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"expressed_cancel_1min_1262_cgh", + "expressed_cancel_1min_1263_cgh", + "expressed_cancel_1min_1286_cgh", + "expressed_cancel_1min_1361_cgh", + "expressed_cancel_1min_1369_cgh", + "expressed_cancel_1min_1372_cgh", + "expressed_cancel_1min_1378_cgh", + "expressed_cancel_1min_1380_cgh", + "expressed_cancel_1min_1381_cgh", + "expressed_cancel_1min_1394_cgh", + "expressed_cancel_1min_1396_cgh", + "expressed_orders_1min_0021_cgh", + "expressed_orders_1min_0022_cgh", + "expressed_orders_1min_0029_cgh", + "expressed_orders_1min_0034_cgh", + "expressed_orders_1min_0068_cgh", + "expressed_orders_1min_0069_cgh", + "expressed_orders_1min_0083_cgh", + "expressed_orders_1min_0086_cgh", + "expressed_orders_1min_0087_cgh", + "expressed_orders_1min_0097_cgh", + "expressed_orders_1min_0101_cgh", + "expressed_orders_1min_0102_cgh", + "expressed_orders_1min_0108_cgh", + "expressed_orders_1min_0110_cgh", + "expressed_orders_1min_0113_cgh2", + "expressed_orders_1min_0186_cgh", + "expressed_orders_1min_0189_cgh2", + "expressed_orders_1min_0195_cgh", + "expressed_orders_1min_0200_cgh", + "expressed_orders_1min_0200_cgh2", + "expressed_orders_1min_0204_cgh", + "expressed_orders_1min_0248_cgh", + "expressed_orders_1min_0317_cgh", + "expressed_orders_1min_0323_cgh", + "expressed_orders_1min_0337_cgh", + "expressed_orders_1min_0341_cgh", + "expressed_orders_1min_0345_cgh", + "expressed_orders_1min_0368_cgh", + "expressed_orders_1min_0368_cgh2", + "expressed_orders_1min_0383_cgh", + "expressed_orders_1min_0383_cgh2", + "expressed_orders_1min_0416_cgh", + "expressed_orders_1min_0420_cgh2", + "expressed_orders_1min_0421_cgh", + "expressed_orders_1min_0424_cgh", + "expressed_orders_1min_0433_cgh", + "expressed_orders_1min_0435_cgh", + "expressed_orders_1min_0437_cgh2", + "expressed_orders_1min_0442_cgh", + "expressed_orders_1min_0450_cgh", + "expressed_orders_1min_0453_cgh", + "expressed_orders_1min_0472_cgh", + "expressed_orders_1min_0473_cgh", + "expressed_orders_1min_0478_cgh", + "expressed_orders_1min_0479_cgh", + "expressed_orders_1min_0480_cgh", + "expressed_orders_1min_0490_cgh2", + "expressed_orders_1min_0492_cgh", + "expressed_orders_1min_0498_cgh", + "expressed_orders_1min_0501_cgh", + "expressed_orders_1min_0502_cgh", + "expressed_orders_1min_0512_cgh", + "expressed_orders_1min_0525_cgh", + "expressed_orders_1min_0542_cgh", + "expressed_orders_1min_0544_cgh", + "expressed_orders_1min_0552_cgh", + "expressed_orders_1min_0559_cgh", + "expressed_orders_1min_0560_cgh", + "expressed_orders_1min_0560_cgh2", + "expressed_orders_1min_0561_cgh2", + "expressed_orders_1min_0590_cgh", + "expressed_orders_1min_0597_cgh", + "expressed_orders_1min_0605_cgh", + "expressed_orders_1min_0610_cgh", + "expressed_orders_1min_0623_cgh", + "expressed_orders_1min_0624_cgh", + "expressed_orders_1min_0626_cgh", + "expressed_orders_1min_0628_cgh", + "expressed_orders_1min_0639_cgh", + "expressed_orders_1min_0654_cgh", + "expressed_orders_1min_0675_cgh", + "expressed_orders_1min_0677_cgh", + "expressed_orders_1min_0689_cgh", + "expressed_orders_1min_0690_cgh", + "expressed_orders_1min_0698_cgh", + "expressed_orders_1min_0770_cgh", + "expressed_orders_1min_0771_cgh", + "expressed_orders_1min_0776_cgh", + "expressed_orders_1min_0780_cgh", + "expressed_orders_1min_0782_cgh", + "expressed_orders_1min_0803_cgh2", + "expressed_orders_1min_0811_cgh", + "expressed_orders_1min_0813_cgh", + "expressed_orders_1min_0819_cgh", + "expressed_orders_1min_0822_cgh", + "expressed_orders_1min_0841_cgh", + "expressed_orders_1min_0875_cgh", + "expressed_orders_1min_0879_cgh", + "expressed_orders_1min_0881_cgh", + "expressed_orders_1min_0909_cgh", + "expressed_orders_1min_0910_cgh", + "expressed_orders_1min_0976_cgh", + "expressed_orders_1min_1002_cgh", + "expressed_orders_1min_1018_cgh", + "expressed_orders_1min_1022_cgh", + "expressed_orders_1min_1022_cgh2", + "expressed_orders_1min_1023_cgh", + "expressed_orders_1min_1028_cgh", + "expressed_orders_1min_1076_cgh", + "expressed_orders_1min_1080_cgh", + "expressed_orders_1min_1095_cgh", + "expressed_orders_1min_1121_cgh2", + "expressed_orders_1min_1129_cgh2", + "expressed_orders_1min_1183_cgh", + "expressed_orders_1min_1205_cgh", + "expressed_orders_1min_1212_cgh", + "expressed_orders_1min_1243_cgh", + "expressed_trades_1min_1406_cgh2", + "expressed_trades_1min_1444_cgh", + "expressed_trades_1min_1618_cgh2", + "manual_orders_1min_004_cghi2", + "manual_orders_1min_006_cghi", + "manual_orders_1min_007_cghi", + "manual_orders_1min_007_cghi2", + "manual_orders_1min_012_cghi", + "manual_orders_1min_013_cghi", + "manual_orders_1min_014_cghi", + "manual_orders_1min_014_cghi2", + "manual_orders_1min_015_cghi", + "manual_orders_1min_016_cghi", + "factor_beta", + "factor_momentum", + "factor_size", + "factor_earnyild", + "factor_resvol", + "factor_growth", + "factor_btop", + "factor_leverage", + "factor_liquidty", + "factor_midcap", + "factor_price_1", + "factor_price_2", + "factor_liquidty_2", + "factor_resvol_2", + "factor_amtvol_2" + ], + "rank_features": [ + "capital_flow_buy_value", + "capital_flow_sell_value", + "turn" + ], + "missing_indicator_features": [ + "expressed_cancel_1min_0194_cgh", + "expressed_cancel_1min_0750_cgh", + "expressed_orders_1min_0113_cgh2", + "expressed_orders_1min_0317_cgh", + "expressed_orders_1min_0416_cgh", + "expressed_trades_1min_1618_cgh2" + ], + "excluded_features": { + "expressed_cancel_1min_0615_cgh": "exact duplicate of expressed_cancel_1min_0375_cgh", + "expressed_cancel_1min_0774_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0775_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0776_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0778_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "ev": "rank correlation about 0.987 with the selected factor_size exposure" + } + }, + "feature_columns": [ + "expressed_cancel_1min_0008_cgh__raw", + "expressed_cancel_1min_0012_cgh__raw", + "expressed_cancel_1min_0014_cgh__raw", + "expressed_cancel_1min_0017_cgh__raw", + "expressed_cancel_1min_0018_cgh__raw", + "expressed_cancel_1min_0022_cgh__raw", + "expressed_cancel_1min_0027_cgh__raw", + "expressed_cancel_1min_0030_cgh__raw", + "expressed_cancel_1min_0032_cgh__raw", + "expressed_cancel_1min_0054_cgh__raw", + "expressed_cancel_1min_0054_cgh2__raw", + "expressed_cancel_1min_0064_cgh__raw", + "expressed_cancel_1min_0079_cgh__raw", + "expressed_cancel_1min_0080_cgh__raw", + "expressed_cancel_1min_0086_cgh__raw", + "expressed_cancel_1min_0087_cgh__raw", + "expressed_cancel_1min_0098_cgh__raw", + "expressed_cancel_1min_0113_cgh__raw", + "expressed_cancel_1min_0114_cgh__raw", + "expressed_cancel_1min_0115_cgh__raw", + "expressed_cancel_1min_0116_cgh__raw", + "expressed_cancel_1min_0123_cgh__raw", + "expressed_cancel_1min_0151_cgh__raw", + "expressed_cancel_1min_0158_cgh__raw", + "expressed_cancel_1min_0166_cgh__raw", + "expressed_cancel_1min_0169_cgh__raw", + "expressed_cancel_1min_0176_cgh__raw", + "expressed_cancel_1min_0181_cgh__raw", + "expressed_cancel_1min_0184_cgh__raw", + "expressed_cancel_1min_0185_cgh__raw", + "expressed_cancel_1min_0186_cgh__raw", + "expressed_cancel_1min_0187_cgh__raw", + "expressed_cancel_1min_0188_cgh__raw", + "expressed_cancel_1min_0193_cgh__raw", + "expressed_cancel_1min_0194_cgh__raw", + "expressed_cancel_1min_0194_cgh__missing", + "expressed_cancel_1min_0205_cgh__raw", + "expressed_cancel_1min_0227_cgh__raw", + "expressed_cancel_1min_0228_cgh__raw", + "expressed_cancel_1min_0230_cgh__raw", + "expressed_cancel_1min_0232_cgh__raw", + "expressed_cancel_1min_0270_cgh__raw", + "expressed_cancel_1min_0283_cgh2__raw", + "expressed_cancel_1min_0290_cgh__raw", + "expressed_cancel_1min_0292_cgh2__raw", + "expressed_cancel_1min_0304_cgh__raw", + "expressed_cancel_1min_0305_cgh__raw", + "expressed_cancel_1min_0308_cgh__raw", + "expressed_cancel_1min_0316_cgh__raw", + "expressed_cancel_1min_0317_cgh__raw", + "expressed_cancel_1min_0321_cgh__raw", + "expressed_cancel_1min_0323_cgh__raw", + "expressed_cancel_1min_0325_cgh__raw", + "expressed_cancel_1min_0341_cgh__raw", + "expressed_cancel_1min_0358_cgh__raw", + "expressed_cancel_1min_0374_cgh__raw", + "expressed_cancel_1min_0375_cgh__raw", + "expressed_cancel_1min_0401_cgh__raw", + "expressed_cancel_1min_0406_cgh__raw", + "expressed_cancel_1min_0407_cgh__raw", + "expressed_cancel_1min_0410_cgh__raw", + "expressed_cancel_1min_0463_cgh__raw", + "expressed_cancel_1min_0464_cgh__raw", + "expressed_cancel_1min_0465_cgh__raw", + "expressed_cancel_1min_0466_cgh__raw", + "expressed_cancel_1min_0467_cgh__raw", + "expressed_cancel_1min_0470_cgh__raw", + "expressed_cancel_1min_0471_cgh__raw", + "expressed_cancel_1min_0474_cgh__raw", + "expressed_cancel_1min_0477_cgh__raw", + "expressed_cancel_1min_0478_cgh__raw", + "expressed_cancel_1min_0480_cgh__raw", + "expressed_cancel