{"id":41669,"date":"2025-06-04T03:22:59","date_gmt":"2025-06-03T19:22:59","guid":{"rendered":"https:\/\/www.wsisp.com\/helps\/41669.html"},"modified":"2025-06-04T03:22:59","modified_gmt":"2025-06-03T19:22:59","slug":"world-quant%e6%95%99%e7%a8%8b%e5%ad%a6%e4%b9%a0","status":"publish","type":"post","link":"https:\/\/www.wsisp.com\/helps\/41669.html","title":{"rendered":"world quant\u6559\u7a0b\u5b66\u4e60"},"content":{"rendered":"<p>  <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">\u00a0Understanding Corporate Fundamental Data &#x1f50d; \u4e86\u89e3\u4f01\u4e1a\u57fa\u672c\u9762\u6570\u636e<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Let&#039;s explore fundamental data&#x1f60a; Fundamentals capture the underlying business, financial and operational health of a company, usually reported every quarter. This data is typically based on financial statements and plays an important role in investment decision-making. \u8ba9\u6211\u4eec\u6765\u63a2\u7d22\u57fa\u672c\u9762\u6570\u636e&#x1f60a;\u57fa\u672c\u9762\u53cd\u6620\u516c\u53f8\u7684\u57fa\u672c\u4e1a\u52a1\u3001\u8d22\u52a1\u548c\u8fd0\u8425\u5065\u5eb7\u72b6\u51b5&#xff0c;\u901a\u5e38\u6bcf\u5b63\u5ea6\u62a5\u544a\u4e00\u6b21\u3002\u8fd9\u4e9b\u6570\u636e\u901a\u5e38\u57fa\u4e8e\u8d22\u52a1\u62a5\u8868&#xff0c;\u5728\u6295\u8d44\u51b3\u7b56\u4e2d\u8d77\u7740\u91cd\u8981\u4f5c\u7528\u3002<\/span><\/span><\/span><\/p>\n<p>  <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">&#x1f4d1; Data Sources\u00a0\u00a0&#x1f4d1; \u6570\u636e\u6e90<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Corporate fundamental data is primarily extracted from three main financial statements: \u516c\u53f8\u57fa\u672c\u9762\u6570\u636e\u4e3b\u8981\u63d0\u53d6\u81ea\u4e09\u4e2a\u4e3b\u8981\u8d22\u52a1\u62a5\u8868&#xff1a;<\/span><\/span><\/span><\/p>\n<ul>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Balance Sheet\u00a0provides a snapshot of the company&#039;s financial health, detailing its assets, liabilities, and equity.\u00a0 \u8d44\u4ea7\u8d1f\u503a\u8868\u63d0\u4f9b\u4e86\u516c\u53f8\u8d22\u52a1\u72b6\u51b5\u7684\u5feb\u7167&#xff0c;\u8be6\u7ec6\u8bf4\u660e\u4e86\u5176\u8d44\u4ea7\u3001\u8d1f\u503a\u548c\u6743\u76ca\u3002\u00a0<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Income Statement\u00a0illustrates the company&#039;s profitability, showing how revenue is transformed into income after accounting for various expenses. \u635f\u76ca\u8868\u8bf4\u660e\u4e86\u516c\u53f8\u7684\u76c8\u5229\u80fd\u529b&#xff0c;\u663e\u793a\u4e86\u5728\u8003\u8651\u5404\u79cd\u8d39\u7528\u540e\u6536\u5165\u5982\u4f55\u8f6c\u5316\u4e3a\u6536\u5165\u3002<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Cash Flow Statement\u00a0reveals the company&#039;s liquidity by tracking the inflow and outflow of cash from activities like operations, investments and financing. \u73b0\u91d1\u6d41\u91cf\u8868\u901a\u8fc7\u8ddf\u8e2a\u8fd0\u8425\u3001\u6295\u8d44\u548c\u878d\u8d44\u7b49\u6d3b\u52a8\u7684\u73b0\u91d1\u6d41\u5165\u548c\u6d41\u51fa\u6765\u63ed\u793a\u516c\u53f8\u7684\u6d41\u52a8\u6027\u3002<\/span><\/span><\/span><\/li>\n<\/ul>\n<p>  <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">\u23f0 Data Update Cycle\u00a0\u00a0\u23f0 \u6570\u636e\u66f4\u65b0\u5468\u671f<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Fundamental data has the following characteristics: \u57fa\u672c\u9762\u6570\u636e\u5177\u6709\u4ee5\u4e0b\u7279\u70b9&#xff1a;<\/span><\/span><\/span><\/p>\n<ul>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Features low turnover as it&#039;s updated quarterly, semi-annually, or annually \u7279\u70b9\u662f\u6bcf\u5b63\u5ea6\u3001\u6bcf\u534a\u5e74\u6216\u6bcf\u5e74\u66f4\u65b0\u4e00\u6b21&#xff0c;\u5468\u8f6c\u7387\u4f4e<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Disclosure cycles vary by listing exchange and company size \u62ab\u9732\u5468\u671f\u56e0\u4e0a\u5e02\u4ea4\u6613\u6240\u548c\u516c\u53f8\u89c4\u6a21\u800c\u5f02<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Unlike PV data, Fundamental data can update discontinuously \u4e0e PV \u6570\u636e\u4e0d\u540c&#xff0c;Fundamental \u6570\u636e\u53ef\u4ee5\u4e0d\u8fde\u7eed\u5730\u66f4\u65b0<\/span><\/span><\/span><\/li>\n<\/ul>\n<p>    <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">reating Price-Fundamental Combined Alpha &#x1f4cb; \u521b\u5efa Price-Fundamental \u7ec4\u5408 Alpha<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">You can create more meaningful Alphas by combining PV (Price-Volume) data with fundamental data. Let&#039;s examine an Alpha that utilizes company profitability rankings by combining market capitalization (cap), one of the PV data points, with operating income, a fundamental data point. \u60a8\u53ef\u4ee5\u901a\u8fc7\u5c06 PV &#xff08;\u4ef7\u683c-\u4ea4\u6613\u91cf&#xff09; \u6570\u636e\u4e0e\u57fa\u672c\u9762\u6570\u636e\u76f8\u7ed3\u5408\u6765\u521b\u5efa\u66f4\u6709\u610f\u4e49\u7684 Alpha\u3002\u8ba9\u6211\u4eec\u6765\u7814\u7a76\u4e00\u4e2a\u5229\u7528\u516c\u53f8\u76c8\u5229\u80fd\u529b\u6392\u540d\u7684 Alpha&#xff0c;\u5b83\u5c06\u5e02\u503c &#xff08;cap&#xff09; \u4e0e\u57fa\u672c\u6570\u636e\u70b9 Operating Income \u76f8\u7ed3\u5408\u3002<\/span><\/span><\/span><\/p>\n<p>    <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">&#x1f50d; Data Characteristics\u00a0\u00a0&#x1f50d; \u6570\u636e\u7279\u5f81<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">These two types of data have different characteristics. Before creating an Alpha, let&#039;s review their features. \u8fd9\u4e24\u79cd\u7c7b\u578b\u7684\u6570\u636e\u5177\u6709\u4e0d\u540c\u7684\u7279\u5f81\u3002\u5728\u521b\u5efa Alpha \u4e4b\u524d&#xff0c;\u8ba9\u6211\u4eec\u56de\u987e\u4e00\u4e0b\u5b83\u4eec\u7684\u529f\u80fd\u3002<\/span><\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Operating income, a fundamental data point, has the following characteristics: \u8425\u4e1a\u6536\u5165\u4f5c\u4e3a\u57fa\u672c\u6570\u636e\u70b9&#xff0c;\u5177\u6709\u4ee5\u4e0b\u7279\u70b9&#xff1a;<\/span><\/span><\/span><\/p>\n<ul>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Updated on\u00a0quarterly\/annual basis \u6bcf\u5b63\u5ea6\/\u6bcf\u5e74\u66f4\u65b0<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Reflects company&#039;s actual profit-generating ability \u53cd\u6620\u516c\u53f8\u7684\u5b9e\u9645\u521b\u5229\u80fd\u529b<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Measures business efficiency \u8861\u91cf\u4e1a\u52a1\u6548\u7387<\/span><\/span><\/span><\/li>\n<\/ul>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Market capitalization (cap), a PV data point, has these characteristics: \u5e02\u503c &#xff08;cap&#xff09;\u00a0\u662f\u4e00\u4e2a PV \u6570\u636e\u70b9&#xff0c;\u5177\u6709\u4ee5\u4e0b\u7279\u5f81&#xff1a;<\/span><\/span><\/span><\/p>\n<ul>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Market&#039;s valuation of company worth \u516c\u53f8\u4ef7\u503c\u7684\u5e02\u573a\u4f30\u503c<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Updated\u00a0daily\u00a0\u00a0\u6bcf\u65e5\u66f4\u65b0<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Product of stock price and outstanding shares \u80a1\u7968\u4ef7\u683c\u4e0e\u6d41\u901a\u80a1\u7684\u4e58\u79ef<\/span><\/span><\/span><\/li>\n<\/ul>\n<p>    <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">&#x1f4a1; Alpha Ideas\u00a0\u00a0&#x1f4a1; Alpha \u60f3\u6cd5<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Market capitalization\u00a0shows how much value the market currently assigns to a company. Even companies with same businesses and profitability can have different market caps based on future expectations (influenced by factors like technology holdings and news-based outlooks). \u5e02\u503c\u663e\u793a\u5e02\u573a\u5f53\u524d\u5206\u914d\u7ed9\u516c\u53f8\u7684\u4ef7\u503c\u3002\u5373\u4f7f\u662f\u5177\u6709\u76f8\u540c\u4e1a\u52a1\u548c\u76c8\u5229\u80fd\u529b\u7684\u516c\u53f8\u4e5f\u53ef\u80fd\u6839\u636e\u672a\u6765\u9884\u671f&#xff08;\u53d7\u6280\u672f\u6301\u80a1\u548c\u57fa\u4e8e\u65b0\u95fb\u7684\u524d\u666f\u7b49\u56e0\u7d20\u7684\u5f71\u54cd&#xff09;\u62e5\u6709\u4e0d\u540c\u7684\u5e02\u503c\u3002<\/span><\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Operating income\u00a0shows the actual profit recorded by the company in that quarter. Therefore, comparing market cap with operating income allows us to examine\u00a0current company performance relative to future expectations. \u8425\u4e1a\u6536\u5165\u663e\u793a\u516c\u53f8\u5728\u8be5\u5b63\u5ea6\u8bb0\u5f55\u7684\u5b9e\u9645\u5229\u6da6\u3002\u56e0\u6b64&#xff0c;\u5c06\u5e02\u503c\u4e0e\u8425\u4e1a\u6536\u5165\u8fdb\u884c\u6bd4\u8f83&#xff0c;\u53ef\u4ee5\u8ba9\u6211\u4eec\u68c0\u67e5\u5f53\u524d\u516c\u53f8\u76f8\u5bf9\u4e8e\u672a\u6765\u9884\u671f\u7684\u4e1a\u7ee9\u00a0\u3002<\/span><\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0\">\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">How can we compare these two? While there are several methods, the most common and straightforward approaches are finding the difference through subtraction or calculating the ratio through division. The appropriate method can vary by situation. \u6211\u4eec\u5982\u4f55\u6bd4\u8f83\u8fd9\u4e24\u8005\u5462&#xff1f;\u867d\u7136\u6709\u51e0\u79cd\u65b9\u6cd5&#xff0c;\u4f46\u6700\u5e38\u89c1\u548c\u6700\u76f4\u63a5\u7684\u65b9\u6cd5\u662f\u901a\u8fc7\u51cf\u6cd5\u627e\u5230\u5dee\u5f02\u6216\u901a\u8fc7\u9664\u6cd5\u8ba1\u7b97\u6bd4\u7387\u3002\u9002\u5f53\u7684\u65b9\u6cd5\u53ef\u80fd\u56e0\u60c5\u51b5\u800c\u5f02\u3002<\/span><\/span><\/span><\/p>\n<p>      <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">\u2796 When Subtraction is More Appropriate \u2796 \u5f53\u51cf\u6cd5\u66f4\u5408\u9002\u65f6<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">For instance, when comparing analyst forecasts with actual company performance, subtraction might be more appropriate as we need to see how much they differ. \u4f8b\u5982&#xff0c;\u5f53\u5c06\u5206\u6790\u5e08\u7684\u9884\u6d4b\u4e0e\u5b9e\u9645\u516c\u53f8\u4e1a\u7ee9\u8fdb\u884c\u6bd4\u8f83\u65f6&#xff0c;\u51cf\u6cd5\u53ef\u80fd\u66f4\u5408\u9002&#xff0c;\u56e0\u4e3a\u6211\u4eec\u9700\u8981\u770b\u5230\u5b83\u4eec\u76f8\u5dee\u591a\u5c11\u3002<\/span><\/span><\/span><\/p>\n<p>      <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">\u2797 When Division is More Appropriate \u2797 \u4f55\u65f6\u5212\u5206\u66f4\u5408\u9002<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">However, since market cap and operating income don&#039;t directly share the same scale, division might be more appropriate to see what percentage operating income represents relative to market