easy_tdx_max/docs/quantitative-guide.md

量化因子与组合管理 — 使用指南

本文档覆盖 easy-tdx v1.11.1 新增的量化计算能力：因子研究、因子分析、组合管理、高级回测（滑点建模/执行仿真/归因分析）。

---

目录

• 1. 因子引擎
  • 1.1 内置因子一览
  • 1.2 单股多因子计算
  • 1.3 截面因子计算
  • 1.4 远期收益计算
  • 1.5 自定义因子
• 2. 因子预处理
• 3. 因子分析
• 4. 组合管理
  • 4.1 权重优化器
  • 4.2 风险模型
  • 4.3 再平衡引擎
• 5. 高级回测
  • 5.1 滑点模型
  • 5.2 执行仿真
  • 5.3 归因分析
• 6. CLI 命令
• 7. 完整工作流示例

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1. 因子引擎

因子引擎（FactorEngine）支持单股和多股截面两种计算模式，内置 19 个因子。

1.1 内置因子一览

类别	因子名	说明
动量	momentum_20d	20 日收益率
	momentum_60d	60 日收益率
	reversal_5d	5 日反转（负收益）
波动率	volatility_20d	20 日年化波动率
	atr_14d	14 日平均真实波幅
	turnover_rate	换手率（需 vol 列）
质量	sharpe_20d	20 日夏普比率
	max_drawdown_20d	20 日最大回撤
	win_rate_20d	20 日上涨天数占比
成交量	obv_trend	OBV 趋势斜率
	vol_surge	成交量突增倍数
	amount_ma_ratio	成交额 / MA5 比值
技术	macd_hist_signal	MACD 柱状信号
	rsi_14	14 日 RSI
	boll_position	布林带位置（0~1）
缠论	chanlun_bi_dir	当前笔方向（+1/-1）
	chanlun_mmd	最近买卖点（+2/+1/-1/-2）
价值	pe_ratio	市盈率（占位，返回 NaN）
	pb_ratio	市净率（占位，返回 NaN）

1.2 单股多因子计算

from easy_tdx import TdxClient
from easy_tdx.factor import FactorEngine

client = TdxClient()
df = client.get_security_bars(Market.SH, "600519", KlineCategory.DAY, 0, 300)

engine = FactorEngine()

# 计算多个因子
result = engine.compute_single(df, ["momentum_20d", "volatility_20d", "rsi_14"])
print(result.tail())

# 计算所有内置因子
result = engine.compute_single(df)  # 不传因子名 = 全部
print(result.columns.tolist())

输出 DataFrame 在原始列基础上追加因子列（以因子名命名，前缀 NaN 行因窗口不足为 NaN）。

1.3 截面因子计算

from easy_tdx import TdxClient
from easy_tdx.factor import FactorEngine

client = TdxClient()

# 准备多只股票数据
stock_pool = ["000001", "000858", "600519", "600036", "601318"]
data = {}
for code in stock_pool:
    market = Market.SH if code.startswith("6") else Market.SZ
    data[code] = client.get_security_bars(market, code, KlineCategory.DAY, 0, 300)

engine = FactorEngine()

# 截面计算：返回 long format（date, code, factor_name...）
factor_data = engine.compute_cross_section(
    data,
    ["momentum_20d", "volatility_20d", "rsi_14"],
)
print(factor_data.head(10))

# 指定日期：只计算某一天的截面
factor_data = engine.compute_cross_section(
    data, ["momentum_20d"], date=20240601,
)

1.4 远期收益计算

# 计算未来 5 日收益率（用于因子分析）
forward_returns = engine.compute_forward_returns(data, period=5)
print(forward_returns.head())

1.5 自定义因子

继承 Factor 基类，用 @register_factor 注册即可自动发现：

from easy_tdx.factor import Factor, register_factor

@register_factor
class MyMomentum(Factor):
    name = "my_momentum"
    description = "自定义动量因子"
    window = 20

    def compute(self, df):
        return df["close"].pct_change(self.window)

注册后直接用名字引用：

result = engine.compute_single(df, ["my_momentum"])

---

2. 因子预处理

6 个纯函数，组合成管道：

from easy_tdx.factor import preprocess

# 单因子预处理管道
clean = preprocess(
    factor_data,
    factor_names=["momentum_20d"],
    steps=["winsorize", "zscore", "fill_missing"],
)

