"""财务因子批表达式库: P0 32 + P1 37 + P1-B 6 注册(category="fundamental"). 选型来源 docs/fundamental_factor_survey_20260907.md(§3 候选池 96 个 + §4.1 去重), 首批 32 = P0 50 个按族去重后的主代表;全部「因子 = cs_rank(基础指标)」一层截面, 负 IC 因子表达式取负(统一高=好,与量价批 IC 口径一致;原始方向见下表)。 基础指标列由 fundamental_adapter.build_fundamental_features 产出并 join 到 alpha_df;估值族市值 = close × share_capital 自算(三表股本,规避 valuation 中文列名表,PIT 口径与报表一致)。 P0 32 因子名单(编号=调研文档 §3): A 盈利能力(7): A01 ROE / A02 扣非ROE / A04 ROA / A05 GP/A(族主代表) / A06 毛利率 / A07 净利率 / A13 CFO/TA B 盈利质量(7): B01 TACC(Sloan,族核心) / B04 非经常占比 / B05 减值冲击 / B07 投资收益依赖 / B08 应收异常 / B10 销售收现率 / B11 其他应收占比 C 成长(6): C01 营收单季同比 / C02 净利单季同比 / C09 增速剪刀差 / C10 ΔGM(副代表) / C12 ΔROE / C15 资产增速(投资-融资群代表) D 估值(4): D01 EP_TTM / D03 扣非EP(A股特色) / D04 BP / D06 CP(CNE5 CETOP) E 资本结构/行为(4): E01 NSI 净股票发行 / E02 股权融资强度 / E05 有息负债率 / E09 商誉占比 F 预期事件(4): F01 SUE(净利,Foster) / F02 SUE(营收) / F04 预告类型分 / F05 预告幅度 同族被裁变体(A03/A08/A09/A10/A12/B02/B06/C03/C04/C05/C06/D02/D05/E04 等) 在 P1 或互证后再议,见文档 §4。 """ from .registry import register_factor, _REGISTRY # (name, expression, 文档编号, 原始 IC 方向) FUNDAMENTAL_FACTORS: list[tuple[str, str, str, str]] = [ # ---- A 盈利能力(7) ---- ("fund_roe_ttm", "cs_rank(roe_ttm)", "A01", "+"), ("fund_roe_deduct_ttm", "cs_rank(roe_deduct_ttm)", "A02", "+"), ("fund_roa_ttm", "cs_rank(roa_ttm)", "A04", "+"), ("fund_gp_over_assets", "cs_rank(gp_over_assets)", "A05", "+"), ("fund_gross_margin", "cs_rank(gross_margin)", "A06", "+"), ("fund_net_margin", "cs_rank(net_margin)", "A07", "+"), ("fund_cfo_over_assets", "cs_rank(cfo_over_assets)", "A13", "+"), # ---- B 盈利质量(7) ---- ("fund_tacc", "cs_rank(-tacc)", "B01", "-"), ("fund_nonrec_ratio", "cs_rank(-nonrec_ratio)", "B04", "-"), ("fund_impairment_ratio", "cs_rank(-impairment_ratio)", "B05", "-"), ("fund_invest_income_dep", "cs_rank(-invest_income_dep)", "B07", "-"), ("fund_receivables_anomaly", "cs_rank(-receivables_anomaly)", "B08", "-"), ("fund_sales_cash_ratio", "cs_rank(sales_cash_ratio)", "B10", "+"), ("fund_other_rece_ratio", "cs_rank(-other_rece_ratio)", "B11", "-"), # ---- C 成长(6) ---- ("fund_rev_q_yoy", "cs_rank(rev_q_yoy)", "C01", "+"), ("fund_np_q_yoy", "cs_rank(np_q_yoy)", "C02", "+"), ("fund_growth_scissors", "cs_rank(growth_scissors)", "C09", "+"), ("fund_gm_delta", "cs_rank(gm_delta)", "C10", "+"), ("fund_roe_delta", "cs_rank(roe_delta)", "C12", "+"), ("fund_asset_growth", "cs_rank(-asset_growth)", "C15", "-"), # ---- D 估值(4) ---- ("fund_ep_ttm", "cs_rank(np_ttm / (close * share_capital))", "D01", "+"), ("fund_ep_deduct_ttm", "cs_rank(dnp_ttm / (close * share_capital))", "D03", "+"), ("fund_bp", "cs_rank(equity / (close * share_capital))", "D04", "+"), ("fund_cp", "cs_rank(cfo_ttm / (close * share_capital))", "D06", "+"), # ---- E 资本结构/行为(4) ---- ("fund_nsi", "cs_rank(-nsi)", "E01", "-"), ("fund_equity_fin_intensity", "cs_rank(-(acc_invest_cash_ttm / (close * share_capital)))", "E02", "-"), ("fund_ibd_ratio", "cs_rank(-ibd_ratio)", "E05", "-"), ("fund_goodwill_ratio", "cs_rank(-goodwill_ratio)", "E09", "-"), # ---- F 预期事件(4) ---- ("fund_sue_np", "cs_rank(sue_np)", "F01", "+"), ("fund_sue_rev", "cs_rank(sue_rev)", "F02", "+"), ("fund_forecast_type", "cs_rank(forecast_type_score)", "F04", "+"), ("fund_forecast_change", "cs_rank(forecast_change_pct)", "F05", "+"), ] # P1 批第二批(35 因子 + 2 互评变体;编号 = 调研文档 §3,IC 列为文档预期原始方向, # 负 IC 表达式取负统一「高=好」;IC「不定」按正向注册待实证)。 # 口径登记: EBIT=TP+利息费用(未披露按 0) / DA=四件折旧摊销 / τ 截断[0,0.5]缺 0.25 / # IBD 含 LEASE_LIAB / VSIG 16 季 sample std / B12 为哑变量连续近似乘积 / # F07 锚 = max(披露日, 预告公告日)——详见 fundamental_adapter 注释。 FUNDAMENTAL_P1_FACTORS: list[tuple[str, str, str, str]] = [ # ---- A 盈利能力 P1(7) ---- ("fund_roe_avg", "cs_rank(roe_avg)", "A03", "+"), ("fund_roa_pretax", "cs_rank(roa_pretax)", "A09", "+"), ("fund_ebit_over_assets", "cs_rank(ebit_over_assets)", "A10", "+"), ("fund_ebitda_margin", "cs_rank(ebitda_margin)", "A11", "+"), ("fund_roic", "cs_rank(roic)", "A12", "+"), ("fund_rd_intensity", "cs_rank(rd_intensity)", "A15", "不定"), ("fund_sale_expense_ratio", "cs_rank(-sale_expense_ratio)", "A16", "-(弱)"), # ---- B 盈利质量 P1(8) ---- ("fund_inventory_anomaly", "cs_rank(-inventory_anomaly)", "B09", "-(弱)"), ("fund_cash_ibd_double", "cs_rank(-cash_ibd_product)", "B12", "-"), ("fund_vsig", "cs_rank(-vsig)", "B13", "-"), ("fund_vsig_acc", "cs_rank(-vsig_acc)", "B14", "-"), ("fund_vsig_cfo", "cs_rank(-vsig_cfo)", "B15", "-"), ("fund_da_intensity", "cs_rank(da_intensity)", "B16", "不定"), ("fund_gm_nm_scissors", "cs_rank(-gm_nm_scissors)", "B18", "-(弱)"), ("fund_profit_streak", "cs_rank(profit_streak)", "B19", "+"), # ---- C 成长 P1(8) ---- ("fund_np_accel", "cs_rank(np_accel)", "C07", "+"), ("fund_rev_accel", "cs_rank(rev_accel)", "C08", "+"), ("fund_nm_delta", "cs_rank(nm_delta)", "C11", "+"), ("fund_rev_cagr5", "cs_rank(rev_cagr5)", "C13", "+"), ("fund_np_cagr5", "cs_rank(np_cagr5)", "C14", "+"), ("fund_nwc_growth", "cs_rank(-nwc_growth)", "C16", "-"), ("fund_invest_growth", "cs_rank(-invest_growth)", "C18", "-"), ("fund_equity_growth", "cs_rank(equity_growth)", "C19", "不定"), # ---- D 估值 P1(6;EV = close×share_capital + ev_ex_mv(=IBD−MON)) ---- ("fund_ebit_over_ev", "cs_rank(ebit_ttm / (close * share_capital + ev_ex_mv))", "D07", "+"), ("fund_ebitda_over_ev", "cs_rank(ebitda_ttm / (close * share_capital + ev_ex_mv))", "D08", "+"), ("fund_gp_over_m", "cs_rank(gp_ttm / (close * share_capital))", "D09", "+"), # D12 非 alpha: 中性化控制变量(§3.4——财务估值因子上线必配 size 中性化) ("fund_ln_mv", "cs_rank(log(close * share_capital))", "D12", "控制变量"), ("fund_forward_ep", "cs_rank(forecast_np_annualized / (close * share_capital))", "D13", "+"), ("fund_fcf_over_ev", "cs_rank(fcf_ttm / (close * share_capital + ev_ex_mv))", "D15", "+"), # ---- E 资本结构与行为 P1(3) ---- ("fund_debt_issue", "cs_rank(-(debt_issue_ttm / (close * share_capital)))", "E03", "-"), ("fund_interest_cover", "cs_rank(interest_cover)", "E07", "+"), ("fund_goodwill_growth", "cs_rank(-goodwill_growth)", "E10", "-(弱)"), # ---- F 预期事件 P1(3) ---- ("fund_sue_eps", "cs_rank(sue_eps)", "F03", "+"), ("fund_disclosure_speed", "cs_rank(disclosure_speed)", "F06", "早=+"), ("fund_forecast_beat", "cs_rank(forecast_beat)", "F07", "高兑现=+"), # ---- 互评变体(2) ---- # SUE 严窗: σ 只用 t−1 及更早差分(不含当期),与 F01 对照 ("fund_sue_np_strict", "cs_rank(sue_np_strict)", "F01v", "+"), # 资产增长负向对照: 原始方向(Cooper 2008 学术预期负 IC),与 C15 取负版互证 ("fund_asset_growth_neg", "cs_rank(asset_growth)", "C15v", "学术负IC对照"), ] # P1-B 批(四新域 6 注册 = 5 因子,D14 EP/BP 双注册;编号 = 调研文档 §3)。 # 口径登记: E08 CCC 三表自算(均值=t 与 t−4 期末平均,COGS=OPERATE_COST TTM, # 金融股置 NaN)/ E11 365 天滚动窗开区间下界,PIT 回退链 # dividPlanAnnounceDate→PreNotice→AgmPum→Plan / E12 相邻事件 Δln(公告日 asof, # 不用「增减比例」列)/ E13 法定披露截止 PIT(Q1→04-30/H1→08-31/Q3→10-31/ # 年报→次年04-30) / D14 vb 长史(1990 起含退市,2026 缺口 ak 补)分域验证用 # ——详见 fundamental_adapter 注释。 FUNDAMENTAL_P1B_FACTORS: list[tuple[str, str, str, str]] = [ # ---- E 资本结构/行为 P1-B(4) ---- ("fund_ccc", "cs_rank(-ccc)", "E08", "-(弱)"), # E11 方向不定(公告前+/除权后−混合)→ 正向注册,由 IC 实测定去留 ("fund_send_total_12m", "cs_rank(send_total_12m)", "E11", "不定"), ("fund_gdhs_chg", "cs_rank(-gdhs_chg)", "E12", "-"), ("fund_topholder_chg", "cs_rank(topholder_chg)", "E13", "+"), # ---- D 估值 P1-B(D14 双注册;vb 域长史分域验证,2017 前后须分域报 IC) ---- ("fund_ep_vb", "cs_rank(ep_vb)", "D14", "+"), ("fund_bp_vb", "cs_rank(bp_vb)", "D14", "+"), ] def _register_all() -> None: """注册全部财务因子(已存在同名跳过,幂等;同 library.py 模式).""" batches = [*FUNDAMENTAL_FACTORS, *FUNDAMENTAL_P1_FACTORS, *FUNDAMENTAL_P1B_FACTORS] for name, expression, _doc_id, _ic in batches: if name not in _REGISTRY: register_factor(name, expression, category="fundamental") # 模块导入时自动注册(与 library.py/alpha_datasets.py 同一模式) _register_all()