不懂就学之挑战成为WorldQuant Brain顾问的第3天-CSDN博客

本文链接：https://blog.csdn.net/Yanbang1/article/details/145791241

量化关键术语

量化基金

量化基金是一种利用数学模型、算法和计算机技术进行投资决策的基金。它通过分析大量历史数据，识别市场规律和交易机会，并自动执行交易。

对冲基金

对冲基金是一种采用多样化投资策略的私募投资基金，旨在为投资者获取高回报。

参考 https://baike.baidu.com/item/%E5%AF%B9%E5%86%B2/650238

Neutralization

Neutralization helps to reduce the risk by making strategies long-short market neutral.
On the BRAIN platform, to neutralize an Alpha, the raw Alpha values are split into groups, and then neutralized within each group - the mean is subtracted from each value. In theory, there are other ways of neutralization as well (for example, orthogonalization).

对冲通过使策略在市场中性条件下进行多空操作，有助于降低风险。
在BRAIN平台上，为了对一个Alpha信号进行对冲，原始的Alpha值被分成若干组，然后在每组内进行对冲——即从每个值中减去该组的平均值。理论上，还有其他对冲方法（例如正交化）。

Neutralization is a way to go neutral in dollar sense, i.e. allotting the same amount of dollars in long (buying) and short (selling) positions. Hence your total investment will be split down the middle – half for short and half for long. That way, you are less exposed to risk, when the entire market goes up or down.

对冲是一种在资金意义上实现中性的方法，即在多头（买入）和空头（卖出）头寸中分配相同金额的资金。因此，您的总投资将被平均分配——一半用于做空，一半用于做多。这样一来，当整个市场上涨或下跌时，您所面临的风险就会降低。

GICS

GICS（Global Industry Classification Standard，全球行业分类标准）是由标准普尔（S&P）和摩根士丹利资本国际公司（MSCI）共同开发的一种行业分类系统。它用于对全球公司的行业进行标准化分类，以便投资者和分析师能够更清晰地比较和研究不同公司及行业的表现。

Drawdown

Drawdown is the largest reduction in PnL during a given period, expressed as a percentage.
Imagine a chess player who is confident after a string of victories. However, they make a mistake and lose their next game. This loss represents a drawdown in their winning streak.
Imagine for a moment that the same player continues to suffer consecutive losses. This prolonged losing streak signifies a more significant drawdown.

回撤是指在给定期间内，盈亏（PnL）的最大减少量，以百分比表示。
想象一下，一位国际象棋选手在一连串胜利后信心十足。然而，他们犯了一个错误，输掉了下一场比赛。这场失利代表了他们连胜中的一次回撤。
再想象一下，如果这位选手继续遭遇连续的失败。这种长时间的连败则意味着一次更大幅度的回撤。

Turnover

Average measure of daily trading activity: turnover signifies how often an Alpha simulates trades. It can be defined as the ratio of value traded to book size. Daily Turnover = Dollar trading volume/Booksize. Good Alphas tend to have lower turnover, since low turnover means lower transaction costs.

日均交易活跃度的衡量指标：换手率（Turnover）表示一个Alpha策略模拟交易的频繁程度。它可以定义为交易价值与投资组合规模的比率。每日换手率 = 美元交易量 / 投资组合规模。优质的Alpha策略通常具有较低的换手率，因为低换手率意味着更低的交易成本。

Information ratio

Information ratio (IR) measures the potential predictive ability of a model. In the BRAIN platform, it is defined as the ratio of a simulated portfolio’s mean daily returns to the volatility of those returns.

信息比率（IR）用于衡量模型的潜在预测能力。在BRAIN平台中，它被定义为模拟投资组合的日均收益率与这些收益率波动率的比值。

Operators

An Operator is a set of mathematical or statistical techniques required to implement your Alpha ideas, for example mathematical operators: + - / * or cross-sectional operators such as ‘rank’.

Here are some common examples of alphas build using data fields and operators: