更多精彩内容详见个人量化交易专辑索引
因子公式:
因子 = SUM((closeing_price-min_price+0.000001)/(max_price-closeing_price+0.000001))
测试时间:
2022-1-1——2022-12-31
测试结果:
1D | 5D | 10D | |
Ann. alpha | -0.267 | -0.362 | -0.316 |
beta | -0.09 | -0.055 | 0.056 |
Mean Period Wise Return Top Quantile (bps) | -14.366 | -23.991 | -18.866 |
Mean Period Wise Return Bottom Quantile (bps) | -6.802 | -2.673 | -5.087 |
Mean Period Wise Spread (bps) | -7.564 | -21.315 | -13.775 |
IC Mean | -0.019 | -0.029 | -0.023 |
IC Std. | 0.088 | 0.077 | 0.075 |
Risk-Adjusted IC | -0.221 | -0.377 | -0.306 |
t-stat(IC) | -3.365 | -5.743 | -4.667 |
p-value(IC) | 0.001 | 0 | 0 |
IC Skew | -0.182 | -0.474 | -0.546 |
IC Kurtosis | 0.612 | 0.356 | 0.793 |
更多年份测试结果: