claude_dev
d1d9dd50ff
- fundamental_library: 32因子(盈利7/质量7/成长6/估值4/资本4/预期4),全名单注释在档 - 因子=cs_rank(基础指标),负IC因子取负统一高=好;估值族市值=close×share_capital自算 - 契约测试锁定: 表达式裸标识符⊆adapter特征列∪close(防拼写漏加列)/cs_rank一层/ 负向因子翻转/幂等注册 [nas] Co-Authored-By: Claude Code <noreply@anthropic.com>
81 lines
4.3 KiB
Python
81 lines
4.3 KiB
Python
"""财务因子批 P0 表达式库: 32 个因子注册(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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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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for name, expression, _doc_id, _ic in FUNDAMENTAL_FACTORS:
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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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