varreal_skewreal_kurtosisreal_upvarreal_downvarratio_realupvarratio_realdownvartrendratioret_intraday

负-39.03%1.88%负 -6.56%1.26%负 -5.28%负-39.04%2.17%负-38.01%1.24%负 -8.49%1.21%正 9.20%负-19.09%2.41%负-19.87%1.24%

-4.33% 61.35-2.84% 61.35-2.63.95-5.86% 63.95-5.60.33-5.10% 60.33-5.59.00-4.27% 59.00-4.62.81-5.08% 62.81-5.50.60-0.32% 50.6050.600.28% 50.60-40661.0957.5350.22-40661.0957.5350.22intraday_maxdrawdown

正

-4.00%

6.% %分钟频因子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_close2H1

负-27.62%-0.06%正 -1.00%1.18%正 6.40% 1.56%正 17.53%2.18%正 10.22%2.00%正 20.53%1.02%正 21.13%1.25%负 15.35%-5.17%负 2.96% 0.29%负 -8.22%3.87%负 -8.20%3.62%正 -1.30%0.94%正 17.95%-3.83%正 -8.05%1.28%正 13.63%1.33%正 -4.60%1.75%正 22.18%-1.30%负-21.05%3.91%负-15.65%0.17%负-29.11%3.66%负-12.84%4.43%负-13.43%-2.31%

.42%-0.36%1.73%2.21%2.71%2.35%82.1%81.26%-1.61%0.60%-0.99%0.08%2.42%1.17%4.62%-0.28%4.19%-1.03%-4.24%-3.76%0.53%-1.07%

%50.48%50.4857.53%57.5359.44%59.4458.04%58.0458.49%58.4959.25%59.2553.46%53.4655.63%55.6353.40%53.4051.56%51.5650.48%50.4856.0754.8056.0754.80%61.35%50.03%52.7759.1252.7759.1256.8351.3753.15%%%%%表2：因子表现分析（沪深300，月度换仓）因子类型 因子名称 因方corr_VPH1 负corr_VRH1 正

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80.43%79.13%80.04%78.46%80.43%79.13%80.04%78.46%93.68%79.74%81.97%79.90%79.77%81.13%79.64%79.26%89.78%80.12%81.61%94.70%83.18%81.17%90.23%80.94%79.34%79.94%79.88%99.76%99.80%99.64%99.63%99.84%99.85%99.81%99.83%99.80%99.78%99.85%99.80%99.86%99.85%99.83%99.64%99.87%-0.16%4.60% 3.23%61.28%分钟频因子收盘前相关

corr_VRleadH1corr_VRlagH1real_varH1real_skewH1real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8

正 4.86%负 -3.80%3.17%负-38.39%2.43%负 0.76% 0.23%正 8.81%负 -6.61%负-10.38%0.13%负-11.64%2.29%负 6.28%负 -4.39%

-0.47%0.23%-6.46%-0.07%-1.08%-1.57%-0.21%-0.10%-0.65%0.31%

%50.9951.4952.19%59.76%50.9951.4952.19%55.3756.1355.3756.13%52.45%52.4551.05%51.0553.72%53.7250.35%50.35real_varH8real_skewH8

负-.924.0负.924.0

5%6%0.79%

-0.51% %58.6151.30-1.36% %58.6151.30分钟频因子大成交量相关

real_kurtosisH8real_varlargereal_kurtosislargereal_skewlargeratio_realvarlargecorr_VPlargecorr_VRlargecorr_VRleadlargecorr_VRlaglarge

负 -0.85%1.90%负-39.49%2.13%负 0.64%负 -1.40%0.24%负-12.73%0.05%负 4.10% 0.03%负 -7.52%3.50%正 0.77% 0.59%负 -6.02%3.53%

-3.36% %60.6560.2760.6560.2762.49-4.63% %62.4960.14-2.30% %60.1463.70-6.52% %63.7056.83-1.71% %56.8352.380.48% %52.3851.110.21% %51.1156.6452.5156.6452.51风格因子销售净利率毛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成长每股净资产增长率EPS增长率负正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12.86%

1.26%-1.90%

1.96% %52.38-0.11% %52.383%3.78% 6.03%4%8%4%8%-6.88%6.44%-10.54%7.94%0%-10.77%7.30%5%-3.51%4.95%-10.24%6.67%5%-6.19%5.05%.22%-15.32%.22%

