Content
本文数据来自星友的券商研报复现项目：hugo2046/QuantsPlaybook: 量化研究-券商金工研报复现 (github.com) 欢迎加入星球交流。
复现研报因子，对其进行检验。
研报信息：
| 项目名 | 参考 |
|---|---|
| BullBearBattleFactorGenerator | 2023-11-20_方证证券_-多因子选股系列研究之十二：股票日内多空博弈激烈程度度量与“多空博弈”因子构建——多因子选股 |
| SalienceEffectFactorGenerator | 方证证券-多因子选股系列研究之八：显著效应、极端收益扭曲决策权重和“草木 皆兵”因子|广发证券-行为金融研究系列之七：凸显理论之A股价量应用|20221214-招商证券-“青出于蓝”系列研究之四：行为金融新视角，“凸显性收益”因子STR|Salience theory and stock prices Empirical evidence |
| VolumeSurgeAtExtremesFactorGenerator | 2023-12-19_国盛证券_金融工程_“量价淘金”选股因子系列研究（四）：高、低位放量：从事件驱动到选股因子 |
| TractionFactorGenerator | 2023-12-19_开源证券_金融工程_开源量化评论（83）：从隔夜价格行为到股票关联网络 |
| IndustryCoMomFactorGenerator | 2024-01-09_国信证券_金融工程_联合动量因子：个股与行业的共振 |
| SportBettingFactorGenerator | 20220611-方正证券-多因子选股系列研究之四：个股动量效应识别及“球队硬币”因子构建 |
| ModerateRiskFactorGenerator | 20220412-方正证券-多因子选股系列研究之一：成交量激增时刻蕴含的alpha信息 |
| TideFactorGenerator | 20220508-方正证券-多因子选股系列研究之二：个股成交量的潮汐变化及“潮汐”因子构建 |
| ConvergenceFactorGenerator | 20240414-开源证券-开源量化评论（91）：形态识别，均线的收敛与发散 |
因子信息：
| 序号 | 项目名 | 类名 | 因子名 | 因子中文名称 | 说明 |
|---|---|---|---|---|---|
| 1 | BullBearBattleFactorGenerator | VolumeBattleReturnFactor | daily_vol_battle_return_factor | 日成交量博弈-收益率因子 | frequency:minutes |
| 2 | BullBearBattleFactorGenerator | VolumeBattleReturnFactor | avg20_vol_battle_return_factor | 20日均成交量博弈-收益率因子 | frequency:minutes |
| 3 | BullBearBattleFactorGenerator | VolumeBattleReturnFactor | std20_vol_battle_return_factor | 20日稳成交量博弈-收益率因子 | frequency:minutes |
| 4 | BullBearBattleFactorGenerator | VolumeBattleReturnFactor | vol_battle_return_factor | 成交量博弈-收益率因子 | frequency:minutes |
| 5 | BullBearBattleFactorGenerator | VolumeBattleRelativeFactor | daily_vol_battle_relative_pos_factor | 日成交量博弈-日内相对位置因子 | frequency:minutes |
| 6 | BullBearBattleFactorGenerator | VolumeBattleRelativeFactor | avg20_vol_battle_relative_pos_factor | 20日均成交量博弈-日内相对位置因子 | frequency:minutes |
| 7 | BullBearBattleFactorGenerator | VolumeBattleRelativeFactor | std20_vol_battle_relative_pos_factor | 20日稳成交量博弈-日内相对位置因子 | frequency:minutes |
| 8 | BullBearBattleFactorGenerator | VolumeBattleRelativeFactor | vol_battle_relative_pos_factor | 成交量博弈-日内相对位置因子 | frequency:minutes |
| 9 | BullBearBattleFactorGenerator | VolumeBattleFactor | vol_battle_factor | 成交量博弈因子 | frequency:minutes |
| 10 | BullBearBattleFactorGenerator | AmplitudeBattleFactor | daily_range_battle_factor | 日振幅博弈因子 | frequency:minutes |
| 11 | BullBearBattleFactorGenerator | AmplitudeBattleFactor | avg20_range_battle_factor | 20日均振幅博弈因子 | frequency:minutes |
| 12 | BullBearBattleFactorGenerator | AmplitudeBattleFactor | std20_range_battle_factor | 20日稳振幅博弈因子 | frequency:minutes |
| 13 | BullBearBattleFactorGenerator | AmplitudeBattleFactor | range_battle_factor | 振幅博弈因子 | frequency:minutes |
| 14 | BullBearBattleFactorGenerator | BullBearBattleFactor | bull_bear_battle_factor | 多空博弈因子 | frequency:minutes |
