claude_dev
66619c17d8
fund_ccc(-)/fund_send_total_12m(不定正向注册待实证)/fund_gdhs_chg(-)/ fund_topholder_chg(+)/fund_ep_vb(+)/fund_bp_vb(+);注册总数 69→75 (P0 32+P1 37+P1-B 6,既有计数契约同步更新);batch e2e 锁死 vb+dividend 域级引用瘦身 join 路径。
156 lines
9.3 KiB
Python
156 lines
9.3 KiB
Python
"""财务因子批表达式库: P0 32 + P1 37 + P1-B 6 注册(category="fundamental").
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选型来源 docs/fundamental_factor_survey_20260907.md(§3 候选池 96 个 + §4.1 去重),
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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,
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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)。
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基础指标列由 fundamental_adapter.build_fundamental_features 产出并 join 到
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alpha_df;估值族市值 = close × share_capital 自算(三表股本,规避 valuation
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中文列名表,PIT 口径与报表一致)。
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P0 32 因子名单(编号=调研文档 §3):
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A 盈利能力(7): A01 ROE / A02 扣非ROE / A04 ROA / A05 GP/A(族主代表) /
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A06 毛利率 / A07 净利率 / A13 CFO/TA
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B 盈利质量(7): B01 TACC(Sloan,族核心) / B04 非经常占比 / B05 减值冲击 /
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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
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C 成长(6): C01 营收单季同比 / C02 净利单季同比 / C09 增速剪刀差 /
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C10 ΔGM(副代表) / C12 ΔROE / C15 资产增速(投资-融资群代表)
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D 估值(4): D01 EP_TTM / D03 扣非EP(A股特色) / D04 BP / D06 CP(CNE5 CETOP)
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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 /
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E09 商誉占比
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F 预期事件(4): F01 SUE(净利,Foster) / F02 SUE(营收) / F04 预告类型分 /
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F05 预告幅度
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同族被裁变体(A03/A08/A09/A10/A12/B02/B06/C03/C04/C05/C06/D02/D05/E04 等)
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在 P1 或互证后再议,见文档 §4。
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"""
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from .registry import register_factor, _REGISTRY
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# (name, expression, 文档编号, 原始 IC 方向)
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FUNDAMENTAL_FACTORS: list[tuple[str, str, str, str]] = [
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# ---- A 盈利能力(7) ----
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("fund_roe_ttm", "cs_rank(roe_ttm)", "A01", "+"),
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("fund_roe_deduct_ttm", "cs_rank(roe_deduct_ttm)", "A02", "+"),
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("fund_roa_ttm", "cs_rank(roa_ttm)", "A04", "+"),
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("fund_gp_over_assets", "cs_rank(gp_over_assets)", "A05", "+"),
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("fund_gross_margin", "cs_rank(gross_margin)", "A06", "+"),
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("fund_net_margin", "cs_rank(net_margin)", "A07", "+"),
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("fund_cfo_over_assets", "cs_rank(cfo_over_assets)", "A13", "+"),
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# ---- B 盈利质量(7) ----
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("fund_tacc", "cs_rank(-tacc)", "B01", "-"),
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("fund_nonrec_ratio", "cs_rank(-nonrec_ratio)", "B04", "-"),
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("fund_impairment_ratio", "cs_rank(-impairment_ratio)", "B05", "-"),
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("fund_invest_income_dep", "cs_rank(-invest_income_dep)", "B07", "-"),
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("fund_receivables_anomaly", "cs_rank(-receivables_anomaly)", "B08", "-"),
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("fund_sales_cash_ratio", "cs_rank(sales_cash_ratio)", "B10", "+"),
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("fund_other_rece_ratio", "cs_rank(-other_rece_ratio)", "B11", "-"),
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# ---- C 成长(6) ----
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("fund_rev_q_yoy", "cs_rank(rev_q_yoy)", "C01", "+"),
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("fund_np_q_yoy", "cs_rank(np_q_yoy)", "C02", "+"),
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("fund_growth_scissors", "cs_rank(growth_scissors)", "C09", "+"),
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("fund_gm_delta", "cs_rank(gm_delta)", "C10", "+"),
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("fund_roe_delta", "cs_rank(roe_delta)", "C12", "+"),
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("fund_asset_growth", "cs_rank(-asset_growth)", "C15", "-"),