_1min_0483_cgh__raw", + "expressed_cancel_1min_0485_cgh__raw", + "expressed_cancel_1min_0486_cgh__raw", + "expressed_cancel_1min_0488_cgh__raw", + "expressed_cancel_1min_0489_cgh__raw", + "expressed_cancel_1min_0490_cgh__raw", + "expressed_cancel_1min_0491_cgh__raw", + "expressed_cancel_1min_0493_cgh__raw", + "expressed_cancel_1min_0495_cgh__raw", + "expressed_cancel_1min_0498_cgh__raw", + "expressed_cancel_1min_0500_cgh__raw", + "expressed_cancel_1min_0502_cgh__raw", + "expressed_cancel_1min_0503_cgh__raw", + "expressed_cancel_1min_0505_cgh__raw", + "expressed_cancel_1min_0513_cgh__raw", + "expressed_cancel_1min_0518_cgh__raw", + "expressed_cancel_1min_0521_cgh__raw", + "expressed_cancel_1min_0523_cgh__raw", + "expressed_cancel_1min_0531_cgh__raw", + "expressed_cancel_1min_0552_cgh__raw", + "expressed_cancel_1min_0555_cgh__raw", + "expressed_cancel_1min_0557_cgh__raw", + "expressed_cancel_1min_0562_cgh__raw", + "expressed_cancel_1min_0613_cgh__raw", + "expressed_cancel_1min_0616_cgh__raw", + "expressed_cancel_1min_0617_cgh__raw", + "expressed_cancel_1min_0618_cgh__raw", + "expressed_cancel_1min_0621_cgh__raw", + "expressed_cancel_1min_0621_cgh2__raw", + "expressed_cancel_1min_0622_cgh__raw", + "expressed_cancel_1min_0623_cgh__raw", + "expressed_cancel_1min_0631_cgh__raw", + "expressed_cancel_1min_0640_cgh__raw", + "expressed_cancel_1min_0642_cgh__raw", + "expressed_cancel_1min_0643_cgh__raw", + "expressed_cancel_1min_0647_cgh__raw", + "expressed_cancel_1min_0648_cgh__raw", + "expressed_cancel_1min_0649_cgh__raw", + "expressed_cancel_1min_0650_cgh__raw", + "expressed_cancel_1min_0651_cgh__raw", + "expressed_cancel_1min_0655_cgh__raw", + "expressed_cancel_1min_0656_cgh__raw", + "expressed_cancel_1min_0657_cgh__raw", + "expressed_cancel_1min_0659_cgh__raw", + "expressed_cancel_1min_0660_cgh__raw", + "expressed_cancel_1min_0662_cgh__raw", + "expressed_cancel_1min_0664_cgh__raw", + "expressed_cancel_1min_0665_cgh__raw", + "expressed_cancel_1min_0709_cgh__raw", + "expressed_cancel_1min_0711_cgh__raw", + "expressed_cancel_1min_0712_cgh__raw", + "expressed_cancel_1min_0713_cgh__raw", + "expressed_cancel_1min_0714_cgh__raw", + "expressed_cancel_1min_0718_cgh__raw", + "expressed_cancel_1min_0722_cgh__raw", + "expressed_cancel_1min_0731_cgh__raw", + "expressed_cancel_1min_0744_cgh__raw", + "expressed_cancel_1min_0750_cgh__raw", + "expressed_cancel_1min_0750_cgh__missing", + "expressed_cancel_1min_0752_cgh__raw", + "expressed_cancel_1min_0760_cgh__raw", + "expressed_cancel_1min_0761_cgh__raw", + "expressed_cancel_1min_0762_cgh__raw", + "expressed_cancel_1min_0763_cgh2__raw", + "expressed_cancel_1min_0765_cgh__raw", + "expressed_cancel_1min_0772_cgh__raw", + "expressed_cancel_1min_0780_cgh__raw", + "expressed_cancel_1min_0781_cgh__raw", + "expressed_cancel_1min_0783_cgh__raw", + "expressed_cancel_1min_0784_cgh__raw", + "expressed_cancel_1min_0813_cgh2__raw", + "expressed_cancel_1min_0841_cgh__raw", + "expressed_cancel_1min_0842_cgh__raw", + "expressed_cancel_1min_0844_cgh__raw", + "expressed_cancel_1min_0846_cgh__raw", + "expressed_cancel_1min_0847_cgh__raw", + "expressed_cancel_1min_0849_cgh__raw", + "expressed_cancel_1min_0852_cgh__raw", + "expressed_cancel_1min_0854_cgh__raw", + "expressed_cancel_1min_0856_cgh__raw", + "expressed_cancel_1min_0857_cgh__raw", + "expressed_cancel_1min_0858_cgh__raw", + "expressed_cancel_1min_0859_cgh__raw", + "expressed_cancel_1min_0859_cgh2__raw", + "expressed_cancel_1min_0860_cgh__raw", + "expressed_cancel_1min_0863_cgh__raw", + "expressed_cancel_1min_0864_cgh__raw", + "expressed_cancel_1min_0876_cgh__raw", + "expressed_cancel_1min_0879_cgh__raw", + "expressed_cancel_1min_0880_cgh__raw", + "expressed_cancel_1min_0883_cgh__raw", + "expressed_cancel_1min_0886_cgh__raw", + "expressed_cancel_1min_0891_cgh__raw", + "expressed_cancel_1min_0894_cgh__raw", + "expressed_cancel_1min_0895_cgh__raw", + "expressed_cancel_1min_0897_cgh__raw", + "expressed_cancel_1min_0898_cgh__raw", + "expressed_cancel_1min_0899_cgh__raw", + "expressed_cancel_1min_0900_cgh__raw", + "expressed_cancel_1min_0901_cgh__raw", + "expressed_cancel_1min_0922_cgh__raw", + "expressed_cancel_1min_0924_cgh__raw", + "expressed_cancel_1min_0968_cgh__raw", + "expressed_cancel_1min_0969_cgh__raw", + "expressed_cancel_1min_0986_cgh__raw", + "expressed_cancel_1min_1016_cgh__raw", + "expressed_cancel_1min_1016_cgh2__raw", + "expressed_cancel_1min_1017_cgh__raw", + "expressed_