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quant_test
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defaults:
  # market: csi300
  market: all
  label_expr: Ref($close, -2)/Ref($close, -1) - 1
factors:
  momentum_5d:
    expression: Ref($close, -5)/Ref($close, -1) - 1
    description: 5日价格动量
    tags:
    - momentum
    - price
    enabled: true
  momentum_20d:
    expression: Ref($close, -20)/Ref($close, -1) - 1
    description: 20日价格动量
    tags:
    - momentum
    - price
    enabled: true
  vol_ratio_20:
    expression: $volume/Mean($volume, 20)
    description: 成交量相对20日均值
    tags:
    - volume
    enabled: true
  range_ret:
    expression: ($high-$low)/Ref($close, 1)
    description: 振幅相对昨收
    tags:
    - volatility
    enabled: true
  open_ret:
    expression: ($close-$open)/$open
    description: 日内开盘到收盘收益
    tags:
    - intraday
    enabled: true
  close_ret:
    expression: $close/Ref($close, 1)-1
    description: 日收益率
    tags:
    - momentum
    enabled: true
  price_vol_divergence:
    expression: (Rank($close, 20))-(Rank($volume, 20))
    description: 价量滚动排名差（20 bar，价量背离代理）
    tags:
    - operator
    - custom
    - operator_built
    enabled: true
    source: operator_builder
    operator_tree:
      op: sub
      args:
      - op: rank
        args:
        - field: $close
        - const: 20
      - op: rank
        args:
        - field: $volume
        - const: 20
  norm_momentum_10:
    expression: (($close)-(Ref($close, -10)))/(Std($close, 10))
    description: 10日归一化动量
    tags:
    - operator
    - momentum
    - operator_built
    enabled: true
    source: operator_builder
    operator_tree:
      op: div
      args:
      - op: sub
        args:
        - field: $close
        - op: ref
          args:
          - field: $close
          - const: 10
      - op: std
        args:
        - field: $close
        - const: 10
  vol_shock:
    expression: ($volume)/(Mean($volume, 20))
    description: 成交量冲击（当日量/20日均量）
    tags:
    - operator
    - volume
    - operator_built
    enabled: true
    source: operator_builder
    operator_tree:
      op: div
      args:
      - field: $volume
      - op: mean
        args:
        - field: $volume
        - const: 20
  high_low_spread:
    expression: (($high)-($low))/(Ref($close, -1))
    description: 振幅相对昨收
    tags:
    - operator
    - volatility
    - operator_built
    enabled: true
    source: operator_builder
    operator_tree:
      op: div
      args:
      - op: sub
        args:
        - field: $high
        - field: $low
      - op: ref
        args:
        - field: $close
        - const: 1