| 15 | SalienceEffectFactorGenerator | OriginSalienceFactor | daily_original_salience | frequency:daily | |
| 16 | SalienceEffectFactorGenerator | OriginSalienceFactor | original_salience | 凸显度因子 | frequency:daily，(原始论文构造方式) |
| 17 | SalienceEffectFactorGenerator | SalienceTrunover | daily_stv | frequency:daily | |
| 18 | SalienceEffectFactorGenerator | SalienceTrunover | STV | 凸显度因子 | frequency:daily，广发证券构造方式 |
| 19 | SalienceEffectFactorGenerator | AnxietyFactor | anxiety_score | 惊恐分 | frequency:daily |
| 20 | SalienceEffectFactorGenerator | AnxietyFactor | anxiety_wscore | 加权决策分 | frequency:daily |
| 21 | SalienceEffectFactorGenerator | AnxietyFactor | anxiety_ret | 惊恐收益 | frequency:daily |
| 22 | SalienceEffectFactorGenerator | AnxietyFactor | anxiety_vol | 惊恐波动 | frequency:daily |
| 23 | SalienceEffectFactorGenerator | AnxietyFactor | origin_anxiety | 原始惊恐因子 | frequency:daily,方正证券构造方式 |
| 24 | SalienceEffectFactorGenerator | AnxietyVolatilityFactor | anxiety_vol_wscore | 波动率加剧-加权决策分 | frequency:mix |
| 25 | SalienceEffectFactorGenerator | AnxietyVolatilityFactor | anxiety_vol_ret | 波动率加剧-惊恐收益 | frequency:mix |
| 26 | SalienceEffectFactorGenerator | AnxietyVolatilityFactor | anxiety_vol_vol | 波动率加剧-惊恐波动 | frequency:mix |
| 27 | SalienceEffectFactorGenerator | AnxietyVolatilityFactor | anxiety_volatility | 波动率加剧-惊恐 | frequency:mix |
| 28 | SalienceEffectFactorGenerator | AnxietyIndividualInvestorRatio | anxiety_individual_investor_wscore | 个人投资者交易占比-加权决策分 | frequency:daily |
| 29 | SalienceEffectFactorGenerator | AnxietyIndividualInvestorRatio | anxiety_individual_investor_ret | 个人投资者交易占比-收益率 | frequency:daily |
| 30 | SalienceEffectFactorGenerator | AnxietyIndividualInvestorRatio | anxiety_individual_investor_vol | 个人投资者交易占比-波动率 | frequency:daily |
| 31 | SalienceEffectFactorGenerator | AnxietyAttentionDecayFactor | anxiety_attentiondecay_wscore | 注意力衰减-加权平均分数 | frequency:daily |
| 32 | SalienceEffectFactorGenerator | AnxietyAttentionDecayFactor | anxiety_attentiondecay_ret | 注意力衰减-收益率 | frequency:daily |
| 33 | SalienceEffectFactorGenerator | AnxietyAttentionDecayFactor | anxiety_attentiondecay_vol | 注意力衰减-波动率 | frequency:daily |
| 34 | SalienceEffectFactorGenerator | AnxietyAttentionDecayFactor | anxiety_attentiondecay | 注意力衰减-惊恐度 | frequency:daily |
| 35 | SalienceEffectFactorGenerator | AnxietyIndividualInvestorRatio | anxiety_individual_investor_ratio | 个人投资者交易占比-惊恐 | frequency:daily |
| 36 | SalienceEffectFactorGenerator | HyperVigilanceFactor | hypervigilance_wscore | 草木皆兵因子-加权平均分数 | frequency:mix |
| 37 | SalienceEffectFactorGenerator | HyperVigilanceFactor | hypervigilance_ret | 草木皆兵因子-收益率 | requency:mix |
| 38 | SalienceEffectFactorGenerator | HyperVigilanceFactor | hypervigilance_vol | 草木皆兵因子-波动率 | requency:mix |
| 39 | SalienceEffectFactorGenerator | HyperVigilanceFactor | hypervigilance | 草木皆兵因子 | requency:mix |
| 40 | VolumeSurgeAtExtremesFactorGenerator | LocalTurnoverProportionFactor | local_turnover_proportion | 局部换手率占比因子 | frequency:daily |
| 41 | VolumeSurgeAtExtremesFactorGenerator | LocalVolatilityProportionFactor | local_volatility_proportion | 局部波动率占比因子 | frequency:mix |
| 42 | VolumeSurgeAtExtremesFactorGenerator | HighVolatilityFactor | high_volatility_proportion | 分钟_高位波动占比 | frequency:mix |
| 43 | VolumeSurgeAtExtremesFactorGenerator | LowVolatilityFactor | low_volatility_proportion | 分钟_低位波动占比 | frequency:mix |
| 44 | TractionFactorGenerator | TractionORFactor | traction_or | 隔夜关联网络 牵引因子 | frequency:daily |
| 45 | IndustryCoMomFactorGenerator | ICMFactor | icm | 行业联合动量因子 | frequency:daily |
| 46 | IndustryCoMomFactorGenerator | VICMFactor | vicm | 量价齐升行业联合动量因子 | frequency:daily |
| 47 | IndustryCoMomFactorGenerator | ICRFactor | icr | 行业联合反转因子 | frequency:daily |
| 48 | IndustryCoMomFactorGenerator | VICRFactor | vicr | 量价齐跌行业联合反转 因子 | frequency:daily |
| 49 | IndustryCoMomFactorGenerator | CMCFactor | cmc | 行业 联合动量复合因子 | frequency:daily |
| 50 | SportBettingFactorGenerator | SportBettingsFactor | interday_volatility_reverse | 日间波动率反转 | frequency:daily |
| 51 | SportBettingFactorGenerator | SportBettingsFactor | intraday_volatility_reverse | 日内波动率反转 | frequency:daily |
| 52 | SportBettingFactorGenerator | SportBettingsFactor | overnight_volatility_reverse | 隔夜波动率反转 | frequency:daily |
| 53 | SportBettingFactorGenerator | SportBettingsFactor | interday_turnover_rate_reverse | 日间换手率反转 | frequency:daily |
| 54 | SportBettingFactorGenerator | SportBettingsFactor | intraday_turnover_rate_reverse | 日内波动率反转 | frequency:daily |
| 55 | SportBettingFactorGenerator | SportBettingsFactor | overnight_turnover_rate_reverse | 隔夜波动率反转 | frequency:daily |
| 56 | SportBettingFactorGenerator | SportBettingsFactor | interday_turnover_rate_f_reverse | 日间自由换手率反转 | frequency:daily |
| 57 | SportBettingFactorGenerator | SportBettingsFactor | intraday_turnover_rate_f_reverse | 日内自由换手率反转 | frequency:daily |
| 58 | SportBettingFactorGenerator | SportBettingsFactor | overnight_turnover_rate_f_reverse | 隔夜自由换手率反转 | frequency:daily |
| 59 | SportBettingFactorGenerator | SportBettingsFactor | revise_interday_reverse | 修正日间反转 | frequency:daily |
| 60 | SportBettingFactorGenerator | SportBettingsFactor | revise_intraday_reverse | 修正日内反转 | frequency:daily |
| 61 | SportBettingFactorGenerator | SportBettingsFactor | revise_overnight_reverse | 修正隔夜反转 | frequency:daily |
| 62 | SportBettingFactorGenerator | SportBettingsFactor | revise_interday_f_reverse | 修正日间反转（自由换手率） | frequency:daily |
| 63 | SportBettingFactorGenerator | SportBettingsFactor | revise_intraday_f_reverse | 修正日内反转（自由换手率） | frequency:daily |
| 64 | SportBettingFactorGenerator | SportBettingsFactor | revise_overnight_f_reverse | 修正隔夜反转（自由换手率） | frequency:daily |
| 65 | SportBettingFactorGenerator | SportBettingsFactor | coin_team | 球队硬币因子 | frequency:daily |
| 66 | SportBettingFactorGenerator | SportBettingsFactor | coin_team_f | 球队硬币因子(自由换手率) | frequency:daily |