函数	说明
winsorize(df, factor_names, n_sigma=3)	MAD 去极值
zscore(df, factor_names)	截面标准化
rank_normalize(df, factor_names)	排名归一化
fill_missing(df, factor_names)	填充缺失值
orthogonalize(df, factor_names, by="market_cap")	正交化（去除市值暴露）
preprocess(df, factor_names, steps)	组合管道

所有函数自动检测截面数据（有 date 列时按日期分组处理）。

---

3. 因子分析

from easy_tdx.factor import FactorEngine, FactorAnalyzer, preprocess

# 1. 计算截面因子
factor_data = engine.compute_cross_section(data, ["momentum_20d", "rsi_14"])

# 2. 预处理
clean = preprocess(factor_data, ["momentum_20d", "rsi_14"])

# 3. 计算远期收益
forward_returns = engine.compute_forward_returns(data, period=5)

# 4. 分析
analyzer = FactorAnalyzer(clean, forward_returns)

# IC 分析（Spearman 秩相关）
ic_series = analyzer.compute_ic("momentum_20d")
print(f"均值 IC: {ic_series.mean():.4f}, ICIR: {ic_series.mean()/ic_series.std():.4f}")

# 分层收益（5 组）
quantile_returns = analyzer.compute_quantile_returns("momentum_20d", n_groups=5)
print(quantile_returns.head())

# 因子衰减（IC 自相关）
decay = analyzer.compute_decay("momentum_20d", max_lag=10)
print(decay)

# 完整报告
report = analyzer.full_report("momentum_20d")
print(f"IC均值={report.mean_ic:.4f} ICIR={report.icir:.4f}")
print(f"多头年化={report.long_only_annual:.2%} 空头年化={report.short_only_annual:.2%}")
print(f"多空夏普={report.long_short_sharpe:.4f} 换手率={report.turnover:.4f}")

---

4. 组合管理

4.1 权重优化器

4 种内置优化器：

from easy_tdx.portfolio import (
    EqualWeightOptimizer,
    FactorWeightedOptimizer,
    RiskParityOptimizer,
    MeanVarianceOptimizer,
)
import pandas as pd

# 因子分数表（来自 FactorEngine）
scores_df = pd.DataFrame({
    "code": ["000001", "600519", "601318", "000858", "600036"],
    "score": [0.8, 0.6, 0.5, 0.3, 0.1],
})

# 1. 等权：选前 N 只，等权分配
opt1 = EqualWeightOptimizer()
weights1 = opt1.optimize(scores_df, n_stocks=3)
# {'000001': 0.333, '600519': 0.333, '601318': 0.333}

# 2. 因子加权：分数越高权重越大
opt2 = FactorWeightedOptimizer()
weights2 = opt2.optimize(scores_df, n_stocks=3)
# {'000001': 0.42, '600519': 0.32, '601318': 0.26}

# 3. 风险平价：按波动率倒数加权
returns_df = pd.DataFrame(...)  # 收益率矩阵
opt3 = RiskParityOptimizer(returns_df)
weights3 = opt3.optimize(scores_df, n_stocks=3)

# 4. 均值方差：scipy SLSQP 优化（无 scipy 退化为等权）
opt4 = MeanVarianceOptimizer(returns_df)
weights4 = opt4.optimize(scores_df, n_stocks=3)

4.2 风险模型

from easy_tdx.portfolio import RiskModel
import pandas as pd

risk = RiskModel()

# 估计协方差矩阵（Ledoit-Wolf 收缩）
returns = pd.DataFrame(...)  # N 只股票 × T 天收益率
cov = risk.estimate_covariance(returns, method="shrinkage", window=60)

# 组合风险分解
weights = {"000001": 0.3, "600519": 0.4, "601318": 0.3}
metrics = risk.portfolio_risk(weights, cov)
print(f"年化波动率: {metrics['total_volatility']:.2%}")
print(f"最大风险贡献: {metrics['max_risk_contribution']:.2%}")
print(f"持仓数: {metrics['n_positions']}")

4.3 再平衡引擎

from easy_tdx.portfolio import RebalanceEngine, FactorWeightedOptimizer
from easy_tdx import TdxClient

client = TdxClient()
stock_pool = ["000001", "000858", "600519", "600036", "601318"]
data = {c: client.get_security_bars(..., c, ...) for c in stock_pool}

# 创建引擎
engine = RebalanceEngine(
    optimizer=FactorWeightedOptimizer(),
    factor_name="momentum_20d",   # 用哪个因子选股
    n_stocks=3,                   # 持仓数量
    rebalance_freq="M",           # 调仓频率: W/M/Q
    commission=0.0003,            # 佣金率
    slippage=0.001,               # 滑点率
    cash=1_000_000,               # 初始资金
)

# 运行回测
result = engine.run(data, start_date=20230101, end_date=20240101)

# 结果
print(f"总收益: {result.performance['total_return']:.2%}")
print(f"年化: {result.performance['annual_return']:.2%}")
print(f"最大回撤: {result.performance['max_drawdown']:.2%}")
print(f"夏普: {result.performance['sharpe']:.4f}")
print(f"调仓次数: {len(result.rebalance_dates)}")
print(f"交易笔数: {len(result.trades)}")

# 权益曲线
print(result.equity_curve.head())

# 持仓历史
for state in result.states[-5:]:
    print(f"  {state.date}: 持仓{state.positions_count}只 净值{state.total_value:.0f}")

---

5. 高级回测

5.1 滑点模型

4 种可插拔滑点模型，替代原有固定滑点：

from easy_tdx.backtest import BacktestEngine
from easy_tdx.backtest.slippage import (
    FixedSlippage,
    PercentSlippage,
    SquareRootSlippage,
    VolumeSlippage,
)

# 1. 固定每股滑点（与旧行为一致）
model1 = FixedSlippage(per_share=0.01)

# 2. 按金额百分比
model2 = PercentSlippage(rate=0.001)

# 3. 方根市场冲击模型（Almgren-Chriss 简化版）
#    impact = sigma * sqrt(participation_rate) * price * size * coeff
#    A 股量化主流：参与率 >5% 时冲击显著
model3 = SquareRootSlippage(impact_coeff=0.1)

# 4. 成交量比例滑点
model4 = VolumeSlippage(base_bps=10.0)

# 在 BacktestEngine 中使用
engine = BacktestEngine(
    MyStrategy,
    cash=1_000_000,
    slippage_model=SquareRootSlippage(impact_coeff=0.1),
)
result = engine.run(df)

模型选择建议：

场景	推荐模型	参数
快速原型	FixedSlippage	per_share=0.01
中频策略	PercentSlippage	rate=0.001
大额订单	SquareRootSlippage	impact_coeff=0.1
低流动性股票	VolumeSlippage	base_bps=10.0

5.2 执行仿真

4 种执行模型，将单笔信号拆分为多笔子交易：

from easy_tdx.backtest.execution import (
    ImmediateExecution,
    TWAPExecution,
    VWAPExecution,
    LimitExecution,
)

# 1. 即时成交（默认，与旧行为一致）
exec1 = ImmediateExecution()

# 2. TWAP：时间加权平均价格，N 根 K 线均匀拆单
exec2 = TWAPExecution(n_bars=5)

# 3. VWAP：成交量加权平均价格，按历史量分布拆单
exec3 = VWAPExecution(n_bars=5, volume_lookback=20)

# 4. 限价单：目标价挂单，TTL 内未触发则放弃
exec4 = LimitExecution(ttl_bars=5)

# 在 BacktestEngine 中使用
engine = BacktestEngine(
    MyStrategy,
    cash=1_000_000,
    execution_model=TWAPExecution(n_bars=3),
    slippage_model=SquareRootSlippage(),
)
result = engine.run(df)

执行模型选择：

场景	推荐模型	参数
小额/快速验证	ImmediateExecution	默认
大额建仓/平仓	TWAPExecution	n_bars=3~5
追踪 VWAP 基准	VWAPExecution	n_bars=5
精确入场价位	LimitExecution	ttl_bars=5

TWAP vs VWAP 示例：

# TWAP: 300 股拆成 3 笔 100 股，在 bar 1/2/3 以 close 执行
engine = BacktestEngine(
    MyStrategy, cash=100_000,
    execution_model=TWAPExecution(n_bars=3),
)

# VWAP: 按成交量分布拆 300 股 — 成交量大的 bar 分配更多
engine = BacktestEngine(
    MyStrategy, cash=100_000,
    execution_model=VWAPExecution(n_bars=3, volume_lookback=20),
)

# 限价单：在 50 元挂买入，5 根 K 线内 low <= 50 才成交
class LimitBuyStrategy(Strategy):
    def init(self): pass
    def next(self):
        if self._bar_index == 0:
            self.buy(size=100, price=50.0)  # 指定限价

engine = BacktestEngine(
    LimitBuyStrategy, cash=100_000,
    execution_model=LimitExecution(ttl_bars=5),
)

5.3 归因分析

从回测结果生成归因报告：

from easy_tdx.backtest import BacktestEngine
from easy_tdx.backtest.attribution import AttributionAnalyzer

# 运行回测
engine = BacktestEngine(MyStrategy, cash=1_000_000)
result = engine.run(df)

# --- 成本归因 ---
analyzer = AttributionAnalyzer(result.trades, result.equity_curve)
cost_report = analyzer.cost_attribution()
print(f"总收益: {cost_report.total_return:.2%}")
print(f"总交易成本: {cost_report.total_trade_cost:.0f} 元")
print(f"  佣金: {cost_report.commission_cost:.0f}")
print(f"  滑点: {cost_report.slippage_cost:.0f}")
print(f"  印花税: {cost_report.stamp_tax_cost:.0f}")

# --- Brinson 归因（需要基准）---
import numpy as np
import pandas as pd
# 构造基准曲线（如沪深300）
benchmark = pd.DataFrame({
    "datetime": result.equity_curve["datetime"],
    "total": np.linspace(100000, 108000, len(result.equity_curve)),
})
analyzer = AttributionAnalyzer(result.trades, result.equity_curve, benchmark=benchmark)
brinson_report = analyzer.brinson_attribution()
print(f"配置贡献: {brinson_report.allocation_return:.2%}")
print(f"选股贡献: {brinson_report.selection_return:.2%}")
print(f"交叉效应: {brinson_report.interaction_return:.2%}")

# --- 因子归因（需要因子数据）---
exposures = pd.DataFrame({"momentum": [0.5, 0.3, 0.2], "quality": [0.1, -0.1, 0.0]})
returns = pd.DataFrame({"momentum": [0.05, 0.03, 0.02], "quality": [0.01, -0.02, 0.0]})
analyzer = AttributionAnalyzer(
    result.trades, result.equity_curve,
    factor_exposures=exposures, factor_returns=returns,
)
factor_report = analyzer.factor_attribution()
for name, ret in factor_report.factor_returns.items():
    print(f"  {name}: {ret:.4f}")
print(f"特质收益: {factor_report.specific_return:.4f}")

# --- 完整报告（自动选择最佳归因模式）---
full_report = analyzer.full_report()

归因模式优先级：因子归因 > Brinson 归因 > 成本归因。full_report() 自动选择数据最完整的模式。

---

6. CLI 命令

# 列出所有内置因子
easy-tdx factor list --table

# 因子分析（需要数据，输出示例代码）
easy-tdx factor analyze momentum_20d

# 组合因子回测（需要数据，输出示例代码）
easy-tdx pfactor backtest momentum_20d --n-stocks 10 --optimizer factor_weighted

CLI 命令输出 Python API 示例代码，方便复制使用。完整的因子计算和组合回测建议通过 Python API 完成。

---

7. 完整工作流示例

从数据获取到组合回测再到归因分析的完整管道：

"""
easy-tdx 量化研究完整工作流示例。

依赖: pip install easy-tdx
"""

from easy_tdx import TdxClient, Market, KlineCategory
from easy_tdx.factor import FactorEngine, FactorAnalyzer, preprocess
from easy_tdx.portfolio import RebalanceEngine, FactorWeightedOptimizer
from easy_tdx.backtest import BacktestEngine
from easy_tdx.backtest.slippage import SquareRootSlippage
from easy_tdx.backtest.execution import TWAPExecution
from easy_tdx.backtest.attribution import AttributionAnalyzer