cap. \u4f46\u662f&#xff0c;\u7531\u4e8e\u5e02\u503c\u548c\u8425\u4e1a\u6536\u5165\u4e0d\u76f4\u63a5\u5171\u4eab\u76f8\u540c\u7684\u89c4\u6a21&#xff0c;\u56e0\u6b64\u5212\u5206\u53ef\u80fd\u66f4\u9002\u5408\u67e5\u770b\u8425\u4e1a\u6536\u5165\u76f8\u5bf9\u4e8e\u5e02\u503c\u7684\u767e\u5206\u6bd4\u3002<\/span><\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Also, when using subtraction, values can differ based on company size, so it&#039;s strongly recommended to consider data scale and units. \u6b64\u5916&#xff0c;\u4f7f\u7528\u51cf\u6cd5\u65f6&#xff0c;\u503c\u53ef\u80fd\u4f1a\u56e0\u516c\u53f8\u89c4\u6a21\u800c\u5f02&#xff0c;\u56e0\u6b64\u5f3a\u70c8\u5efa\u8bae\u8003\u8651\u6570\u636e\u6bd4\u4f8b\u548c\u5355\u4f4d\u3002<\/span><\/span><\/span><\/p>\n<p>      <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">&#x1f4ad; Another Way to Compare Data &#x1f4ad; \u53e6\u4e00\u79cd\u6bd4\u8f83\u6570\u636e\u7684\u65b9\u6cd5<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">In addition to simple subtraction or division, there are many ways to compare two data points. for example,\u00a0(y &#8211; x) \/ x\u00a0allows for the comparison of two data points as a ratio. \u9664\u4e86\u7b80\u5355\u7684\u51cf\u6cd5\u6216\u9664\u6cd5\u5916&#xff0c;\u8fd8\u6709\u5f88\u591a\u65b9\u6cd5\u53ef\u4ee5\u6bd4\u8f83\u4e24\u4e2a\u6570\u636e\u70b9\u3002\u4f8b\u5982&#xff0c;\u00a0&#xff08;y &#8211; x&#xff09; \/ x\u00a0\u5141\u8bb8\u5c06\u4e24\u4e2a\u6570\u636e\u70b9\u4f5c\u4e3a\u6bd4\u7387\u8fdb\u884c\u6bd4\u8f83\u3002<\/span><\/span><\/span><\/p>\n<p>      <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">&#x1f525; Let&#039;s try it out! &#x1f525; \u8ba9\u6211\u4eec\u8bd5\u8bd5\u5427&#xff01;<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Let&#039;s create an Alpha using\u00a0operating income\u00a0and\u00a0market capitalization (cap). Try creating an Alpha using your preferred comparison method. \u8ba9\u6211\u4eec\u4f7f\u7528\u8425\u4e1a\u6536\u5165\u548c\u5e02\u503c &#xff08;cap&#xff09;\u00a0\u521b\u5efa\u4e00\u4e2a Alpha\u3002\u5c1d\u8bd5\u4f7f\u7528\u60a8\u9996\u9009\u7684\u6bd4\u8f83\u65b9\u6cd5\u521b\u5efa Alpha\u3002<\/span><\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Initially, the signal might not be as strong as desired. But don&#039;t worry! We&#039;ll learn how to improve this in the next steps. \u6700\u521d&#xff0c;\u4fe1\u53f7\u53ef\u80fd\u6ca1\u6709\u9884\u671f\u7684\u90a3\u4e48\u5f3a\u3002\u4f46\u522b\u62c5\u5fc3&#xff01;\u5728\u63a5\u4e0b\u6765\u7684\u6b65\u9aa4\u4e2d&#xff0c;\u6211\u4eec\u5c06\u5b66\u4e60\u5982\u4f55\u6539\u8fdb\u8fd9\u4e00\u70b9\u3002<\/span><\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0\">\n<p style=\"margin-left:0;margin-right:0\">&#x1f4cb; \u521b\u9020\u4ef7\u683c\u57fa\u672c\u9762\u7efc\u5408 Alpha&#xff1a;EBITDA\/\u4f01\u4e1a\u4ef7\u503c<\/p>\n<p style=\"margin-left:0;margin-right:0\">\u60a8\u53ef\u4ee5\u901a\u8fc7\u5c06 PV &#xff08;\u4ef7\u683c-\u4ea4\u6613\u91cf&#xff09; \u6570\u636e\u4e0e\u57fa\u672c\u9762\u6570\u636e\u76f8\u7ed3\u5408\u6765\u521b\u5efa\u66f4\u6709\u610f\u4e49\u7684 Alpha\u3002\u8ba9\u6211\u4eec\u6765\u7814\u7a76\u4e00\u4e2a Alpha&#xff0c;\u5b83\u901a\u8fc7\u5c06 Enterprise Value&#xff08;\u4e00\u79cd\u4e0e PV \u76f8\u5173\u7684\u6307\u6807&#xff09;\u4e0e EBITDA&#xff08;\u4e00\u4e2a\u57fa\u672c\u6570\u636e\u70b9&#xff09;\u76f8\u7ed3\u5408\u6765\u5229\u7528\u516c\u53f8\u4f30\u503c\u6307\u6807\u3002<\/p>\n<p>        <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">&#x1f50d; Data Characteristics\u00a0\u00a0&#x1f50d; \u6570\u636e\u7279\u5f81<\/span><\/span><\/span> <\/p>\n<p>         \u8fd9\u4e24\u79cd\u7c7b\u578b\u7684\u6570\u636e\u5177\u6709\u4e0d\u540c\u7684\u7279\u5f81\u3002\u5728\u521b\u5efa Alpha \u4e4b\u524d&#xff0c;\u8ba9\u6211\u4eec\u56de\u987e\u4e00\u4e0b\u5b83\u4eec\u7684\u529f\u80fd <\/p>\n<p>          <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Enterprise Value (EV)\u00a0\u00a0\u4f01\u4e1a\u4ef7\u503c &#xff08;EV&#xff09;<\/span><\/span><\/span> <\/p>\n<ul>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Represents the total value of a company \u4ee3\u8868\u516c\u53f8\u7684\u603b\u4ef7\u503c<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Calculated as market cap plus debt, minority interest, and preferred shares, minus cash and cash equivalents \u8ba1\u7b97\u65b9\u5f0f\u4e3a\u5e02\u503c\u52a0\u4e0a\u503a\u52a1\u3001\u5c11\u6570\u80a1\u4e1c\u6743\u76ca\u548c\u4f18\u5148\u80a1&#xff0c;\u518d\u51cf\u53bb\u73b0\u91d1\u548c\u73b0\u91d1\u7b49\u4ef7\u7269<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Updated frequently based on stock price changes \u6839\u636e\u80a1\u7968\u4ef7\u683c\u53d8\u5316\u9891\u7e41\u66f4\u65b0<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Considers a company&#039;s debt and cash position, unlike market cap alone \u8003\u8651\u516c\u53f8\u7684\u503a\u52a1\u548c\u73b0\u91d1\u72b6\u51b5&#xff0c;\u4e0e\u4ec5\u8003\u8651\u5e02\u503c\u4e0d\u540c<\/span><\/span><\/span><\/li>\n<\/ul>\n<p>            <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Enterprise Value (EV)\u00a0\u00a0\u4f01\u4e1a\u4ef7\u503c &#xff08;EV&#xff09;<\/span><\/span><\/span> <\/p>\n<ul>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Represents the total value of a company \u4ee3\u8868\u516c\u53f8\u7684\u603b\u4ef7\u503c<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Calculated as market cap plus debt, minority interest, and preferred shares, minus cash and cash equivalents \u8ba1\u7b97\u65b9\u5f0f\u4e3a\u5e02\u503c\u52a0\u4e0a\u503a\u52a1\u3001\u5c11\u6570\u80a1\u4e1c\u6743\u76ca\u548c\u4f18\u5148\u80a1&#xff0c;\u518d\u51cf\u53bb\u73b0\u91d1\u548c\u73b0\u91d1\u7b49\u4ef7\u7269<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Updated frequently based on stock price changes \u6839\u636e\u80a1\u7968\u4ef7\u683c\u53d8\u5316\u9891\u7e41\u66f4\u65b0<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Considers a company&#039;s debt and cash position, unlike market cap alone \u8003\u8651\u516c\u53f8\u7684\u503a\u52a1\u548c\u73b0\u91d1\u72b6\u51b5&#xff0c;\u4e0e\u4ec5\u8003\u8651\u5e02\u503c\u4e0d\u540c<\/span><\/span><\/span><\/li>\n<\/ul>\n<ul>\n<li>Represents the total value of a company \u4ee3\u8868\u516c\u53f8\u7684\u603b\u4ef7\u503c<\/li>\n<li>Calculated as market cap plus debt, minority interest, and preferred shares, minus cash and cash equivalents \u8ba1\u7b97\u65b9\u5f0f\u4e3a\u5e02\u503c\u52a0\u4e0a\u503a\u52a1\u3001\u5c11\u6570\u80a1\u4e1c\u6743\u76ca\u548c\u4f18\u5148\u80a1&#xff0c;\u518d\u51cf\u53bb\u73b0\u91d1\u548c\u73b0\u91d1\u7b49\u4ef7\u7269<\/li>\n<li>Updated frequently based on stock price changes \u6839\u636e\u80a1\u7968\u4ef7\u683c\u53d8\u5316\u9891\u7e41\u66f4\u65b0<\/li>\n<li>Considers a company&#039;s debt and cash position, unlike market cap alone \u8003\u8651\u516c\u53f8\u7684\u503a\u52a1\u548c\u73b0\u91d1\u72b6\u51b5&#xff0c;\u4e0e\u4ec5\u8003\u8651\u5e02\u503c\u4e0d\u540c<\/li>\n<li>\u4f01\u4e1a\u4ef7\u503c\u663e\u793a\u5e02\u573a\u5206\u914d\u7ed9\u516c\u53f8\u7684\u603b\u4ef7\u503c&#xff0c;\u5305\u62ec\u5176\u503a\u52a1\u3002EBITDA \u4ee3\u8868\u516c\u53f8\u4ece\u6301\u7eed\u8fd0\u8425\u4e2d\u83b7\u5f97\u7684\u76c8\u5229\u80fd\u529b\u3002\u901a\u8fc7\u6bd4\u8f83\u8fd9\u4e24\u8005&#xff0c;\u6211\u4eec\u53ef\u4ee5\u8bc4\u4f30\u4e00\u5bb6\u516c\u53f8\u76f8\u5bf9\u4e8e\u5176\u4ea7\u751f\u6536\u76ca\u7684\u80fd\u529b\u662f\u5426\u53ef\u80fd\u88ab\u4f4e\u4f30\u6216\u9ad8\u4f30\u3002\u6bd4\u8f83\u8fd9\u4e9b\u6307\u6807\u7684\u6700\u5e38\u89c1\u65b9\u6cd5\u662f\u8ba1\u7b97 EV\/EBITDA \u6bd4\u7387\u3002\u8fd9\u901a\u5e38\u79f0\u4e3a \u201c\u4f01\u4e1a\u500d\u589e\u201d\u3002<\/li>\n<li>A lower EV\/EBITDA ratio might suggest that a company is undervalued \u8f83\u4f4e\u7684 EV\/EBITDA \u6bd4\u7387\u53ef\u80fd\u8868\u660e\u4e00\u5bb6\u516c\u53f8\u88ab\u4f4e\u4f30\u4e86<\/li>\n<li>A higher ratio might indicate overvaluation or high growth expectations \u8f83\u9ad8\u7684\u6bd4\u7387\u53ef\u80fd\u8868\u660e\u4f30\u503c\u8fc7\u9ad8\u6216\u589e\u957f\u9884\u671f\u8f83\u9ad8<\/li>\n<li>Industry comparisons are important, as typical ratios can vary significantly between sectors \u884c\u4e1a\u6bd4\u8f83\u5f88\u91cd\u8981&#xff0c;\u56e0\u4e3a\u4e0d\u540c\u884c\u4e1a\u7684\u5178\u578b\u6bd4\u7387\u53ef\u80fd\u4f1a\u6709\u5f88\u5927\u5dee\u5f02<\/li>\n<\/ul>\n<p><span style=\"color:#353e4f\"><span style=\"background-color:#f5f5f5\">&#x1f4da; Types of Operators: Time Series &amp; Cross-Sectional<\/span><\/span><\/p>\n<\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">\u524d\u9762&#xff0c;\u6211\u4eec\u770b\u5230\u6709\u51e0\u79cd\u7c7b\u578b\u7684\u8fd0\u7b97\u7b26\u3002\u5728\u6b64\u6b65\u9aa4\u4e2d&#xff0c;\u6211\u4eec\u5c06\u7814\u7a76\u4e24\u79cd\u68c0\u67e5\u7279\u5b9a\u503c\u7684\u65b9\u6cd5&#xff1a;\u00a0\u65f6\u95f4\u5e8f\u5217\u00a0\u548c\u6a2a\u622a\u9762\u65b9\u6cd5\u3002<\/span><\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0;text-align:left\"><span style=\"color:#353e4f\"><span style=\"background-color:#f5f5f5\">\u8ba9\u6211\u4eec\u60f3\u8c61\u4e00\u4e2a\u5728\u8003\u8bd5\u4e2d\u5f97\u4e86 80 \u5206\u7684\u5b66\u751f\u3002\u8bc4\u4f30\u8fd9\u4e2a\u5206\u6570\u6709\u4e24\u79cd\u4e3b\u8981\u65b9\u6cd5&#xff1a;\u00a0\u5c06\u5176\u4e0e\u81ea\u5df1\u8fc7\u53bb\u7684\u5206\u6570\u8fdb\u884c\u6bd4\u8f83\u00a0&#xff0c;\u6216\u8005\u5c06\u5176\u4e0e\u5176\u4ed6\u5b66\u751f\u5728\u672c\u6b21\u6d4b\u8bd5\u4e2d\u7684\u5206\u6570\u8fdb\u884c\u6bd4\u8f83\u00a0\u3002\u5982\u679c\u5b66\u751f\u901a\u5e38\u83b7\u5f97 70 \u5206&#xff0c;\u4f46\u7b2c\u4e00\u6b21\u8fbe\u5230 80 \u5206&#xff0c;\u90a3\u5f80\u5f80\u88ab\u8ba4\u4e3a\u662f\u4e00\u4e2a\u597d\u7684\u6210\u5c31\u3002Time Series \u8fd0\u7b97\u7b26\u7c7b\u4f3c\u4e8e\u8fd9\u79cd\u4e0e\u8fc7\u53bb\u5206\u6570\u8fdb\u884c\u6bd4\u8f83\u7684\u65b9\u6cd5\u3002\u00a0\u65f6\u95f4\u5e8f\u5217\u8fd0\u7b97\u7b26\u5305\u62ec\u4f7f\u7528\u8fc7\u53bb\u503c\u8ba1\u7b97\u5e73\u5747\u503c &#xff08;ts_mean&#xff09; \u6216\u53d8\u5316 &#xff08;ts_delta&#xff09; \u7684\u8fd0\u7b97\u7b26\u3002<\/span><\/span><\/p>\n<ul>\n<li>ts_rank(x,d):\u00a0Ranks x values for each stock over the past d days and distributes them on a 0-1 scale, similar to rank() ts_rank&#xff08;x&#xff0c;d&#xff09;&#xff1a;\u00a0\u5bf9\u8fc7\u53bb d \u5929\u5185\u6bcf\u53ea\u80a1\u7968\u7684 x \u503c\u8fdb\u884c\u6392\u540d&#xff0c;\u5e76\u4ee5 0-1 \u7684\u7b49\u7ea7\u5206\u914d\u5b83\u4eec&#xff0c;\u7c7b\u4f3c\u4e8e rank&#xff08;&#xff09;<\/li>\n<li>ts_zscore(x,d):\u00a0Shows how far today&#039;s x is from the d-day average in standard deviation units (Z-score) ts_zscore&#xff08;x&#xff0c;d&#xff09;&#xff1a;\u00a0\u663e\u793a\u4eca\u5929\u7684 x \u4e0e\u6807\u51c6\u5dee\u5355\u4f4d &#xff08;Z \u5206\u6570\u00a0&#xff09; \u7684 d \u65e5\u5e73\u5747\u503c\u7684\u8ddd\u79bb<\/li>\n<li>ts_mean(x, d):\u00a0Returns the average of x values over the past d days ts_mean&#xff08;x&#xff0c; d&#xff09;&#xff1a;\u00a0\u8fd4\u56de\u8fc7\u53bb