| 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 | |