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为何凸显因子的IC报告和几份金工报告不同 #1

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yuhuan1981 opened this issue Jun 11, 2023 · 6 comments
Open

为何凸显因子的IC报告和几份金工报告不同 #1

yuhuan1981 opened this issue Jun 11, 2023 · 6 comments

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@yuhuan1981
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@hugo2046
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hugo2046 commented Jun 12, 2023 •
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你好 我回测使用的日度，而金工报告使用的月度轮动，可能是这里造成的差异

@yuhuan1981
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你好，我看了一下你的是用20日的方差来进行回测，金工报告中或许是直接用了月度数据一次方差来做的。不过我觉得主要不同是在于IC的值，广发的ST系列都是负相关，但是你目前的结果看起来负相关不是很明显。

@hugo2046
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广发的跟其他几家貌似都不一样 广发的比较奇怪

@yuhuan1981
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球队硬币因子的表现就好很多，其实STR和这里理论是有相似的。

@hugo2046
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hugo2046 commented Sep 12, 2023 via email

@lightcax
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lightcax commented Mar 1, 2024

好像 𝜋 代表客观概率（ Objective Probability） 这个部分没有看到？去掉了吗

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@lightcax @hugo2046 @yuhuan1981