d \u5929 x \u503c\u7684\u5e73\u5747\u503c\u8ba9\u6211\u4eec\u60f3\u8c61\u4e00\u4e0b&#xff0c;\u8fd9\u4e2a\u5b66\u751f\u7684\u540c\u5b66\u5728\u8fd9\u6b21\u8003\u8bd5\u4e2d\u5f97\u5206\u7ea6\u4e3a 90 \u5206\u3002<\/li>\n<\/ul>\n<p>\u4ece\u6bd4\u8f83\u7684\u89d2\u5ea6\u6765\u770b&#xff0c;\u53ef\u80fd\u5f88\u96be\u8bf4\u4ed6\u4eec\u53d6\u5f97\u4e86\u4f18\u5f02\u7684\u6210\u7ee9<span style=\"color:#353e4f\"><span style=\"background-color:#f5f5f5\">\u540c\u6837&#xff0c;\u00a0\u6a2a\u65ad\u9762\u8fd0\u7b97\u7b26\u7c7b\u4f3c\u4e8e\u4e0e\u5176\u4ed6\u5b66\u751f\u5f53\u524d\u8003\u8bd5\u6210\u7ee9\u8fdb\u884c\u6bd4\u8f83\u7684\u7b2c\u4e8c\u79cd\u65b9\u6cd5\u3002<\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0;text-align:left\"><span style=\"color:#353e4f\"><span style=\"background-color:#f5f5f5\">ilarly,\u00a0Cross-Sectional operators\u00a0resemble this second method of comparing with other students&#039; current test scores. \u540c\u6837&#xff0c;\u00a0\u6a2a\u65ad\u9762\u8fd0\u7b97\u7b26\u7c7b\u4f3c\u4e8e\u4e0e\u5176\u4ed6\u5b66\u751f\u5f53\u524d\u8003\u8bd5\u6210\u7ee9\u8fdb\u884c\u6bd4\u8f83\u7684\u7b2c\u4e8c\u79cd\u65b9\u6cd5\u3002<\/span><\/span><\/p>\n<p style=\"margin-left:0;margin-right:0;text-align:left\"><span style=\"color:#353e4f\"><span style=\"background-color:#f5f5f5\">Here are some representative Cross-Sectional operators: \u4ee5\u4e0b\u662f\u4e00\u4e9b\u5177\u6709\u4ee3\u8868\u6027\u7684 Cross-Sectional \u8fd0\u7b97\u7b26&#xff1a;<\/span><\/span><\/p>\n<ul>\n<li>rank(x):\u00a0Returns a uniformly distributed value between 0.0 and 1.0 based on ranking among all stocks \u6392\u540d &#xff08;x&#xff09;&#xff1a;\u00a0\u6839\u636e\u6240\u6709\u80a1\u7968\u4e2d\u7684\u6392\u540d\u8fd4\u56de\u4ecb\u4e8e 0.0 \u548c 1.0 \u4e4b\u95f4\u7684\u5747\u5300\u5206\u5e03\u503c<\/li>\n<li>zscore(x):\u00a0Shows how far an instrument&#039;s x value is from the mean in standard deviation units (Z-score) zscore&#xff08;x&#xff09; \u7684\u663e\u793a\u4eea\u5668\u7684 x \u503c\u4e0e\u4ee5\u6807\u51c6\u5dee\u5355\u4f4d\u8868\u793a\u7684\u5e73\u5747\u503c&#xff08;Z \u5206\u6570\u00a0&#xff09;\u7684\u8ddd\u79bb<\/li>\n<li>winsorize(x, std&#061;4):\u00a0Limits extreme values so all x values fall between upper and lower bounds set by standard deviation multiples winsorize&#xff08;x&#xff0c; std&#061;4&#xff09;&#xff1a;\u00a0\u9650\u5236\u6781\u503c&#xff0c;\u4ee5\u4fbf\u6240\u6709 x \u503c\u90fd\u4f4d\u4e8e\u6807\u51c6\u5dee\u500d\u6570\u8bbe\u7f6e\u7684\u4e0a\u9650\u548c\u4e0b\u9650\u4e4b\u95f4<\/li>\n<\/ul>\n<p><img loading=\"lazy\" decoding=\"async\" alt=\"\" height=\"264\" src=\"https:\/\/www.wsisp.com\/helps\/wp-content\/uploads\/2025\/06\/20250603192258-683f4b928f55e.png\" width=\"705\" \/><\/p>\n<\/p>\n<p>               <span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Alpha Ideas Exploration &#x1f4a1; Alpha Ideas \u63a2\u7d22<\/span><\/span><\/span> <\/p>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">When you want to compare data, you can use the following methods: \u5f53\u60a8\u9700\u8981\u6bd4\u8f83\u6570\u636e\u65f6&#xff0c;\u53ef\u4ee5\u4f7f\u7528\u4ee5\u4e0b\u65b9\u6cd5&#xff1a;<\/span><\/span><\/span><\/p>\n<ul>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Using subtraction or division:\u00a0Suitable for simple indicator comparisons \u4f7f\u7528\u51cf\u6cd5\u6216\u9664\u6cd5&#xff1a;\u00a0\u9002\u7528\u4e8e\u7b80\u5355\u7684\u6307\u6807\u6bd4\u8f83<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Can also compare using various methods like\u00a0(y &#8211; x) \/ x \u4e5f\u53ef\u4ee5\u4f7f\u7528\u5404\u79cd\u65b9\u6cd5\u8fdb\u884c\u6bd4\u8f83&#xff0c;\u4f8b\u5982\u00a0&#xff08;y &#8211; x&#xff09; \/ x<\/span><\/span><\/span><\/li>\n<\/ul>\n<p style=\"margin-left:0;margin-right:0\"><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Analysis Methods\u00a0\u00a0\u5206\u6790\u65b9\u6cd5<\/span><\/span><\/span><\/p>\n<ul>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Time Series:\u00a0Comparing current performance to past \u65f6\u95f4\u5e8f\u5217&#xff1a;\u00a0\u5c06\u5f53\u524d\u6027\u80fd\u4e0e\u8fc7\u53bb\u8fdb\u884c\u6bd4\u8f83<\/span><\/span><\/span><\/li>\n<li><span style=\"color:#333333\"><span style=\"background-color:#f5f5f5\"><span style=\"color:#353e4f\">Cross-Sectional:\u00a0Comparison with other companies \u6a2a\u622a\u9762&#xff1a;\u00a0\u4e0e\u5176\u4ed6\u516c\u53f8\u7684\u6bd4\u8f83<\/span><\/span><\/span><\/li>\n<\/ul>\n<p>Weight \u592a\u5f3a\u96c6\u4e2d\u6216\u5206\u914d\u4e86 Weight \u7684\u4e50\u5668\u592a\u5c11&#xff1f;<\/p>\n<\/p>\n<p style=\"text-align:left\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">You can handle low coverage as follows: \u60a8\u53ef\u4ee5\u6309\u5982\u4e0b\u65b9\u5f0f\u5904\u7406\u4f4e\u8986\u76d6\u7387&#xff1a;<\/span><\/span><\/p>\n<ul style=\"margin-left:20px;margin-right:0\">\n<li>Use &#034;NAN HANDLING&#034; On in Settings \u5728\u8bbe\u7f6e\u4e2d\u4f7f\u7528 \u201cNAN HANDLING\u201d On<\/li>\n<li>If NaNHandling &#061; \u2018Off\u2019, NaNs can be handled other ways such as using is_nan operator. Example:\u00a0 \u5982\u679c NaNHandling &#061; &#039;Off&#039;&#xff0c;\u5219\u53ef\u4ee5\u4ee5\u5176\u4ed6\u65b9\u5f0f\u5904\u7406 NaN&#xff0c;\u4f8b\u5982\u4f7f\u7528 is_nan \u8fd0\u7b97\u7b26\u3002\u4f8b&#xff1a;<\/li>\n<\/ul>\n<p>               <span style=\"background-color:#f7f7f7\"><span style=\"color:#333333\">is_nan(ts_rank(income_tax, 