cancel_1min_1024_cgh__raw", + "expressed_cancel_1min_1027_cgh__raw", + "expressed_cancel_1min_1031_cgh__raw", + "expressed_cancel_1min_1039_cgh__raw", + "expressed_cancel_1min_1072_cgh__raw", + "expressed_cancel_1min_1084_cgh__raw", + "expressed_cancel_1min_1085_cgh__raw", + "expressed_cancel_1min_1089_cgh__raw", + "expressed_cancel_1min_1093_cgh__raw", + "expressed_cancel_1min_1095_cgh2__raw", + "expressed_cancel_1min_1098_cgh__raw", + "expressed_cancel_1min_1157_cgh__raw", + "expressed_cancel_1min_1239_cgh__raw", + "expressed_cancel_1min_1262_cgh__raw", + "expressed_cancel_1min_1263_cgh__raw", + "expressed_cancel_1min_1286_cgh__raw", + "expressed_cancel_1min_1361_cgh__raw", + "expressed_cancel_1min_1369_cgh__raw", + "expressed_cancel_1min_1372_cgh__raw", + "expressed_cancel_1min_1378_cgh__raw", + "expressed_cancel_1min_1380_cgh__raw", + "expressed_cancel_1min_1381_cgh__raw", + "expressed_cancel_1min_1394_cgh__raw", + "expressed_cancel_1min_1396_cgh__raw", + "expressed_orders_1min_0021_cgh__raw", + "expressed_orders_1min_0022_cgh__raw", + "expressed_orders_1min_0029_cgh__raw", + "expressed_orders_1min_0034_cgh__raw", + "expressed_orders_1min_0068_cgh__raw", + "expressed_orders_1min_0069_cgh__raw", + "expressed_orders_1min_0083_cgh__raw", + "expressed_orders_1min_0086_cgh__raw", + "expressed_orders_1min_0087_cgh__raw", + "expressed_orders_1min_0097_cgh__raw", + "expressed_orders_1min_0101_cgh__raw", + "expressed_orders_1min_0102_cgh__raw", + "expressed_orders_1min_0108_cgh__raw", + "expressed_orders_1min_0110_cgh__raw", + "expressed_orders_1min_0113_cgh2__raw", + "expressed_orders_1min_0113_cgh2__missing", + "expressed_orders_1min_0186_cgh__raw", + "expressed_orders_1min_0189_cgh2__raw", + "expressed_orders_1min_0195_cgh__raw", + "expressed_orders_1min_0200_cgh__raw", + "expressed_orders_1min_0200_cgh2__raw", + "expressed_orders_1min_0204_cgh__raw", + "expressed_orders_1min_0248_cgh__raw", + "expressed_orders_1min_0317_cgh__raw", + "expressed_orders_1min_0317_cgh__missing", + "expressed_orders_1min_0323_cgh__raw", + "expressed_orders_1min_0337_cgh__raw", + "expressed_orders_1min_0341_cgh__raw", + "expressed_orders_1min_0345_cgh__raw", + "expressed_orders_1min_0368_cgh__raw", + "expressed_orders_1min_0368_cgh2__raw", + "expressed_orders_1min_0383_cgh__raw", + "expressed_orders_1min_0383_cgh2__raw", + "expressed_orders_1min_0416_cgh__raw", + "expressed_orders_1min_0416_cgh__missing", + "expressed_orders_1min_0420_cgh2__raw", + "expressed_orders_1min_0421_cgh__raw", + "expressed_orders_1min_0424_cgh__raw", + "expressed_orders_1min_0433_cgh__raw", + "expressed_orders_1min_0435_cgh__raw", + "expressed_orders_1min_0437_cgh2__raw", + "expressed_orders_1min_0442_cgh__raw", + "expressed_orders_1min_0450_cgh__raw", + "expressed_orders_1min_0453_cgh__raw", + "expressed_orders_1min_0472_cgh__raw", + "expressed_orders_1min_0473_cgh__raw", + "expressed_orders_1min_0478_cgh__raw", + "expressed_orders_1min_0479_cgh__raw", + "expressed_orders_1min_0480_cgh__raw", + "expressed_orders_1min_0490_cgh2__raw", + "expressed_orders_1min_0492_cgh__raw", + "expressed_orders_1min_0498_cgh__raw", + "expressed_orders_1min_0501_cgh__raw", + "expressed_orders_1min_0502_cgh__raw", + "expressed_orders_1min_0512_cgh__raw", + "expressed_orders_1min_0525_cgh__raw", + "expressed_orders_1min_0542_cgh__raw", + "expressed_orders_1min_0544_cgh__raw", + "expressed_orders_1min_0552_cgh__raw", + "expressed_orders_1min_0559_cgh__raw", + "expressed_orders_1min_0560_cgh__raw", + "expressed_orders_1min_0560_cgh2__raw", + "expressed_orders_1min_0561_cgh2__raw", + "expressed_orders_1min_0590_cgh__raw", + "expressed_orders_1min_0597_cgh__raw", + "expressed_orders_1min_0605_cgh__raw", + "expressed_orders_1min_0610_cgh__raw", + "expressed_orders_1min_0623_cgh__raw", + "expressed_orders_1min_0624_cgh__raw", + "expressed_orders_1min_0626_cgh__raw", + "expressed_orders_1min_0628_cgh__raw", + "expressed_orders_1min_0639_cgh__raw", + "expressed_orders_1min_0654_cgh__raw", + "expressed_orders_1min_0675_cgh__raw", + "expressed_orders_1min_0677_cgh__raw", + "expressed_orders_1min_0689_cgh__raw", + "expressed_orders_1min_0690_cgh__raw", + "expressed_orders_1min_0698_cgh__raw", + "expressed_orders_1min_0770_cgh__raw", + "expressed_orders_1min_0771_cgh__raw", + "expressed_orders_1min_0776_cgh__raw", + "expressed_orders_1min_0780_cgh__raw", + "expressed_orders_1min_0782_cgh__raw", + 