| 67 | SportBettingFactorGenerator | VolatilityMomentum | interday_lowvolatility_momentum | frequency:daily | |
| 68 | SportBettingFactorGenerator | VolatilityMomentum | intraday_lowvolatility_momentum | frequency:daily | |
| 69 | ModerateRiskFactorGenerator | GlareVolatilityFactor | moderate_glare_volatility_avg | 月均耀眼波动率 | frequency:minutes |
| 70 | ModerateRiskFactorGenerator | GlareVolatilityFactor | moderate_glare_volatility_std | 月稳耀眼波动率 | frequency:minutes |
| 71 | ModerateRiskFactorGenerator | GlareVolatilityFactor | moderate_glare_volatility | 月 耀眼波动率 | frequency:minutes |
| 72 | ModerateRiskFactorGenerator | GlareReturnsFactor | moderate_glare_returns_avg | 月均耀眼收益率 | frequency:minutes |
| 73 | ModerateRiskFactorGenerator | GlareReturnsFactor | moderate_glare_returns_std | 月稳耀眼收益率 | frequency:minutes |
| 74 | ModerateRiskFactorGenerator | GlareReturnsFactor | moderate_glare_returns | 月耀眼收益率 | frequency:minutes |
| 75 | ModerateRiskFactorGenerator | ModerateRiskFactor | moderate_risk | 适度冒险 | frequency:minutes |
| 76 | TideFactorGenerator | FullTideFactor | full_tide_factor | 全潮汐因子 | frequency:minutes |
| 77 | TideFactorGenerator | StrongSemiTideFactor | strongsemi_tide_factor | 强势半潮因子 | frequency:minutes |
| 78 | TideFactorGenerator | WeakSemiTideFactor | weaksemi_tide_avg | 激进弱势 半潮汐因子 | frequency:minutes |
| 79 | TideFactorGenerator | WeakSemiTideFactor | weaksemi_tide_std | 稳定弱势半潮汐 | frequency:minutes |
| 80 | TideFactorGenerator | CompleteTideFactor | complete_tide_factor | 完整潮汐因子 | frequency:minutes |
| 81 | ConvergenceFactorGenerator | CloseConvergenceFactor | ccf | 价格收敛因子 | frequency:daily |
| 82 | ConvergenceFactorGenerator | VolumeConvergenceFactor | vcf | 成交量收敛因子 | frequency:daily |
| 83 | ConvergenceFactorGenerator | AmountConvergenceFactor | acf | 成交收敛因子 | frequency:daily |
| 84 | ConvergenceFactorGenerator | TurnoverConvergenceFactor | tcf | 换手率收敛因子 | frequency:daily |
| 85 | ConvergenceFactorGenerator | FreeTurnoverConvergenceFactor | ftcf | 自由流通换手率因子 | frequency:daily |
因子表现：
ICIR表现最好的因子为moderate_glare_volatility_avg(月均耀眼波动率)，达到了6.62
| factor | ic | ir | |
|---|---|---|---|
| 0 | ACF | 0.0727 | 4.4241 |
| 1 | CCF | 0.0313 | 1.6867 |
| 2 | FTCF | 0.0639 | 2.9775 |
| 3 | STV | -0.0307 | -2.961 |
| 4 | TCF | 0.0588 | 2.5403 |
| 5 | VCF | 0.0534 | 2.8318 |
| 6 | anxiety_attentiondecay | -0.0469 | -2.9617 |
| 7 | anxiety_attentiondecay_ret | -0.0628 | -4.0112 |
| 8 | anxiety_attentiondecay_vol | -0.0622 | -3.1721 |
| 9 | anxiety_individual_investor_ratio | -0.0722 | -4.0473 |
| 10 | anxiety_individual_investor_ret | -0.0534 | -3.0125 |
| 11 | anxiety_individual_investor_vol | -0.0666 | -3.3811 |
| 12 | anxiety_ret | -0.0603 | -3.2744 |
| 13 | anxiety_score | -0.0431 | -3.4845 |
| 14 | anxiety_vol_ret | -0.0621 | -3.5764 |
| 15 | anxiety_vol_vol | -0.0651 | -2.9625 |
| 16 | anxiety_volatility | -0.0698 | -3.452 |