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# ---- D 估值(4) ----
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("fund_ep_ttm", "cs_rank(np_ttm / (close * share_capital))", "D01", "+"),
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("fund_ep_deduct_ttm", "cs_rank(dnp_ttm / (close * share_capital))", "D03", "+"),
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("fund_bp", "cs_rank(equity / (close * share_capital))", "D04", "+"),
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("fund_cp", "cs_rank(cfo_ttm / (close * share_capital))", "D06", "+"),
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# ---- E 资本结构/行为(4) ----
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("fund_nsi", "cs_rank(-nsi)", "E01", "-"),
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("fund_equity_fin_intensity",
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"cs_rank(-(acc_invest_cash_ttm / (close * share_capital)))", "E02", "-"),
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("fund_ibd_ratio", "cs_rank(-ibd_ratio)", "E05", "-"),
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("fund_goodwill_ratio", "cs_rank(-goodwill_ratio)", "E09", "-"),
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# ---- F 预期事件(4) ----
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("fund_sue_np", "cs_rank(sue_np)", "F01", "+"),
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("fund_sue_rev", "cs_rank(sue_rev)", "F02", "+"),
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("fund_forecast_type", "cs_rank(forecast_type_score)", "F04", "+"),
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("fund_forecast_change", "cs_rank(forecast_change_pct)", "F05", "+"),
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]
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# 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,
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# 负 IC 表达式取负统一「高=好」;IC「不定」按正向注册待实证)。
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# 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 /
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# IBD 含 LEASE_LIAB / VSIG 16 季 sample std / B12 为哑变量连续近似乘积 /
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# F07 锚 = max(披露日, 预告公告日)——详见 fundamental_adapter 注释。
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FUNDAMENTAL_P1_FACTORS: list[tuple[str, str, str, str]] = [
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# ---- A 盈利能力 P1(7) ----
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("fund_roe_avg", "cs_rank(roe_avg)", "A03", "+"),
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("fund_roa_pretax", "cs_rank(roa_pretax)", "A09", "+"),
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("fund_ebit_over_assets", "cs_rank(ebit_over_assets)", "A10", "+"),
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("fund_ebitda_margin", "cs_rank(ebitda_margin)", "A11", "+"),
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("fund_roic", "cs_rank(roic)", "A12", "+"),
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("fund_rd_intensity", "cs_rank(rd_intensity)", "A15", "不定"),
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("fund_sale_expense_ratio", "cs_rank(-sale_expense_ratio)", "A16", "-(弱)"),
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# ---- B 盈利质量 P1(8) ----
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("fund_inventory_anomaly", "cs_rank(-inventory_anomaly)", "B09", "-(弱)"),
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("fund_cash_ibd_double", "cs_rank(-cash_ibd_product)", "B12", "-"),
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("fund_vsig", "cs_rank(-vsig)", "B13", "-"),
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("fund_vsig_acc", "cs_rank(-vsig_acc)", "B14", "-"),
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("fund_vsig_cfo", "cs_rank(-vsig_cfo)", "B15", "-"),
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("fund_da_intensity", "cs_rank(da_intensity)", "B16", "不定"),
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("fund_gm_nm_scissors", "cs_rank(-gm_nm_scissors)", "B18", "-(弱)"),
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("fund_profit_streak", "cs_rank(profit_streak)", "B19", "+"),
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# ---- C 成长 P1(8) ----
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("fund_np_accel", "cs_rank(np_accel)", "C07", "+"),
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("fund_rev_accel", "cs_rank(rev_accel)", "C08", "+"),
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("fund_nm_delta", "cs_rank(nm_delta)", "C11", "+"),
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("fund_rev_cagr5", "cs_rank(rev_cagr5)", "C13", "+"),
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("fund_np_cagr5", "cs_rank(np_cagr5)", "C14", "+"),
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("fund_nwc_growth", "cs_rank(-nwc_growth)", "C16", "-"),
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("fund_invest_growth", "cs_rank(-invest_growth)", "C18", "-"),
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("fund_equity_growth", "cs_rank(equity_growth)", "C19", "不定"),