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"factor_resvol_2__raw", + "factor_amtvol_2__raw", + "capital_flow_buy_value__rank", + "capital_flow_sell_value__rank", + "turn__rank" + ], + "outputs": { + "features_ready": "/home/sunc/data/model2_model3/model2_features_ready.parquet", + "targets_ready": "/home/sunc/data/model2_model3/model2_targets_ready.parquet", + "research_panel": "/home/sunc/data/model2_model3/model2_research_panel.parquet", + "feature_manifest": "/home/sunc/data/model2_model3/model2_feature_manifest.json", + "quality_report": "/home/sunc/data/model2_model3/model2_quality_report.json" + } + }, + "model3": { + "status": "passed", + "calendar": { + "source": "/home/sunc/data/intermediate/daily_indicator", + "date_count": 1116, + "start_date": "2022-01-04", + "end_date": "2026-08-12" + }, + "benchmark": { + "benchmark_code": "000985.SH", + "definition": "CSI All Share price index close", + "source_priority": [ + "tonglian", + "combined", + "wind" + ], + "same_day_only": true, + "finite_observations_by_source": { + "tonglian": 1116, + "combined": 612, + "wind": 186 + }, + "selected_observations_by_source": { + "tonglian": 1116, + "combined": 0, + "wind": 0 + }, + "multi_source_compared_date_count": 631, + "source_disagreement_count": 0 + }, + "breadth": { + "definition": "fraction of SH/SZ stocks whose point-in-time adjusted price is above its 20-session moving average", + "adjustment": "daily close/pre_close gross returns; no future factor", + "exchanges": [ + "SH", + "SZ" + ], + "window": 20, + "first_valid_date": "2022-02-07", + "universe_count": { + "min": 4602, + "median": 5104.0, + "max": 5207 + }, + "history_coverage": { + "min_after_ready": 0.9910154617634768, + "median_after_ready": 0.9982380579483163 + }, + "breadth_quantiles": { + "min": 0.0420102080879466, + "median": 0.4615833495428905, + "max": 0.99528672427337 + } + }, + "volatility": { + "definition": "20-session sample standard deviation of benchmark simple returns, annualized by sqrt(252)", + "window": 20, + "annualization_days": 252, + "first_valid_date": "2022-02-08", + "quantiles": { + "min": 0.07334926338940893, + "median": 0.16542906982867406, + "max": 0.5950022104778676 + } + }, + "output": { + "row_count": 1116, + "column_count": 8, + "required_ready_row_count": 1096 + }, + "model2_feature_scope": { + "feature_date_count": 632, + "feature_start_date": "2024-01-02", + "feature_end_date": "2026-08-12", + "required_input_missing_count": 0, + "first_snapshot": { + "signal_date": "2024-01-02", + "previous_trading_date": "2023-12-29", + "benchmark_close": 4390.8325, + "benchmark_ma": 4488.126708333334, + "breadth": 0.5584415584415584, + "market_volatility": 0.14651604278194533, + "stress_threshold": 0.14251254271887212, + "trend_ok": false, + "breadth_ok": true, + "stress": true + }, + "last_snapshot": { + "signal_date": "2026-08-12", + "previous_trading_date": "2026-08-11", + "benchmark_close": 6024.0456, + "benchmark_ma": 6176.3903850000015, + "breadth": 0.9063281400269283, + "market_volatility": 0.31803165930624705, + "stress_threshold": 0.2413401014551555, + "trend_ok": false, + "breadth_ok": true, + "stress": true + } + }, + "outputs": { + "market_history": "/home/sunc/data/model2_model3/model3_market_history.parquet", + "quality_report": "/home/sunc/data/model2_model3/model3_quality_report.json" + } + }, + "trading_calendar": { + "path": "/home/sunc/data/model2_model3/trading_calendar.parquet", + "date_count": 1116, + "start_date": "2022-01-04", + "end_date": "2026-08-12" + }, + "build_report_path": "/home/sunc/data/model2_model3/build_report.json" +} diff --git a/model2_model3/model2_feature_manifest.json b/model2_model3/model2_feature_manifest.json new file mode 100644 index 0000000000000000000000000000000000000000..86ee5039762a82ea3154c80f2f00ad5143bf268e --- /dev/null +++ b/model2_model3/model2_feature_manifest.json @@ -0,0 +1,364 @@ +{ + "raw_feature_count": 340, + "output_feature_count": 346, + "passthrough_features": [ + 