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Phase 2.29 因子系统 v0

11 个因子只描述固定样本的历史数据特征，不生成排名、荐股、信号或订单。

PASS

FACTOR DEFINITIONS11 / 11

CATEGORIES5 · LIQUIDITY / RISK / TREND / MOMENTUM / TECHNICAL

FIXED SNAPSHOT2026-07-17

ACCESS MODEREAD ONLY

IMMUTABLE FACTOR CALCULATION RUN

factor_system_v0.1

PASS

数据版本锁FULL_A_RELEASE_SHARD_000_OF_021 · SHARD 0/21FULL_A_ADJ_QFQ_20260718_V1

因子值256 SYMBOLS × 11 FACTORS2,816 / 2,816

成功 / 缺失 / 失败NO IMPUTATION2,816 / 0 / 0

价格口径PRICE FACTORS USE ADJUSTED_CLOSE; NATIVE LIQUIDITY FIELDS RETAINEDRAW PRICE FIELDS USED 0

输入 / 结果指纹DETERMINISTIC / APPEND ONLY60589df32f41fa3b32f0… / fd19ed6d525a13217911…

FACTOR DEFINITION REGISTRY

11 个因子口径

MA20:PRESENT · MA60:PRESENT · MOMENTUM20:PRESENT · MOMENTUM60:PRESENT · VOLATILITY20:PRESENT · RSI14:PRESENT · TURNOVER_RATE:PRESENT · AMOUNT20AVG:PRESENT · VOLUME20AVG:PRESENT · MAX_DRAWDOWN60:PRESENT · DOWNSIDE_VOLATILITY60:PRESENT

FACTOR / VERSION	分类	公式	输入	LOOKBACK / OBS	单位	缺失口径	局限
AMOUNT20AVGAMOUNT20AVG_V1	liquidity	mean(amount[t-19:t])	amountadjusted_only	20 / 20	CNY	fail_closed_no_imputationANNUALIZATION: none	historical traded amount does not guarantee future capacity
DOWNSIDE_VOLATILITY60DOWNSIDE_VOLATILITY60_V1	risk	sqrt(mean(min(daily adjusted_close return,0)^2)) over 60 returns	adjusted_closeadjusted_only	60 / 60	daily_decimal	fail_closed_no_imputationANNUALIZATION: none	not annualized; small samples understate tail risk
MA20MA20_V1	trend	mean(adjusted_close[t-19:t])	adjusted_closeadjusted_only	20 / 20	CNY	fail_closed_no_imputationANNUALIZATION: none	historical moving average; not a forecast
MA60MA60_V1	trend	mean(adjusted_close[t-59:t])	adjusted_closeadjusted_only	60 / 60	CNY	fail_closed_no_imputationANNUALIZATION: none	historical moving average; slow response to regime changes
MAX_DRAWDOWN60MAX_DRAWDOWN60_V1	risk	min(adjusted_close / running_peak - 1 over 60 closes)	adjusted_closeadjusted_only	60 / 60	decimal	fail_closed_no_imputationANNUALIZATION: none	path-dependent historical drawdown
MOMENTUM20MOMENTUM20_V1	momentum	adjusted_close[t] / adjusted_close[t-20] - 1	adjusted_closeadjusted_only	20 / 20	decimal	fail_closed_no_imputationANNUALIZATION: none	historical return can reverse
MOMENTUM60MOMENTUM60_V1	momentum	adjusted_close[t] / adjusted_close[t-60] - 1	adjusted_closeadjusted_only	60 / 60	decimal	fail_closed_no_imputationANNUALIZATION: none	historical return can reverse
RSI14RSI14_V1	technical	100 - 100/(1 + avg_gain_14/avg_loss_14)	adjusted_closeadjusted_only	14 / 14	index_0_100	fail_closed_no_imputationANNUALIZATION: none	simple-window RSI, not Wilder smoothing; extreme values can persist
TURNOVER_RATETURNOVER_RATE_V1	liquidity	turnover_rate[t]	turnover_rateadjusted_only	1 / 1	decimal	fail_closed_no_imputationANNUALIZATION: none	source-defined historical turnover, not executable liquidity
VOLATILITY20VOLATILITY20_V1	risk	population_std(20 daily adjusted_close returns)	adjusted_closeadjusted_only	20 / 20	daily_decimal	fail_closed_no_imputationANNUALIZATION: none	not annualized; historical dispersion is not future risk
VOLUME20AVGVOLUME20AVG_V1	liquidity	mean(volume[t-19:t])	volumeadjusted_only	20 / 20	shares	fail_closed_no_imputationANNUALIZATION: none	historical share volume does not guarantee execution

COVERAGE & QUALITY

因子覆盖与质量门禁

因子	EXPECTED	SUCCESS	COVERAGE	SCORE	RAW / FUTURE	状态
AMOUNT20AVG	256	256	100.00%	100	0 / 0	PASS
DOWNSIDE_VOLATILITY60	256	256	100.00%	100	0 / 0	PASS
MA20	256	256	100.00%	100	0 / 0	PASS
MA60	256	256	100.00%	100	0 / 0	PASS
MAX_DRAWDOWN60	256	256	100.00%	100	0 / 0	PASS
MOMENTUM20	256	256	100.00%	100	0 / 0	PASS
MOMENTUM60	256	256	100.00%	100	0 / 0	PASS
RSI14	256	256	100.00%	100	0 / 0	PASS
TURNOVER_RATE	256	256	100.00%	100	0 / 0	PASS
VOLATILITY20	256	256	100.00%	100	0 / 0	PASS
VOLUME20AVG	256	256	100.00%	100	0 / 0	PASS

CATEGORY COVERAGE

分类与使用边界

NO RANKING

LIQUIDITYDESCRIPTIVE FACTORS ONLY3 FACTORS

RISKDESCRIPTIVE FACTORS ONLY3 FACTORS

TRENDDESCRIPTIVE FACTORS ONLY2 FACTORS

MOMENTUMDESCRIPTIVE FACTORS ONLY2 FACTORS

TECHNICALDESCRIPTIVE FACTORS ONLY1 FACTORS

GOVERNANCE GATES

因子不自动开启业务权限

ALL CLOSED

因子计算 APINO EXECUTION ENDPOINTCLOSED

策略 / 荐股NO SIGNAL OR RECOMMENDATIONCLOSED

模拟交易CLOSED

实盘交易CLOSED

本页不提供计算因子、运行因子、排名选股、推荐、策略、模拟交易或实盘交易操作。