| 17 | avg20_range_battle_factor | -0.0436 | -2.9453 |
| 18 | avg20_vol_battle_relative_pos_factor | -0.0533 | -3.2208 |
| 19 | avg20_vol_battle_return_factor | -0.0518 | -3.1642 |
| 20 | bull_bear_battle_factor | -0.0626 | -4.3973 |
| 21 | cmc | 0.009 | 0.9353 |
| 22 | coin_team | -0.0647 | -4.7032 |
| 23 | coin_team_f | -0.0656 | -4.8251 |
| 24 | complete_tide_factor | -0.0321 | -3.0017 |
| 25 | daily_range_battle_factor | -0.0524 | -4.1005 |
| 26 | daily_stv | -0.0707 | -3.2503 |
| 27 | daily_vol_battle_relative_pos_factor | 0.0285 | 2.5489 |
| 28 | full_tide_factor | -0.0536 | -4.0432 |
| 29 | high_volatility_proportion | -0.0537 | -5.1611 |
| 30 | hypervigilance | -0.0468 | -3.0215 |
| 31 | hypervigilance_ret | -0.0613 | -3.9747 |
| 32 | hypervigilance_vol | -0.0577 | -2.8979 |
| 33 | icm | 0.0048 | 0.4952 |
| 34 | icr | -0.0097 | -0.7002 |
| 35 | interday_lowvolatility_momentum | 0.0183 | 0.7941 |
| 36 | interday_turnover_rate_f_reverse | -0.0615 | -4.445 |
| 37 | interday_turnover_rate_reverse | -0.0604 | -4.2865 |
| 38 | interday_volatility_reverse | -0.0349 | -3.0596 |
| 39 | intraday_lowvolatility_momentum | 0.0193 | 0.9189 |
| 40 | intraday_turnover_rate_f_reverse | 0.0025 | 0.4048 |
| 41 | intraday_turnover_rate_reverse | -0.0495 | -3.9346 |
| 42 | local_turnover_proportion | -0.0508 | -3.098 |
| 43 | local_volatility_proportion | -0.0347 | -2.4864 |
| 44 | low_volatility_proportion | -0.0454 | -4.1328 |
| 45 | moderate_glare_returns | -0.0668 | -4.5925 |
| 46 | moderate_glare_returns_avg | -0.0682 | -4.4955 |
| 47 | moderate_glare_returns_std | -0.0633 | -4.6473 |
| 48 | moderate_glare_volatility | -0.0604 | -6.6249 |
| 49 | moderate_glare_volatility_avg | -0.0511 | -5.2509 |
| 50 | moderate_glare_volatility_std | -0.0645 | -5.1569 |
| 51 | moderate_risk | -0.0708 | -6.0285 |
| 52 | origin_anxiety | -0.0712 | -3.5785 |
| 53 | original_salience | -0.0778 | -5.5053 |
| 54 | overnight_turnover_rate_f_reverse | 0.0033 | 0.52 |
| 55 | overnight_turnover_rate_reverse | -0.0424 | -3.9965 |
| 56 | range_battle_factor | -0.0533 | -3.479 |
| 57 | revise_interday_f_reverse | -0.0639 | -4.7824 |
| 58 | revise_interday_reverse | -0.063 | -4.6589 |
| 59 | revise_intraday_f_reverse | -0.0557 | -4.4122 |
| 60 | revise_intraday_reverse | -0.055 | -4.3024 |
| 61 | revise_overnight_f_reverse | -0.0289 | -3.3156 |
| 62 | revise_overnight_reverse | -0.0287 | -3.2852 |
| 63 | std20_range_battle_factor | -0.0594 | -3.8337 |
| 64 | std20_vol_battle_relative_pos_factor | -0.0551 | -3.4603 |
| 65 | std20_vol_battle_return_factor | -0.0542 | -3.4204 |
| 66 | strongsemi_tide_factor | -0.0265 | -2.7736 |
| 67 | traction_or | 0.0139 | 1.241 |
| 68 | vicm | 0.0003 | 0.0266 |
| 69 | vicr | -0.011 | -0.7975 |
部分因子多空收益：
ACF(成交收敛因子):
FTCF(自由流通换手率因子):
original_salience(凸显度因子):
moderate_risk(适度冒险):
moderate_glare_volatility_avg(月均耀眼波动率):
因子下载及完整因子表现见星球。
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