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"expressed_orders_1min_0639_cgh", + "expressed_orders_1min_0654_cgh", + "expressed_orders_1min_0675_cgh", + "expressed_orders_1min_0677_cgh", + "expressed_orders_1min_0689_cgh", + "expressed_orders_1min_0690_cgh", + "expressed_orders_1min_0698_cgh", + "expressed_orders_1min_0770_cgh", + "expressed_orders_1min_0771_cgh", + "expressed_orders_1min_0776_cgh", + "expressed_orders_1min_0780_cgh", + "expressed_orders_1min_0782_cgh", + "expressed_orders_1min_0803_cgh2", + "expressed_orders_1min_0811_cgh", + "expressed_orders_1min_0813_cgh", + "expressed_orders_1min_0819_cgh", + "expressed_orders_1min_0822_cgh", + "expressed_orders_1min_0841_cgh", + "expressed_orders_1min_0875_cgh", + "expressed_orders_1min_0879_cgh", + "expressed_orders_1min_0881_cgh", + "expressed_orders_1min_0909_cgh", + "expressed_orders_1min_0910_cgh", + "expressed_orders_1min_0976_cgh", + "expressed_orders_1min_1002_cgh", + "expressed_orders_1min_1018_cgh", + "expressed_orders_1min_1022_cgh", + "expressed_orders_1min_1022_cgh2", + "expressed_orders_1min_1023_cgh", + "expressed_orders_1min_1028_cgh", + "expressed_orders_1min_1076_cgh", + "expressed_orders_1min_1080_cgh", + "expressed_orders_1min_1095_cgh", + "expressed_orders_1min_1121_cgh2", + "expressed_orders_1min_1129_cgh2", + "expressed_orders_1min_1183_cgh", + "expressed_orders_1min_1205_cgh", + "expressed_orders_1min_1212_cgh", + "expressed_orders_1min_1243_cgh", + "expressed_trades_1min_1406_cgh2", + "expressed_trades_1min_1444_cgh", + "expressed_trades_1min_1618_cgh2", + "manual_orders_1min_004_cghi2", + "manual_orders_1min_006_cghi", + "manual_orders_1min_007_cghi", + "manual_orders_1min_007_cghi2", + "manual_orders_1min_012_cghi", + "manual_orders_1min_013_cghi", + "manual_orders_1min_014_cghi", + "manual_orders_1min_014_cghi2", + "manual_orders_1min_015_cghi", + "manual_orders_1min_016_cghi", + "factor_beta", + "factor_momentum", + "factor_size", + "factor_earnyild", + "factor_resvol", + "factor_growth", + "factor_btop", + "factor_leverage", + "factor_liquidty", + "factor_midcap", + "factor_price_1", + "factor_price_2", + "factor_liquidty_2", + "factor_resvol_2", + "factor_amtvol_2" + ], + "rank_features": [ + "capital_flow_buy_value", + "capital_flow_sell_value", + "turn" + ], + "missing_indicator_features": [ + "expressed_cancel_1min_0194_cgh", + "expressed_cancel_1min_0750_cgh", + "expressed_orders_1min_0113_cgh2", + "expressed_orders_1min_0317_cgh", + "expressed_orders_1min_0416_cgh", + "expressed_trades_1min_1618_cgh2" + ], + "excluded_features": { + "expressed_cancel_1min_0615_cgh": "exact duplicate of expressed_cancel_1min_0375_cgh", + "expressed_cancel_1min_0774_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0775_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0776_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0778_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "ev": "rank correlation about 0.987 with the selected factor_size exposure" + } +} diff --git a/model2_model3/model2_features_ready.parquet b/model2_model3/model2_features_ready.parquet new file mode 100644 index 0000000000000000000000000000000000000000..2e9aa226eb4a108887816cb5757852db4079ac51 --- /dev/null +++ b/model2_model3/model2_features_ready.parquet @@ -0,0 +1,3 @@ +version https://git-lfs.github.com/spec/v1 +oid sha256:a3933f3337d617c5af9e493965aea4323a15e22a6438d5d927981ff725cbc2fb +size 5831888225 diff --git a/model2_model3/model2_quality_report.json b/model2_model3/model2_quality_report.json new file mode 100644 index 0000000000000000000000000000000000000000..c6c8a59984bfad0ea682f26d6f480f3e4206cc50 --- /dev/null +++ b/model2_model3/model2_quality_report.json @@ -0,0 +1,3513 @@ +{ + "target_mode": "industry_residual", + "industry_definition": "SW2021_LEVEL1", + "row_count": 3082854, + "date_count": 632, + "instrument_count": 5269, + 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"expressed_cancel_1min_0712_cgh", + "expressed_cancel_1min_0713_cgh", + "expressed_cancel_1min_0714_cgh", + "expressed_cancel_1min_0718_cgh", + "expressed_cancel_1min_0722_cgh", + "expressed_cancel_1min_0731_cgh", + "expressed_cancel_1min_0744_cgh", + "expressed_cancel_1min_0750_cgh", + "expressed_cancel_1min_0752_cgh", + "expressed_cancel_1min_0760_cgh", + "expressed_cancel_1min_0761_cgh", + "expressed_cancel_1min_0762_cgh", + "expressed_cancel_1min_0763_cgh2", + "expressed_cancel_1min_0765_cgh", + "expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0780_cgh", + "expressed_cancel_1min_0781_cgh", + "expressed_cancel_1min_0783_cgh", + "expressed_cancel_1min_0784_cgh", + "expressed_cancel_1min_0813_cgh2", + "expressed_cancel_1min_0841_cgh", + "expressed_cancel_1min_0842_cgh", + "expressed_cancel_1min_0844_cgh", + "expressed_cancel_1min_0846_cgh", + "expressed_cancel_1min_0847_cgh", + "expressed_cancel_1min_0849_cgh", + "expressed_cancel_1min_0852_cgh", + "expressed_cancel_1min_0854_cgh", + "expressed_cancel_1min_0856_cgh", + "expressed_cancel_1min_0857_cgh", + "expressed_cancel_1min_0858_cgh", + "expressed_cancel_1min_0859_cgh", + "expressed_cancel_1min_0859_cgh2", + "expressed_cancel_1min_0860_cgh", + "expressed_cancel_1min_0863_cgh", + "expressed_cancel_1min_0864_cgh", + "expressed_cancel_1min_0876_cgh", + "expressed_cancel_1min_0879_cgh", + "expressed_cancel_1min_0880_cgh", + "expressed_cancel_1min_0883_cgh", + "expressed_cancel_1min_0886_cgh", + "expressed_cancel_1min_0891_cgh", + "expressed_cancel_1min_0894_cgh", + "expressed_cancel_1min_0895_cgh", + "expressed_cancel_1min_0897_cgh", + "expressed_cancel_1min_0898_cgh", + "expressed_cancel_1min_0899_cgh", + "expressed_cancel_1min_0900_cgh", + "expressed_cancel_1min_0901_cgh", + "expressed_cancel_1min_0922_cgh", + "expressed_cancel_1min_0924_cgh", + "expressed_cancel_1min_0968_cgh", + "expressed_cancel_1min_0969_cgh", + "expressed_cancel_1min_0986_cgh", + "expressed_cancel_1min_1016_cgh", + "expressed_cancel_1min_1016_cgh2", + "expressed_cancel_1min_1017_cgh", + "expressed_cancel_1min_1024_cgh", + "expressed_cancel_1min_1027_cgh", + "expressed_cancel_1min_1031_cgh", + "expressed_cancel_1min_1039_cgh", + "expressed_cancel_1min_1072_cgh", + "expressed_cancel_1min_1084_cgh", + "expressed_cancel_1min_1085_cgh", + "expressed_cancel_1min_1089_cgh", + "expressed_cancel_1min_1093_cgh", + "expressed_cancel_1min_1095_cgh2", + "expressed_cancel_1min_1098_cgh", + "expressed_cancel_1min_1157_cgh", + "expressed_cancel_1min_1239_cgh", + "expressed_cancel_1min_1262_cgh", + "expressed_cancel_1min_1263_cgh", + "expressed_cancel_1min_1286_cgh", + "expressed_cancel_1min_1361_cgh", + "expressed_cancel_1min_1369_cgh", + "expressed_cancel_1min_1372_cgh", + "expressed_cancel_1min_1378_cgh", + "expressed_cancel_1min_1380_cgh", + "expressed_cancel_1min_1381_cgh", + "expressed_cancel_1min_1394_cgh", + "expressed_cancel_1min_1396_cgh", + "expressed_orders_1min_0021_cgh", + "expressed_orders_1min_0022_cgh", + "expressed_orders_1min_0029_cgh", + "expressed_orders_1min_0034_cgh", + "expressed_orders_1min_0068_cgh", + "expressed_orders_1min_0069_cgh", + "expressed_orders_1min_0083_cgh", + "expressed_orders_1min_0086_cgh", + "expressed_orders_1min_0087_cgh", + "expressed_orders_1min_0097_cgh", + "expressed_orders_1min_0101_cgh", + "expressed_orders_1min_0102_cgh", + "expressed_orders_1min_0108_cgh", + "expressed_orders_1min_0110_cgh", + "expressed_orders_1min_0113_cgh2", + "expressed_orders_1min_0186_cgh", + "expressed_orders_1min_0189_cgh2", + "expressed_orders_1min_0195_cgh", + "expressed_orders_1min_0200_cgh", + "expressed_orders_1min_0200_cgh2", + "expressed_orders_1min_0204_cgh", + "expressed_orders_1min_0248_cgh", + "expressed_orders_1min_0317_cgh", + "expressed_orders_1min_0323_cgh", + "expressed_orders_1min_0337_cgh", + "expressed_orders_1min_0341_cgh", + "expressed_orders_1min_0345_cgh", + "expressed_orders_1min_0368_cgh", + "expressed_orders_1min_0368_cgh2", + "expressed_orders_1min_0383_cgh", + "expressed_orders_1min_0383_cgh2", + "expressed_orders_1min_0416_cgh", + "expressed_orders_1min_0420_cgh2", + "expressed_orders_1min_0421_cgh", + "expressed_orders_1min_0424_cgh", + "expressed_orders_1min_0433_cgh", + "expressed_orders_1min_0435_cgh", + "expressed_orders_1min_0437_cgh2", + "expressed_orders_1min_0442_cgh", + "expressed_orders_1min_0450_cgh", + "expressed_orders_1min_0453_cgh", + "expressed_orders_1min_0472_cgh", + "expressed_orders_1min_0473_cgh", + "expressed_orders_1min_0478_cgh", + "expressed_orders_1min_0479_cgh", + "expressed_orders_1min_0480_cgh", + "expressed_orders_1min_0490_cgh2", + "expressed_orders_1min_0492_cgh", + "expressed_orders_1min_0498_cgh", + "expressed_orders_1min_0501_cgh", + "expressed_orders_1min_0502_cgh", + "expressed_orders_1min_0512_cgh", + "expressed_orders_1min_0525_cgh", + "expressed_orders_1min_0542_cgh", + "expressed_orders_1min_0544_cgh", + "expressed_orders_1min_0552_cgh", + "expressed_orders_1min_0559_cgh", + "expressed_orders_1min_0560_cgh", + "expressed_orders_1min_0560_cgh2", + "expressed_orders_1min_0561_cgh2", + "expressed_orders_1min_0590_cgh", + "expressed_orders_1min_0597_cgh", + "expressed_orders_1min_0605_cgh", + "expressed_orders_1min_0610_cgh", + "expressed_orders_1min_0623_cgh", + "expressed_orders_1min_0624_cgh", + "expressed_orders_1min_0626_cgh", + "expressed_orders_1min_0628_cgh", + "expressed_orders