60)) ? ts_rank(sales, 60) : ts_rank(income_tax, 60)<\/span><\/span> <\/p>\n<p style=\"text-align:left\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">Here, ts_rank(sales, 60) is used when income_tax has NaN value for all 252 days. \u6b64\u5904&#xff0c;\u5f53 income_tax \u5728\u6240\u6709 252 \u5929\u5185\u90fd\u5177\u6709 NaN \u503c\u65f6&#xff0c;\u5c06\u4f7f\u7528 ts_rank&#xff08;sales&#xff0c; 60&#xff09;\u3002<\/span><\/span><\/p>\n<ul style=\"margin-left:20px;margin-right:0\">\n<li>Use group_count ( data_field, group) to check the coverage. If the datafield has low coverage, please use other data_fields or use group_mean, group_backfill to increase the coverage of alphas \u4f7f\u7528 group_count &#xff08; data_field&#xff0c; group&#xff09; \u68c0\u67e5\u8986\u76d6\u7387\u3002\u5982\u679c datafield \u8986\u76d6\u7387\u4f4e&#xff0c;\u8bf7\u4f7f\u7528\u5176\u4ed6 data_fields \u6216\u4f7f\u7528 group_mean\u3001group_backfill \u6765\u589e\u52a0 alpha \u7684\u8986\u76d6\u7387<\/li>\n<\/ul>\n<p>\u5bf9nan\u7684\u5b9e\u65f6\u6295\u5f71<\/p>\n<ul style=\"margin-left:20px;margin-right:0\">\n<li>Use group_count ( data_field, group) to check the coverage. If the datafield has low coverage, please use other data_fields or use group_mean, group_backfill to increase the coverage of alphas \u4f7f\u7528 group_count &#xff08; data_field&#xff0c; group&#xff09; \u68c0\u67e5\u8986\u76d6\u7387\u3002\u5982\u679c datafield \u8986\u76d6\u7387\u4f4e&#xff0c;\u8bf7\u4f7f\u7528\u5176\u4ed6 data_fields \u6216\u4f7f\u7528 group_mean\u3001group_backfill \u6765\u589e\u52a0 alpha \u7684\u8986\u76d6\u7387<\/li>\n<\/ul>\n<p style=\"text-align:left\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">or you can try back fill: \u6216\u8005\u60a8\u53ef\u4ee5\u5c1d\u8bd5\u56de\u586b&#xff1a;<\/span><\/span><\/p>\n<p>               <span style=\"background-color:#f7f7f7\"><span style=\"color:#333333\">ts_backfill(x,lookback &#061; d, k&#061;1, ignore&#061;&#034;NAN&#034;), d &#061; your own period<\/span><\/span> <\/p>\n<p>                <span style=\"color:#333333\"><span style=\"background-color:#ffffff\">Backfill is the process of replacing the NAN or 0 values by a meaningful value\u00a0 \u56de\u586b\u662f\u5c06 NAN \u6216 0 \u503c\u66ff\u6362\u4e3a\u6709\u610f\u4e49\u7684\u503c\u7684\u8fc7\u7a0b<\/span><\/span> <\/p>\n<p>                <span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u63d0\u9ad8weight factory<\/span><\/span> <\/p>\n<p>                \u63d0\u9ad8 Alpha \u8868\u73b0\u00a0&#xff1a;\u968f\u7740\u65f6\u95f4\u7684\u63a8\u79fb&#xff0c;\u59cb\u7ec8\u5982\u4e00\u7684\u5f3a\u52b2\u8868\u73b0\u662f\u589e\u52a0\u4f53\u91cd\u56e0\u5b50\u7684\u5173\u952e\u3002\u8fd9\u5305\u62ec\u5177\u6709\u9ad8\u00a0<br \/>\n                \u00a0\u590f\u666e\u6bd4\u7387\u00a0\u3001\u00a0<br \/>\n                \u00a0\u4e00\u81f4\u7684\u56de\u62a5\u548c\u6700\u5c0f\u7684\u00a0<br \/>\n                \u00a0\u56de\u64a4\u00a0\u3002\u5982\u679c\u60a8\u7684 Alpha \u6a21\u578b\u63d0\u4f9b\u4e86\u51fa\u8272\u7684\u7ed3\u679c&#xff0c;\u90a3\u4e48\u5b83\u4eec\u5f88\u53ef\u80fd\u4f1a\u5728\u5e73\u53f0\u7684\u8bc4\u4f30\u4e2d\u83b7\u5f97\u66f4\u9ad8\u7684\u6743\u91cd\u3002 <\/p>\n<p>                 \u8fd9\u91cc\u662f\u4e00\u81f4\u7684\u56de\u62a5\u7387 <\/p>\n<p>                \u589e\u52a0 Alpha \u8d21\u732e\u00a0&#xff1a;\u5b9a\u671f\u8d21\u732e\u8868\u73b0\u826f\u597d\u6216\u5728<br \/>\n                \u5065\u5eb7\u00a0\u3001\u00a0<br \/>\n                \u00a0\u6837\u672c\u5916\u8868\u73b0\u548c\u00a0<br \/>\n                \u00a0\u7a33\u5065\u6027\u00a0\u00a0\u7b49\u00a0\u5173\u952e\u6307\u6807\u6709\u6240\u6539\u5584\u7684\u65b0 Alpha \u5c06\u6709\u52a9\u4e8e\u6539\u5584\u60a8\u7684\u4f53\u91cd\u7cfb\u6570\u3002\u6b64\u5916&#xff0c;\u968f\u7740\u65f6\u95f4\u7684\u63a8\u79fb\u63d0\u9ad8\u00a0alpha \u7684<br \/>\n                \u7a33\u5b9a\u6027\u00a0\u00a0\u548c\u00a0<br \/>\n                \u00a0\u591a\u5143\u5316\u00a0\u00a0\u4e5f\u5f88\u91cd\u8981\u3002 <\/p>\n<p>                 \u6211\u4eec\u540e\u9762\u4e5f\u53ef\u4ee5\u5c1d\u8bd5 <\/p>\n<p>                 ts_scae\u51fd\u6570 <\/p>\n<p>                 \u548czscore\u51fd\u6570\u51cf\u5c11\u622a\u65ad\u503ctranction <\/p>\n<p>                 \u6211\u4eec\u4e5f\u53ef\u4ee5\u7528winsorize\u6216\u8005\u662fts_backfil.\u5f53\u7136&#xff0c;\u6211\u4eec\u53ef\u4ee5\u7528trade_when&#xff0c;\u8fd9\u4e2a\u65f6\u5019\u5f53volume\u5927\u4e8e0\u7684\u65f6\u5019\u8fdb\u884c\u4e00\u4e2a\u64cd\u4f5c<br \/>\n                <span style=\"color:#333333\"><span style=\"background-color:#ffffff\">You won&#039;t have visibility into specific equities. An Alpha is designed to create an overall strategy that can be applied in a weighted fashion across the portfolio of equities.