feat(factor): v2b权重档案all18-v2b-v1——12量价源v2a原权不动+6市值中性化财务源新拟合权(h1月度IC,无cap无zero),组间50/50对齐v1.1组结构;批1证据=中性化无一源恶化+NSI h2 5d IC+78% [nas]

2026-09-11 09:08:23 +08:00
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+{
+  "profile_id": "all18-v2b-v1",
+  "name": "all18 v2b 财务市值中性化+双组加权",
+  "method": "icir_fit_neutralized",
+  "fit_window": {
+    "start": "2018-01",
+    "end": "2021-06",
+    "note": "quant 12 源权重=quant12-icirfit-v1 原值不动(组内相对结构保持); fund_neu 6 源=fund-p2-neu-h1 批月度IC拟合(市值中性化后战绩); 组间 50/50(对齐 v1.1 all18 等权组结构,v2b vs v1.1 差异=组内权重+中性化); horizon=5d; 方向=v1.1 已定不重选"
+  },
+  "constraints": {
+    "non_negative": true,
+    "cap_2x_mean": "组内",
+    "zeroed": [],
+    "capped": []
+  },
+  "neutralization": {
+    "variable": "close*share_capital(总市值)",
+    "reason": "2021后微盘风格代理稀释; BP不进变量(fund_bp自回归恒零+BP为quant外增量信息)",
+    "batch_evidence": "fund-p2-neu h1/h2: 无一源恶化, NSI h2 5d IC +78%"
+  },
+  "sources": {
+    "vma_60": {
+      "direction": "+",
+      "weight": 0.047686,
+      "v2a_weight": 0.095372
+    },
+    "alpha16": {
+      "direction": "+",
+      "weight": 0.071765,
+      "v2a_weight": 0.143531
+    },
+    "alpha83": {
+      "direction": "+",
+      "weight": 0.051235,
+      "v2a_weight": 0.10247
+    },
+    "alpha12": {
+      "direction": "+",
+      "weight": 0.059617,
+      "v2a_weight": 0.119235
+    },
+    "alpha2": {
+      "direction": "+",
+      "weight": 0.039906,
+      "v2a_weight": 0.079812
+    },
+    "alpha42": {
+      "direction": "+",
+      "weight": 0.016915,
+      "v2a_weight": 0.03383
+    },
+    "vol_ma5": {
+      "direction": "-",
+      "weight": 0.03607,
+      "v2a_weight": 0.07214
+    },
+    "wvma_20": {
+      "direction": "-",
+      "weight": 0.033263,
+      "v2a_weight": 0.066525
+    },
+    "klow": {
+      "direction": "-",
+      "weight": 0.045555,
+      "v2a_weight": 0.09111
+    },
+    "cord_5": {
+      "direction": "-",
+      "weight": 0.043821,
+      "v2a_weight": 0.087642
+    },
+    "kup": {
+      "direction": "-",
+      "weight": 0.021687,
+      "v2a_weight": 0.043373
+    },
+    "alpha81": {
+      "direction": "-",
+      "weight": 0.03248,
+      "v2a_weight": 0.06496
+    },
+    "fund_bp_neu": {
+      "direction": "+",
+      "weight": 0.072888,
+      "fit_icir": 0.4152
+    },
+    "fund_nsi_neu": {
+      "direction": "+",
+      "weight": 0.032477,
+      "fit_icir": 0.185
+    },
+    "fund_gp_over_m_neu": {
+      "direction": "+",
+      "weight": 0.108156,
+      "fit_icir": 0.6161
+    },
+    "fund_gdhs_chg_neu": {
+      "direction": "+",
+      "weight": 0.083193,
+      "fit_icir": 0.4739
+    },
+    "fund_growth_scissors_neu": {
+      "direction": "+",
+      "weight": 0.1087,
+      "fit_icir": 0.6192
+    },
+    "fund_sue_np_neu": {
+      "direction": "+",
+      "weight": 0.094586,
+      "fit_icir": 0.5388
+    }
+  },
+  "overrides": [],
+  "created": "2026-09-11",
+  "baseline": {
+    "all18_v11_h2_5d": 0.647,
+    "quant12_v2a_h2_5d": 0.842
+  }
+}