_1min_0639_cgh", + "expressed_orders_1min_0654_cgh", + "expressed_orders_1min_0675_cgh", + "expressed_orders_1min_0677_cgh", + "expressed_orders_1min_0689_cgh", + "expressed_orders_1min_0690_cgh", + "expressed_orders_1min_0698_cgh", + "expressed_orders_1min_0770_cgh", + "expressed_orders_1min_0771_cgh", + "expressed_orders_1min_0776_cgh", + "expressed_orders_1min_0780_cgh", + "expressed_orders_1min_0782_cgh", + "expressed_orders_1min_0803_cgh2", + "expressed_orders_1min_0811_cgh", + "expressed_orders_1min_0813_cgh", + "expressed_orders_1min_0819_cgh", + "expressed_orders_1min_0822_cgh", + "expressed_orders_1min_0841_cgh", + "expressed_orders_1min_0875_cgh", + "expressed_orders_1min_0879_cgh", + "expressed_orders_1min_0881_cgh", + "expressed_orders_1min_0909_cgh", + "expressed_orders_1min_0910_cgh", + "expressed_orders_1min_0976_cgh", + "expressed_orders_1min_1002_cgh", + "expressed_orders_1min_1018_cgh", + "expressed_orders_1min_1022_cgh", + "expressed_orders_1min_1022_cgh2", + "expressed_orders_1min_1023_cgh", + "expressed_orders_1min_1028_cgh", + "expressed_orders_1min_1076_cgh", + "expressed_orders_1min_1080_cgh", + "expressed_orders_1min_1095_cgh", + "expressed_orders_1min_1121_cgh2", + "expressed_orders_1min_1129_cgh2", + "expressed_orders_1min_1183_cgh", + "expressed_orders_1min_1205_cgh", + "expressed_orders_1min_1212_cgh", + "expressed_orders_1min_1243_cgh", + "expressed_trades_1min_1406_cgh2", + "expressed_trades_1min_1444_cgh", + "expressed_trades_1min_1618_cgh2", + "manual_orders_1min_004_cghi2", + "manual_orders_1min_006_cghi", + "manual_orders_1min_007_cghi", + "manual_orders_1min_007_cghi2", + "manual_orders_1min_012_cghi", + "manual_orders_1min_013_cghi", + "manual_orders_1min_014_cghi", + "manual_orders_1min_014_cghi2", + "manual_orders_1min_015_cghi", + "manual_orders_1min_016_cghi", + "factor_beta", + "factor_momentum", + "factor_size", + "factor_earnyild", + "factor_resvol", + "factor_growth", + "factor_btop", + "factor_leverage", + "factor_liquidty", + "factor_midcap", + "factor_price_1", + "factor_price_2", + "factor_liquidty_2", + "factor_resvol_2", + "factor_amtvol_2" + ], + "rank_features": [ + "capital_flow_buy_value", + "capital_flow_sell_value", + "turn" + ], + "missing_indicator_features": [ + "expressed_cancel_1min_0194_cgh", + "expressed_cancel_1min_0750_cgh", + "expressed_orders_1min_0113_cgh2", + "expressed_orders_1min_0317_cgh", + "expressed_orders_1min_0416_cgh", + "expressed_trades_1min_1618_cgh2" + ], + "excluded_features": { + "expressed_cancel_1min_0615_cgh": "exact duplicate of expressed_cancel_1min_0375_cgh", + "expressed_cancel_1min_0774_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0775_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0776_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "expressed_cancel_1min_0778_cgh": "numerical duplicate of expressed_cancel_1min_0772_cgh", + "ev": "rank correlation about 0.987 with the selected factor_size exposure" + } + }, + "feature_columns": [ + "expressed_cancel_1min_0008_cgh__raw", + "expressed_cancel_1min_0012_cgh__raw", + "expressed_cancel_1min_0014_cgh__raw", + "expressed_cancel_1min_0017_cgh__raw", + "expressed_cancel_1min_0018_cgh__raw", + "expressed_cancel_1min_0022_cgh__raw", + "expressed_cancel_1min_0027_cgh__raw", + "expressed_cancel_1min_0030_cgh__raw", + 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"benchmark": { + "benchmark_code": "000985.SH", + "definition": "CSI All Share price index close", + "source_priority": [ + "tonglian", + "combined", + "wind" + ], + "same_day_only": true, + "finite_observations_by_source": { + "tonglian": 1116, + "combined": 612, + "wind": 186 + }, + "selected_observations_by_source": { + "tonglian": 1116, + "combined": 0, + "wind": 0 + }, + "multi_source_compared_date_count": 631, + "source_disagreement_count": 0 + }, + "breadth": { + "definition": "fraction of SH/SZ stocks whose point-in-time adjusted price is above its 20-session moving average", + "adjustment": "daily close/pre_close gross returns; no future factor", + "exchanges": [ + "SH", + "SZ" + ], + "window": 20, + "first_valid_date": "2022-02-07", + "universe_count": { + "min": 4602, + "median": 5104.0, + "max": 5207 + }, + "history_coverage": { + "min_after_ready": 0.9910154617634768, + "median_after_ready": 0.9982380579483163 + }, + "breadth_quantiles": { + "min": 0.0420102080879466, + 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