# ── 1. 数据获取 ──────────────────────────────────────
client = TdxClient()
stock_pool = ["000001", "000858", "600519", "600036", "601318",
              "000333", "002415", "601012", "600276", "000568"]

data = {}
for code in stock_pool:
    market = Market.SH if code.startswith("6") else Market.SZ
    data[code] = client.get_security_bars(
        market, code, KlineCategory.DAY, 0, 500
    )
print(f"获取 {len(data)} 只股票数据")

# ── 2. 因子计算 ──────────────────────────────────────
engine = FactorEngine()
factor_data = engine.compute_cross_section(
    data, ["momentum_20d", "volatility_20d", "rsi_14"]
)
print(f"截面因子数据: {len(factor_data)} 行")

# ── 3. 因子预处理 ─────────────────────────────────────
clean = preprocess(
    factor_data,
    factor_names=["momentum_20d", "volatility_20d", "rsi_14"],
    steps=["winsorize", "zscore", "fill_missing"],
)

# ── 4. 因子分析 ──────────────────────────────────────
forward_returns = engine.compute_forward_returns(data, period=5)

for factor_name in ["momentum_20d", "volatility_20d", "rsi_14"]:
    analyzer = FactorAnalyzer(clean, forward_returns)
    report = analyzer.full_report(factor_name)
    print(f"\n── {factor_name} ──")
    print(f"  IC均值: {report.mean_ic:.4f}  ICIR: {report.icir:.4f}")
    print(f"  多头年化: {report.long_only_annual:.2%}")
    print(f"  多空夏普: {report.long_short_sharpe:.4f}")

# ── 5. 组合回测 ──────────────────────────────────────
rebalancer = RebalanceEngine(
    optimizer=FactorWeightedOptimizer(),
    factor_name="momentum_20d",
    n_stocks=5,
    rebalance_freq="M",
    cash=1_000_000,
)
result = rebalancer.run(data, start_date=20230101, end_date=20240101)
print(f"\n── 组合回测 ──")
print(f"  总收益: {result.performance['total_return']:.2%}")
print(f"  年化: {result.performance['annual_return']:.2%}")
print(f"  最大回撤: {result.performance['max_drawdown']:.2%}")
print(f"  夏普: {result.performance['sharpe']:.4f}")

# ── 6. 高级单策略回测（滑点 + 执行仿真）──────
from easy_tdx.backtest import Strategy

class MomentumStrategy(Strategy):
    def init(self):
        pass
    def next(self):
        if self._bar_index < 20:
            return
        ret = (self.data.close[0] - self.data.close[-20]) / self.data.close[-20]
        if ret > 0.05 and self.position["size"] == 0:
            self.buy(size=0)
        elif ret < -0.03 and self.position["size"] > 0:
            self.sell(size=0)

bt_engine = BacktestEngine(
    MomentumStrategy,
    cash=500_000,
    slippage_model=SquareRootSlippage(impact_coeff=0.1),
    execution_model=TWAPExecution(n_bars=3),
)
# 选一只股票做回测
bt_result = bt_engine.run(data["600519"])
print(f"\n── 高级回测（600519）──")
print(f"  总收益: {bt_result.performance['total_return']:.2%}")
print(f"  夏普: {bt_result.performance['sharpe']:.4f}")

# ── 7. 归因分析 ──────────────────────────────────────
att_analyzer = AttributionAnalyzer(bt_result.trades, bt_result.equity_curve)
cost_report = att_analyzer.cost_attribution()
print(f"\n── 成本归因 ──")
print(f"  总交易成本: {cost_report.total_trade_cost:.0f} 元")
print(f"    佣金: {cost_report.commission_cost:.0f}")
print(f"    滑点: {cost_report.slippage_cost:.0f}")
print(f"    印花税: {cost_report.stamp_tax_cost:.0f}")

print("\n完成。")
client.close()

---

向后兼容

所有新功能通过可选参数启用，现有代码零改动：

现有调用	行为
BacktestEngine(strategy, slippage=0.01)	与旧版完全一致
BacktestEngine(strategy)	无滑点，与旧版一致
OrderSimulator(df, slippage=0.01)	与旧版完全一致
BacktestEngine(strategy, slippage_model=...)	使用新滑点模型
BacktestEngine(strategy, execution_model=...)	使用新执行引擎

新增模块（factor/, portfolio/, backtest/slippage.py, backtest/execution.py, backtest/attribution.py）为独立新增，不修改任何现有接口。