<\/span><\/span><br \/>\n                 \u60a8\u5c06\u65e0\u6cd5\u67e5\u770b\u7279\u5b9a\u7684\u80a1\u7968\u3002Alpha \u65e8\u5728\u521b\u5efa\u4e00\u4e2a\u6574\u4f53\u7b56\u7565&#xff0c;\u8be5\u7b56\u7565\u53ef\u4ee5\u4ee5\u52a0\u6743\u65b9\u5f0f\u5e94\u7528\u4e8e\u6574\u4e2a\u80a1\u7968\u6295\u8d44\u7ec4\u5408\u3002<br \/>\n                A Simple Overview of Quantitative Analysis <\/p>\n<p>                 Sub-universe Sharpe\u5b50\u5b87\u5b99\u590f\u666e\u503c\u7684\u6807\u7ea2\u5462 <\/p>\n<p>                 \u3002\u70b9\u51fb\u9519\u8bef\u63d0\u793a\u4e2d\u7684\u00a0<br \/>\n                \u5b98\u65b9\u6587\u7ae0\u00a0\u94fe\u63a5&#xff0c;\u53ef\u4ee5\u770b\u5230\u5e73\u53f0\u5efa\u8bae\u4f7f\u7528\u00a0<br \/>\n                ts_decay_linear(x, d)\u00a0\u64cd\u4f5c\u7b26\u6765\u4f18\u5316\u4fe1\u53f7\u5e73\u7a33\u6027\u3002\u7136\u800c\u5728\u6709\u4e9b\u60c5\u51b5\u4e0b\u4f7f\u7528\u00a0<br \/>\n                hump(x, hump&#061;)\u00a0\u64cd\u4f5c\u7b26\u5bf9\u6539\u5584\u00a0Sub-universe Sharpe\u00a0\u66f4\u52a0\u76f4\u63a5\u6709\u6548&#xff0c;\u5c24\u5176\u662f\u5728\u63a7\u5236\u6ce2\u52a8\u6027\u3001\u964d\u4f4e\u6362\u624b\u7387\u65b9\u9762\u8868\u73b0\u51fa\u8272\u3002\u6211\u5c06\u5bf9\u6b64\u505a\u7b80\u8981\u63a2\u8ba8&#xff0c;\u5e76\u4e0e\u5e38\u7528\u7684\u00a0<br \/>\n                ts_mean\u00a0\u4e0e\u00a0<br \/>\n                ts_decay_linear\u00a0\u505a\u5bf9\u6bd4\u3002 <\/p>\n<h3>\u4e00\u3001\u95ee\u9898\u6839\u6e90\u5b9a\u4f4d<\/h3>\n<p>\u5f53\u770b\u5230 \u201cSub-universe Sharpe is below cutoff\u201d\u00a0\u7684\u9519\u8bef\u65f6&#xff0c;\u53ef\u80fd\u662f\u7531\u4e8e\u4ee5\u4e0b\u51e0\u7c7b\u95ee\u9898\u5bfc\u81f4\u7684&#xff1a;<\/p>\n<li>\n<p>\u4fe1\u53f7\u5931\u6548&#xff1a;Alpha\u00a0\u5728\u00a0sub-universe&#xff08;\u5982\u00a0USA TOP1000&#xff09;\u4e2d\u8f93\u51fa\u4e3a\u5168\u96f6\u3001\u5168\u00a0NaN\u00a0\u6216\u5b8c\u5168\u968f\u673a&#xff0c;\u65e0\u6cd5\u5e26\u6765\u6709\u6548\u6536\u76ca\u3002<\/p>\n<\/li>\n<li>\n<p>\u6781\u7aef\u503c\u6c61\u67d3&#xff1a;\u5c11\u6570\u80a1\u7968\u7684\u00a0Alpha\u00a0\u503c\u5f02\u5e38&#xff0c;\u5bfc\u81f4\u4e2d\u6027\u5316\u5904\u7406\u65f6\u51fa\u73b0\u975e\u6b63\u5e38\u653e\u5927\u3002<\/p>\n<\/li>\n<li>\n<p>\u6d41\u52a8\u6027\u9519\u914d&#xff1a;Alpha\u00a0\u4e3b\u8981\u4f5c\u7528\u4e8e\u975e\u6d41\u52a8\u6027\u80a1\u7968&#xff08;\u5982\u00a0TOP3000\u00a0\u7684\u5c3e\u90e8\u80a1\u7968&#xff09;&#xff0c;\u5230\u4e86\u6d41\u52a8\u6027\u66f4\u9ad8\u7684\u00a0TOP1000 sub-universe\u540e\u5931\u6548\u3002<\/p>\n<p style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">hump(x, hump&#061;0.01)\u00a0\u7684\u6838\u5fc3\u76ee\u7684\u662f\u9650\u5236\u5355\u65e5\u00a0Alpha\u00a0\u503c\u7684\u53d8\u5316\u5e45\u5ea6&#xff0c;\u4ece\u800c\u5e73\u6ed1\u4fe1\u53f7\u8f93\u51fa\u3001\u964d\u4f4e\u6362\u624b\u7387\u548csub-universe\u98ce\u9669\u655e\u53e3\u3002<\/span><\/span><\/p>\n<h4 style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u5e95\u5c42\u673a\u5236\u516c\u5f0f&#xff1a;<\/span><\/span><\/h4>\n<p style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">limit&#061;hump\u2217group_sum(abs(alpha_values),market)\u00a0#\u975ebrain\u5e73\u53f0\u8868\u8fbe\u5f0f limit&#061;hump\u2217group_sum&#xff08;abs&#xff08;alpha_values&#xff09;&#xff0c;market&#xff09;\u00a0#\u00a0\u975e\u00a0brain\u00a0\u5e73\u53f0\u8868\u8fbe\u5f0f<\/span><\/span><\/p>\n<\/li>\n<li>\n<p>alpha_values&#xff1a;\u4f60\u4e3a\u6bcf\u53ea\u80a1\u7968\u751f\u6210\u7684\u539f\u59cb\u00a0Alpha\u00a0\u503c&#xff1b;<\/p>\n<\/li>\n<li>\n<p>hump&#xff1a;\u4e00\u4e2a\u6bd4\u4f8b\u53c2\u6570&#xff0c;\u8bbe\u5b9a\u6bcf\u5929\u5141\u8bb8\u6700\u5927\u53d8\u52a8\u5e45\u5ea6\u7684\u4e0a\u9650&#xff1b;<\/p>\n<\/li>\n<li>\n<p>group_sum(abs(alpha_values), market)&#xff1a;\u8ba1\u7b97\u5f53\u524d\u5e02\u573a\u4e2d\u00a0Alpha\u00a0\u4fe1\u53f7\u7684\u603b\u5f3a\u5ea6&#xff08;\u7edd\u5bf9\u503c\u4e4b\u548c&#xff09;\u3002<\/p>\n<\/li>\n<li>\n<h4 style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u7ecf\u6d4e\u542b\u4e49&#xff1a;<\/span><\/span><\/h4>\n<\/li>\n<li>\n<p>\u9650\u5236\u8fc7\u5ea6\u8c03\u4ed3&#xff1a;\u5982\u679c\u00a0Alpha\u00a0\u65e5\u5ea6\u53d8\u5316\u8fc7\u5927&#xff0c;\u4f1a\u5f15\u53d1\u9891\u7e41\u4ea4\u6613&#xff0c;\u589e\u52a0\u6210\u672c\u3002hump\u00a0\u8bbe\u7f6e\u4e86\u4e00\u4e2a\u201c\u901f\u5ea6\u9650\u5236\u5668\u201d&#xff0c;\u907f\u514d\u51fa\u73b0\u8fd9\u79cd\u95ee\u9898\u3002<\/p>\n<\/li>\n<li>\n<p>\u5e73\u6ed1\u5927\u6ce2\u52a8&#xff1a;\u5728\u67d0\u4e9b\u8d44\u4ea7\u4e2d\u00a0Alpha\u00a0\u5f02\u5e38\u5927\u65f6&#xff0c;\u901a\u8fc7\u00a0hump\u00a0\u63a7\u5236\u5176\u6743\u91cd\u8c03\u6574\u901f\u7387&#xff0c;\u9632\u6b62\u00a0Alpha\u00a0\u653e\u5927\u5e26\u6765\u6536\u76ca\u7387\u504f\u79bb\u3002<\/p>\n<\/li>\n<li>\n<p>\u63a7\u5236\u96c6\u4e2d\u5ea6\u98ce\u9669&#xff1a;\u5f53\u5e02\u573a\u4e2d\u67d0\u7c7b\u8d44\u4ea7\u96c6\u4e2d\u62e5\u6709\u9ad8\u6743\u91cd\u65f6&#xff0c;hump\u00a0\u673a\u5236\u5f3a\u884c\u7ea6\u675f\u5176\u53d8\u52a8\u89c4\u6a21&#xff0c;\u4f7f\u6295\u8d44\u7ec4\u5408\u66f4\u52a0\u5747\u8861\u3002 reference&#xff1a;\u53c2\u8003\u8bba\u575b\u5e16\u5b50Hump Operator\u4e0b\u56de\u590d\u5185\u5bb9  \u00a0<\/p>\n<\/li>\n<li>\n<hr \/>\n<h3 style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u4e09\u3001\u4e0e\u5176\u4ed6\u5e73\u6ed1\u7b97\u5b50\u5bf9\u6bd4\u5206\u6790<\/span><\/span><\/h3>\n<table>\n<tr>\n<p>\u64cd\u4f5c\u7b26<\/p>\n<p>\u6838\u5fc3\u903b\u8f91<\/p>\n<p>\u6570\u636e\u4f9d\u8d56\u8303\u56f4<\/p>\n<p>\u4f18\u7f3a\u70b9<\/p>\n<\/tr>\n<tbody>\n<tr>\n<td style=\"background-color:#ffffff\">\n<p>hump(x, hump)<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u9650\u5236\u6bcf\u4e2a\u00a0Alpha\u00a0\u503c\u5355\u65e5\u53d8\u52a8\u5e45\u5ea6<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u5f53\u524d\u503c\u4e0e\u6628\u65e5\u503c\u5dee\u5f02<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u2705 \u63a7\u6ce2\u52a8 \u2705 \u964d\u6362\u624b \u2705 \u63a7\u5236\u98ce\u9669&#xff1b;\u26a0\ufe0f \u53ef\u80fd\u51cf\u5f31\u4fe1\u53f7\u54cd\u5e94<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td