0.30% %50.1051.1851.6250.1051.1851.62-1.40% %51.24-1.26% %51.2450.100.08% %50.1052.83-0.15% %52.8351.180.68% %51.1852.000.95% %52.0053.7254.9353.7254.931.17%-33%1.84% %50.35-5.30%2.01% 1.03% %9%-31%.6.41.84%-30%.4

1.19% %54.6154.0453.0254.6154.0453.02风格因子

1个月成交金额近3个月平均成交量

负-24.5负24.5

3%3.22%5.51%5.5

-2.77% %52.702.10% %52.70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流动换手率负一个月股价反转负三个月股价反转负风格因子技术六个月股价反转一年股价反转/动量负负最高点距离正容量比负流通市值负风格因子规模总资产流通股本/总股本负正流通市值/总市值正存货周转率正总资产周转率正财务费用比例负风格因子质量营业费用比例固定比正正速动比率正流动比率正净利润现金占比正CFP(行业相对)正EP(行业相对)正SP(行业相对)正BP(行业相对)正风格因子估值CFPEP负正SP正BP正DP正数据来源：Wind、天软科技、通联数据、广发证券发展研究中心表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Stable_Alpha正8.12%5.08%8.10%75.97%87.32%深度学习因子agru_dailyquoteDL_1正23.59%5.02%10.09%76.67%86.69%正16.04%3.29%9.21%71.01%93.72%fimage正-4.77%2.42%3.51%66.12%87.73%vpin_vol正24.30%-3.94%5.41%57.60%94.64%dpin_base_total_std正19.31%-5.55%4.47%56.13%92.93%dpin_big_am_std正21.63%-3.80%4.61%58.93%83.64%dpin_big_am_stable负-21.81%4.38%-4.51%58.68%84.39%Level-2因子知情交易dpin_small_am_mean正20.93%0.07%2.50%59.57%82.39%正20.92%-0.12%2.57%59.63%83.27%dpin_small_am_stddpin_small_am_stable正22.34%0.04%2.61%60.14%82.95%dpin_base_middle_std正20.79%-5.50%4.46%55.94%92.42%dpin_base_pm_std正19.93%-3.29%4.45%56.64%85.16%keyperiod_ret_zero负-10.46%-3.61%-3.26%62.75%82.43%keyperiod_ret_low5pct正15.86%2.39%2.97%61.79%80.69%Level-2因子keyperiod_price_low5pct正7.80%1.95%2.65%63.51%80.60%重点时段keyperiod_amount_top30pct正24.53%2.76%7.28%62.81%91.83%keyperiod_amount_low50pct负-18.08%-0.71%-6.31%61.03%92.92%keyperiod_sync_low50pct正5.41%0.36%0.76%56.01%80.21%bigbuy正2.90%-1.34%4.64%60.58%89.17%bigsell正4.41%-2.04%3.92%58.68%87.76%Level-2因子bigbuy_bigsell正6.52%2.36%5.88%67.51%90.01%正8.91%3.27%5.75%65.80%85.58%大小单bigbuy_bigsell_H1bigbuy_bigsell_H8正0.42%-0.48%3.05%62.11%83.21%integrated_bigsmall正7.01%1.69%5.39%64.91%95.55%16.11%-3.61%5.20%58.23%87.04%longbuy正longsell正16.84%-3.47%5.07%59.63%87.55%longbuy_longsell正-2.46%0.65%-1.18%57.02%79.90%Level-2因子长短单longbuy_shortsellshortbuy_longsell正16.09%-3.60%5.21%58.36%87.24%正16.82%-3.47%5.09%59.63%87.53%shortbuy_shortsell负-17.38%3.90%-5.54%59.38%89.49%integrated_longshort正18.73%-3.17%4.98%59.89%94.79%-3.39%0.35%-0.97%56.71%80.12%bigbuy_longbuy_bigsell_longsell正bigbuy_longbuy_bigsell_shortsell正11.25%-2.15%5.14%59.12%84.37%Level-2因子bigbuy_shortbuy_bigsell_longsell正12.35%-2.11%4.74%61.09%85.56%正3.29%3.71%4.37%65.80%88.07%大小长短单bigbuy_shortbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_shortsell_H1正6.91%3.68%4.77%66.24%85.08%integrated_bigsmall_longshort正16.57%-0.70%6.41%60.58%95.12%-24.28%2.21%-3.07%56.83%87.29%Level-2因子transaction_order_ratio_oa1withdrew_order_ratio_oa1负负-16.03%-0.92%-2.31%60.01%86.85%表3：因子表现分析（中证A500，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集合竞价 transaction_order_ratio_oa2transaction_order_ratio_oaselltransaction_sellorder_ratio_camarketorder_ratiomarketbuyorder_limitbuyorder_ratio