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# ---- D 估值 P1(6;EV = close×share_capital + ev_ex_mv(=IBD−MON)) ----
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("fund_ebit_over_ev", "cs_rank(ebit_ttm / (close * share_capital + ev_ex_mv))", "D07", "+"),
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("fund_ebitda_over_ev", "cs_rank(ebitda_ttm / (close * share_capital + ev_ex_mv))", "D08", "+"),
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("fund_gp_over_m", "cs_rank(gp_ttm / (close * share_capital))", "D09", "+"),
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# 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)
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("fund_ln_mv", "cs_rank(log(close * share_capital))", "D12", "控制变量"),
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("fund_forward_ep", "cs_rank(forecast_np_annualized / (close * share_capital))", "D13", "+"),
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("fund_fcf_over_ev", "cs_rank(fcf_ttm / (close * share_capital + ev_ex_mv))", "D15", "+"),
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# ---- E 资本结构与行为 P1(3) ----
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("fund_debt_issue", "cs_rank(-(debt_issue_ttm / (close * share_capital)))", "E03", "-"),
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("fund_interest_cover", "cs_rank(interest_cover)", "E07", "+"),
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("fund_goodwill_growth", "cs_rank(-goodwill_growth)", "E10", "-(弱)"),
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# ---- F 预期事件 P1(3) ----
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("fund_sue_eps", "cs_rank(sue_eps)", "F03", "+"),
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("fund_disclosure_speed", "cs_rank(disclosure_speed)", "F06", "早=+"),
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("fund_forecast_beat", "cs_rank(forecast_beat)", "F07", "高兑现=+"),
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# ---- 互评变体(2) ----
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# SUE 严窗: σ 只用 t−1 及更早差分(不含当期),与 F01 对照
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("fund_sue_np_strict", "cs_rank(sue_np_strict)", "F01v", "+"),
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# 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
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("fund_asset_growth_neg", "cs_rank(asset_growth)", "C15v", "学术负IC对照"),
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]
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# 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)。
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# 口径登记: E08 CCC 三表自算(均值=t 与 t−4 期末平均,COGS=OPERATE_COST TTM,
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# 金融股置 NaN)/ E11 365 天滚动窗开区间下界,PIT 回退链
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# dividPlanAnnounceDate→PreNotice→AgmPum→Plan / E12 相邻事件 Δln(公告日 asof,
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# 不用「增减比例」列)/ E13 法定披露截止 PIT(Q1→04-30/H1→08-31/Q3→10-31/
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# 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
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# ——详见 fundamental_adapter 注释。
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FUNDAMENTAL_P1B_FACTORS: list[tuple[str, str, str, str]] = [
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# ---- E 资本结构/行为 P1-B(4) ----
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("fund_ccc", "cs_rank(-ccc)", "E08", "-(弱)"),
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# E11 方向不定(公告前+/除权后−混合)→ 正向注册,由 IC 实测定去留
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("fund_send_total_12m", "cs_rank(send_total_12m)", "E11", "不定"),
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("fund_gdhs_chg", "cs_rank(-gdhs_chg)", "E12", "-"),
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("fund_topholder_chg", "cs_rank(topholder_chg)", "E13", "+"),
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# ---- 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) ----
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("fund_ep_vb", "cs_rank(ep_vb)", "D14", "+"),
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("fund_bp_vb", "cs_rank(bp_vb)", "D14", "+"),
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]
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def _register_all() -> None:
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"""注册全部财务因子(已存在同名跳过,幂等;同 library.py 模式)."""
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batches = [*FUNDAMENTAL_FACTORS, *FUNDAMENTAL_P1_FACTORS, *FUNDAMENTAL_P1B_FACTORS]
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for name, expression, _doc_id, _ic in batches:
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if name not in _REGISTRY:
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register_factor(name, expression, category="fundamental")
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# 模块导入时自动注册(与 library.py/alpha_datasets.py 同一模式)
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_register_all()
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