EchoQuant现有因子表

EchoQuant现有因子表，多因子回测功能开发中

因子明细

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

因子属性说明

每个因子都带有frequency属性用于描述因子所需数据颗粒度，具体如下表所示:

项目 说明
daily 日线
minutes 分钟线，多为1分钟数据
mix 日线+分钟线数据