负-25.19%负-28.79%负 -9.68%负 4.40% 负 2.27%

-3.72%-4.10%-3.90%-1.23%-1.33%

%51.0558.4257.5387.87%89.24%51.0558.4257.5387.87%89.24%86.69%87.33%86.86%86.67%84.45%85.48%93.25%79.02%81.89%91.92%92.50%81.98%79.19%76.84%76.94%90.19%83.61%79.14%78.18%77.83%79.78%80.71%80.54%82.60%79.89%77.73%79.16%78.55%95.07%76.50%81.93%82.44%81.88%81.91%85.32%85.40%77.53%75.86%%52.00%52.00Level-2因子市价单分钟频因子

marketbuyorder_limitsellorder_ratiomarketsellorder_limitbuyorder_ratiomarketsellorder_limitsellorder_ratioreal_varreal_skewreal_kurtosisreal_upvarreal_downvarratio_realupvarratio_realdownvartrendratioret_intraday

负 1.78% 1.95%负 3.03% 1.79%负 2.79% 2.07%负-37.86%0.94%负 -9.67%负 -7.33%负-38.29%0.94%负-36.09%0.70%负-12.05%0.11%正 11.15%-2.36%负-14.86%0.15%负-15.25%-0.86%

-1.49% %51.5652.26-1.31% %51.5652.2659.3852.0059.3852.00-4.44% %59.00-2.59% %59.0064.34-5.20% %64.3460.46-5.08% %60.4660.01-4.35% %60.0161.09-4.59% %61.0951.430.13% %51.4351.24-0.53% %51.2451.62-1.05% %51.62intraday_maxdrawdownratio_volumeH1

正 34.34%负-25.53%34%

-3.77%-0.59%

5.% -3.3359.6957.79-3.3359.6957.79分钟频因子成交量相关

ratio_volumeH2ratio_volumeH3ratio_volumeH4ratio_volumeH5ratio_volumeH6ratio_volumeH7ratio_volumeH8corr_VPcorr_VRcorr_VRlagcorr_VRleadAmihud_illiqret_overnightret_open2AH1ret_open2AL1

正 4.40% 2.25%正 6.19% 2.33%正 17.47%2.41%正 5.50% 1.35%正 16.52%0.81%正 21.21%0.13%负 16.58%-4.08%负 -1.02%0.38%负 -7.60%2.28%负-10.36%1.95%正 -2.86%0.43%正 21.36%-1.25%正-10.09%0.79%正 12.34%1.24%正 -5.68%2.02%

-0.86% %57.7952.131.52% %57.7952.1356.071.87% %56.0761.162.54% %61.1657.912.01% %57.9158.4962.7% %58.49653.151.27% %53.1551.43-0.59% %51.4352.130.68% %52.1352.77-1.05% %52.7750.730.07% %50.7357.9857.4757.9857.471.40% %62.433.80% %62.4351.300.09% %51.30分钟频因子盘前相关

ret_open2AH2

正 21.64%-1.61%

3.29%

59.00%分钟频因子开盘后相关

ret_open2AL2diverge_A1diverge_A2ret_H1ret_close2H1

负-23.64%3.86%负-14.00%0.92%负-31.00%3.68%负-11.12%2.19%负 -8.39%-2.70%

-0.63%-3.15%-2.99%-0.11%-1.30%

%52.1960.1452.1960.1457.5350.41%%54.74%表3：因子表现分析（中证A500，月度换仓）因子类型 因子名称 因方corr_VPH1 负corr_VRH1 正

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78.16%77.49%77.98%76.13%78.16%77.49%77.98%76.13%91.90%79.01%80.91%75.64%79.36%80.46%77.70%77.79%88.27%78.07%80.19%93.05%80.96%79.56%88.03%79.40%77.27%78.19%78.30%99.77%99.84%99.64%99.64%99.87%99.85%99.76%99.86%99.76%99.74%99.85%99.84%99.86%99.84%99.84%99.32%99.63%-4.87%3.22% 2.93%61.86%corr_VRleadH1corr_VRlagH1

正 2.10% 负 -5.40%

0.15% %51.0551.240.32% %51.0551.24分钟频因子收盘前相关

real_varH1real_skewH1real_kurtosisH1ret_H8corr_VPH8corr_VRH8corr_VRleadH8corr_VRlagH8real_varH8real_skewH8

负-37.89%1.66%负 -3.81%-0.08%正 6.35%负-10.08%-0.89%负-11.11%0.32%负-11.01%2.09%负 3.78%负 -3.61%0.63%负-19.28%-0.91%负-11.43%0.93%

-6.04%-0.01%-0.65%-1.47%0.05%-0.07%-1.06%0.31%-1.05%-1.37%

60.20%50.1654.2950.1654.2956.2050.2250.35%%%51.94%56.77%51.94%53.91%53.9159.19%59.19real_kurtosisH8real_varlargereal_kurtosislarge

负 -1.65%1.84%负-39.00%1.18%负 -0.78%

-93% 3.-83.-858.7464.84-78% 64.84分钟频因子大成交量相关

real_skewlargeratio_realvarlargecorr_VPlarge

负 -6.02%-0.64%-1.90%负-17.12%-1.00%-6.16%负 -0.04%0.26%-0.53%

%53.8561.9859.31%50.16%53.8561.9859.31corr_VRlargecorr_VRleadlarge

负 -6.65%正 -1.27%

0.91%0.32%

%50.22%corr_VRlaglarge

负 -9.05%2.06%-0.72%

50.79%销售净利率

正

3.17%

0.88%

50.60%风格因子

毛利率

正

51.81-1.98%-1.35% %51.81盈利 ROA

正 正

5.06.2

0.60%5%3%3%5%3%3%

50.60%50.41%股东权益增长率

负 -0.92%

-0.50%

50.03%成长杠杆风格因子

EPS增长率ROE增长率资产负债率长期负债比率每股负债比流动负债率1个月成交金额

负 -6.31%7.20%1%5%正 -5.08%5.11%5%9%负 0.33% 5.99%4%正 -4.50%5.04%.3%正 -4.44%.3%正-11.41%8.4负 -6.53%-2负 -4.02%1.75%负 -0.77%正 -1.41%8.负-26.94%1.60%8.

-0.38%1.18%0.48%1.49%1.58%1.35%1.10%1.53%0.73%-1.45%-4.30%

%54.1051.81%54.1051.8153.53%53.5354.29%54.2952.8356.52%51.05%52.8356.52%56.83%56.8352.19%52.1957.4758.5557.4758.55%流动 近3个月平均成交

负-1

50%-2.91%-0.15%

50.10%53.0853.0853.2152.00正正正正负正正正正DPCFP(行业相对EP(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营业费用比例固定比风格因子质量存货周转率总资产周转率财务费用比例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负换手率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54.2357.7253.1555.6962.3660.7159.5056.2053.02053.3.87%4.22%-5.40%%-12.81%2.40%-03%%-16.75%2.86%-20%%50%2.93%-1.13%%32%2.79% 1.46%%13.4%-2.22%1.48%%-170%1.80%-2.74%%-4.05%-1.05%0.17%%9.04%-2.47%2.98%%-1.32%-0.26%0.96%%-1.32%-0.26%0.96%%1.25%-0.72%1.34%%1.15% 5.23% 0.41%%-10.65%0.04% 0.25%%16.63%5%-2.94%58.11%-3.84%5.11.47%%6.23% 0.15%-1.60%%4.95% 1.49%-1.63%%13.65%2.85% 2.70%62.17%-1.69%0.24%-0.32%%20.49%3.57% 2.31%%10.64%-1.42%2.28%%9.66% 0.84% 3.85%%1.34% 5.00% 1.65%%29.97%2.83% 3.8%%10.68%-0.30%3.9%%19.47%-1.49%4.58%%12.89%-8.16.1%%1.31% 0.33%0-36.-29.-37.每期分档平均收益58.4254.1654.6151.2454.1651.6255.6950.1656.0154.7454.7452.5152.0750.5499.18%97.83%97.57%97.25%99.18%97.83%97.57%97.25%98.79%96.19%97.02%98.09%99.90%99.35%99.35%99.56%99.57%99.81%99.82%99.86%99.83%99.83%99.68%93.21%98.95%98.10%98.81%98.08%98.36%98.34%98.33%99.90%表4：因子表现分析（中证500，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