style=\"background-color:#ffffff\">\n<p>ts_mean(x, d)<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u7b80\u5355\u5e73\u5747&#xff0c;\u5e73\u6ed1\u6ce2\u52a8<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u8fc7\u53bb\u00a0d\u00a0\u65e5\u539f\u59cb\u503c<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u2705 \u964d\u566a\u7b80\u5355&#xff1b;\u26a0\ufe0f \u6ede\u540e\u5927&#xff0c;\u4fe1\u53f7\u53cd\u5e94\u6162<\/p>\n<\/td>\n<\/tr>\n<tr>\n<td style=\"background-color:#ffffff\">\n<p>ts_decay_linear(x, d)<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u8d8b\u52bf\u52a0\u6743\u5e73\u6ed1&#xff0c;\u8fd1\u671f\u6743\u91cd\u66f4\u9ad8<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u8fc7\u53bb\u00a0d\u00a0\u65e5\u52a0\u6743\u503c<\/p>\n<\/td>\n<td style=\"background-color:#ffffff\">\n<p>\u2705 \u4fdd\u7559\u8d8b\u52bf&#xff0c;\u9002\u4e2d\u5e73\u6ed1&#xff1b;\u26a0\ufe0f \u5bf9\u6781\u7aef\u503c\u4ecd\u654f\u611f<\/p>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<hr \/>\n<h3 style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u56db\u3001\u5b9e\u6218\u5efa\u8bae&#xff1a;\u7ec4\u5408\u4f7f\u7528\u00a0hump\u00a0\u63d0\u9ad8\u9c81\u68d2\u6027<\/span><\/span><\/h3>\n<p style=\"text-align:start\"> <span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u8981\u89e3\u51b3 \u201cSub-universe Sharpe is below cutoff\u201d\u00a0\u7684\u62a5\u9519&#xff0c;\u9700\u8981\u63d0\u5347\u00a0Alpha\u00a0\u8868\u8fbe\u5f0f\u5728sub-universe\u4e2d\u7684\u7a33\u5b9a\u6027\u4e0e\u53ef\u4ea4\u6613\u6027&#xff0c;\u5c24\u5176\u8981\u63a7\u5236\u6ce2\u52a8\u6027\u3001\u5f02\u5e38\u503c\u5bf9\u6536\u76ca\u7387\u7684\u5e72\u6270&#xff0c;\u5e76\u907f\u514d\u8fc7\u5ea6\u4f9d\u8d56\u5c0f\u5e02\u503c\u6216\u975e\u6d41\u52a8\u6027\u80a1\u7968\u3002 \u5728\u00a0Alpha\u00a0\u8868\u8fbe\u5f0f\u4e2d\u53ef\u4f7f\u7528\u5982\u4e0b\u7ec4\u5408\u64cd\u4f5c&#xff1a;<\/span><\/span><\/p>\n<p> <span style=\"background-color:#f7f7f7\"><span style=\"color:#333333\">alpha &#061; hump(group_operator(alpha_expression, group), hump&#061;0.01)<\/span><\/span> <\/p>\n<p style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u8be5\u7ed3\u6784\u5177\u6709\u5982\u4e0b\u4f18\u70b9&#xff1a;<\/span><\/span><\/p>\n<\/li>\n<li>\n<p>group_operator(x, group)&#xff1a;\u5bf9\u884c\u4e1a\u3001\u5e02\u503c\u4e2d\u6027\u5316&#xff0c;\u51cf\u5c11\u96c6\u4e2d\u5ea6\u98ce\u9669\u7b49<\/p>\n<\/li>\n<li>\n<p>hump\u00a0\u63a7\u5236\u8c03\u4ed3\u9891\u7387\u548c\u5355\u65e5\u53d8\u52a8&#xff0c;\u786e\u4fdd\u5b50\u5b87\u5b99\u4e2d\u8868\u73b0\u66f4\u7a33\u5065&#xff1b;<\/p>\n<\/li>\n<li>\n<p>\u53ef\u8c03\u8282\u7684\u00a0hump\u00a0\u53c2\u6570&#xff0c;\u5e73\u8861\u54cd\u5e94\u901f\u5ea6\u548c\u7a33\u5b9a\u6027\u3002<\/p>\n<\/li>\n<li>\n<h4 style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u53ef\u642d\u914d\u5176\u4ed6\u64cd\u4f5c\u7b26&#xff1a;<\/span><\/span><\/h4>\n<\/li>\n<li>\n<p>winsorize(x, std&#061;4)&#xff1a;\u88c1\u526a\u6781\u7aef\u503c&#xff0c;\u63a7\u5236\u5f02\u5e38\u6ce2\u52a8&#xff1b;<\/p>\n<\/li>\n<li>\n<p>ts_decay_linear\u00a0\u4fdd\u7559\u8fd1\u671f\u8d8b\u52bf&#xff0c;\u540c\u65f6\u51cf\u5c11\u5386\u53f2\u6570\u636e\u5bf9\u9884\u6d4b\u7684\u5e72\u6270&#xff1b;<\/p>\n<\/li>\n<li>\n<h3 style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u4e94\u3001\u7ed3\u8bed<\/span><\/span><\/h3>\n<p style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">hump\u00a0\u662f\u4e00\u4e2a\u5bb9\u6613\u5ffd\u89c6\u4f46\u5b9e\u9645\u6548\u679c\u975e\u5e38\u663e\u8457\u7684\u64cd\u4f5c\u7b26\u3002\u5728\u4f18\u5316\u00a0Sub-universe Sharpe\u00a0\u65f6&#xff0c;\u5355\u9760\u00a0ts_mean\u00a0\u6216\u00a0ts_decay_linear\u00a0\u65e0\u6cd5\u5b8c\u5168\u6d88\u9664\u5f02\u5e38\u4fe1\u53f7\u6216\u8c03\u4ed3\u98ce\u9669&#xff0c;\u800c\u00a0hump\u00a0\u53ef\u4ee5\u76f4\u63a5\u5bf9\u00a0Alpha\u00a0\u8f93\u51fa\u505a\u201c\u7269\u7406\u9650\u5236\u201d&#xff0c;\u4ece\u6e90\u5934\u4e0a\u51cf\u5c11\u566a\u58f0\u548c\u98ce\u9669\u655e\u53e3\u3002<\/span><\/span><\/p>\n<p style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u5982\u679c\u5728\u63d0\u4ea4\u00a0Alpha\u00a0\u65f6\u9891\u7e41\u9047\u5230\u00a0Sub-universe\u00a0\u62a5\u9519&#xff0c;\u5efa\u8bae\u5c1d\u8bd5\u4ee5\u4e0b\u6d41\u7a0b&#xff1a;<\/span><\/span><\/p>\n<p> <span style=\"background-color:#f7f7f7\"><span style=\"color:#333333\">\u57fa\u7840 Alpha \u2192 decay\/winsorize \u964d\u566a \u2192 group_operator \u4e2d\u6027\u5316 \u2192 hump \u5e73\u6ed1\u8c03\u4ed3<\/span><\/span> <\/p>\n<p style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u501f\u52a9\u00a0hump\u00a0\u8fd9\u4e00\u201c\u8282\u6d41\u9600\u201d&#xff0c;\u4f60\u4f1a\u53d1\u73b0\u00a0Alpha\u00a0\u8868\u8fbe\u5f0f\u4e0d\u4ec5\u80fd\u66f4\u987a\u5229\u901a\u8fc7\u5e73\u53f0\u56de\u6d4b\u5ba1\u6838&#xff0c;\u8fd8\u80fd\u5728\u5b9e\u9645\u56de\u6d4b\u4e2d\u83b7\u5f97\u66f4\u7a33\u5065\u7684\u6536\u76ca\u66f2\u7ebf\u3002<\/span><\/span><\/p>\n<hr \/>\n<p style=\"text-align:start\"><span style=\"color:#333333\"><span style=\"background-color:#ffffff\">\u6b22\u8fce\u5728\u8bc4\u8bba\u533a\u5206\u4eab\u8ba8\u8bba\u4f60\u7684\u7ecf\u9a8c\u4e0e\u53c2\u6570\u8c03\u4f18\u7b56\u7565\u3002\u5e0c\u671b\u672c\u6587\u5bf9\u4f60\u7684\u8868\u8fbe\u5f0f\u6709\u6240\u5e2e\u52a9&#xff01;<\/span><\/span><\/p>\n<p style=\"text-align:start\"> \u00a0<\/p>\n<hr 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