Stable_Alphaagru_dailyquoteDL_1fimage

正 14.689正 24.9896正 24.36正 -9.37%

5.18%5%4.88%5%43.5462.46

7.22%9.25%8.55%3.25%

77.43%76.86%72.22%65.10%

89.28%88.41%94.39%88.37%vpin_voldpin_base_total_stddpin_big_am_std

正 29.8%-4.813正 22.0%-4.8139正 25.0%9

3%3.46%3.42.95%2.9

58.80%54.99%58.30%

95.57%93.50%85.44%Level-2知情交易

dpin_big_am_stabledpin_small_am_meandpin_small_am_stddpin_small_am_stabledpin_base_middle_std

负-725.正 21.0%725.6正 21.0%62正 22.9%27正 23.1%7

3.2%-5.10%40.80% 2.48%40.67% 2.63%1.01% 2.62%-4.57%5.13%-4.5

58.36%58.55%59.06%58.80%54.99%

87.24%82.36%83.10%82.81%92.75%dpin_base_pm_stdkeyperiod_ret_zero

正 24.7%4负-15.914

5%4.99%3.92.80%3.92.8

56.77%62.56%

85.99%82.49%Level-2重点时段

keyperiod_ret_low5pctkeyperiod_price_low5pctkeyperiod_amount_top30pct

正 18.343正 13.5438正 31.68

2.5822.03.99%82

3.00%2.97%7.51%

62.24%64.46%66.31%

83.05%81.27%92.71%keyperiod_amount_low50pctkeyperiod_sync_low50pct

负-28.正 6.68%28.

-0.21%-0.34%

-6.44%2.06%

61.60%60.71%

93.26%82.47%bigbuybigsell

正 正

-2%2.41.9-8%2.41.9

57.34%56.26%

91.05%90.67%Level-2大小单

bigbuy_bigsellbigbuy_bigsell_H1

正 15.18正 8

1.9672.667

6.09%5.36%

63.38%62.75%

92.86%86.82%bigbuy_bigsell_H8integrated_bigsmall

正 6.18%21正 12.721

-0.65%1.54%

63.45%61.86%

84.07%97.22%longbuylongsell

正 20.7%1正 22.5%1

9%2.62.60%2.62.6

59.25%59.89%

87.82%88.17%longbuy_longsell

正

0.65%

52.51%

80.64%Level-2长短单

longbuy_shortsellshortbuy_longsell

正 20.7%23.24正 22.5%23.24

9%32.62.62%32.62.6

59.31%60.08%

87.77%88.14%2.68shortbuy_shortsell2.68

负-30%

3.0%

-6.80%

59.25%

90.78%integrated_longshort

正 25.1%

9%6.56%

60.90%

97.08%Level-2因子

bigbuy_longbuy_bigsell_longsellbigbuy_longbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_longsell

正 -4.95%66正 16.166正 16.2

0.39% -1.20%-1.36%

52.77%61.09%62.62%

80.58%85.81%85.46%大小长短单

bigbuy_shortbuy_bigsell_shortsellbigbuy_shortbuy_bigsell_shortsell_H1integrated_bigsmall_longshort

正 3正 7.83%330.正 22.230.

2.7%482.9%48-0.20%

3.66%3.93%7.49%

63.32%62.30%61.03%

91.16%86.75%96.14%transaction_order_ratio_oa1

负-26%

0.72%-4.26%

62.43%

88.86%Level-2因子

withdrew_order_ratio_oa1

负-14.08%

-1.71%-2.60%

62.49%

87.95%表4：因子表现分析（中证500，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