multi-factor-strategy

Guide users to create multi-factor stock selection strategies and generate independent YAML configuration files

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Multi-Factor Strategy Assistant

Guide you to create multi-factor stock selection strategies and generate independent YAML configuration files.

Install quantcli

bash

# Install from PyPI (recommended)
pip install quantcli

# Or install from source
git clone https://gitcode.com/datavoid/quantcli.git
cd quantcli
pip install -e .

Verify installation:

bash

quantcli --help

Quick Start

A complete multi-factor stock selection strategy YAML example:

yaml

name: Value-Growth Hybrid Strategy
version: 1.0.0
description: ROE + Momentum factor stock selection

screening:
  fundamental_conditions:    # Stage 1: Financial condition screening
    - "roe > 0.10"           # ROE > 10%
    - "pe_ttm < 30"          # P/E < 30
    - "pe_ttm > 0"           # Exclude losses
  daily_conditions:          # Stage 2: Price condition screening
    - "close > ma10"         # Above 10-day MA
  limit: 100                 # Keep at most 100 stocks

# Factor configuration (supports two methods, factors at top level)
factors:
  # Method 1: Inline factor definition
  - name: ma10_deviation
    expr: "(close - ma(close, 10)) / ma(close, 10)"
    direction: negative
    description: "10-day MA deviation"

  # Method 2: External reference (reference factor files in factors/ directory, include .yaml suffix)
  - factors/alpha_001.yaml
  - factors/alpha_008.yaml

ranking:
  weights:                   # Weight fusion
    ma10_deviation: 0.20     # Inline factor
    factors/alpha_001.yaml: 0.40  # External reference factor
    factors/alpha_008.yaml: 0.40
  normalize: zscore          # Normalization method

output:
  limit: 30                  # Output top 30 stocks
  columns: [symbol, name, score, roe, pe_ttm, close, ma10_deviation]

Factor Configuration Methods

Factor configuration supports two methods (can be mixed):

Method	Type	Example	Description
Inline	dict	{name: xxx, expr: "..."}	Define expression directly in YAML
External	str	factors/alpha_001.yaml	Load factor file from factors/ directory

Example: Mixed usage

yaml

factors:
  # Inline: Custom factor
  - name: custom_momentum
    expr: "close / delay(close, 20) - 1"
    direction: positive

  # External: Alpha101 factor library (include .yaml suffix)
  - factors/alpha_001.yaml
  - factors/alpha_005.yaml
  - factors/alpha_009.yaml

ranking:
  weights:
    custom_momentum: 0.3
    factors/alpha_001.yaml: 0.3
    factors/alpha_005.yaml: 0.2
    factors/alpha_009.yaml: 0.2

Run strategy:

bash

quantcli filter run -f your_strategy.yaml

Invocation

text

/multi-factor-strategy

Available Expression Functions

Data Processing Functions

Function	Usage	Description
delay	delay(x, n)	Lag n periods
ma	ma(x, n)	Simple moving average
ema	ema(x, n)	Exponential moving average
rolling_sum	rolling_sum(x, n)	Rolling sum
rolling_std	rolling_std(x, n)	Rolling standard deviation

Technical Indicator Functions

Function	Usage	Description
rsi	rsi(x, n=14)	Relative strength index
correlation	correlation(x, y, n)	Correlation coefficient
cross_up	cross_up(a, b)	Golden cross (a crosses above b)
cross_down	cross_down(a, b)	Death cross (a crosses below b)

Ranking & Normalization Functions

Function	Usage	Description
rank	rank(x)	Cross-sectional ranking (0-1)
zscore	zscore(x)	Standardization
sign	sign(x)	Sign function
clamp	clamp(x, min, max)	Clipping function

Conditional Functions

Function	Usage	Description
where	where(cond, t, f)	Conditional selection
if	if(cond, t, f)	Conditional selection (alias)

Base Fields

Field	Description
open, high, low, close	OHLC prices
volume	Trading volume
pe, pb	P/E ratio, P/B ratio
roe	Return on equity
netprofitmargin	Net profit margin

Guided Workflow

Step 1: Strategy Goal定位

I will first understand your strategy needs:

• Strategy Type: Value, Growth, Momentum, Volatility, Hybrid
• Selection Count: Concentrated(10-30), Medium(50-100), Diversified(200+)
• Holding Period: Intraday, Short-term(week), Medium-term(month), Long-term(quarter)

Step 2: Factor Selection

Based on your strategy goals, recommend suitable factor combinations:

Common Fundamental Factors:

Factor	Expression	Direction	Description
roe	roe	positive	Return on equity
pe	pe	negative	Lower P/E is better
pb	pb	negative	Price-to-book ratio
netprofitmargin	netprofitmargin	positive	Net profit margin
revenue_growth	revenue_yoy	positive	Revenue growth rate

Common Technical Factors:

Factor	Expression	Direction	Description
momentum	(close/delay(close,20))-1	positive	N-day momentum
ma_deviation	(close-ma(close,10))/ma(close,10)	negative	MA deviation
ma_slope	(ma(close,10)-delay(ma(close,10),5))/delay(ma(close,10),5)	positive	MA slope
volume_ratio	volume/ma(volume,5)	negative	Volume ratio

Alpha101 Built-in Factors (can reference {baseDir}/alpha101/alpha_XXX):

QuantCLI includes 40 WorldQuant Alpha101 factors that can be directly referenced:

Factor	Category	Description
alpha101/alpha_001	Reversal	20-day new high then decline
alpha101/alpha_002	Reversal	Down volume bottom
alpha101/alpha_003	Volatility	Low volatility stability
alpha101/alpha_004	Capital Flow	Net capital inflow
alpha101/alpha_005	Trend	Uptrend
alpha101/alpha_008	Capital Flow	Capital inflow
alpha101/alpha_009	Momentum	Long-term momentum
alpha101/alpha_010	Reversal	MA deviation reversal
alpha101/alpha_011 ~ alpha_020	Extended	Volatility, momentum, price-volume factors
alpha101/alpha_021 ~ alpha_030	Extended	Price-volume, trend, strength factors
alpha101/alpha_031 ~ alpha_040	Extended	Position, volatility, capital factors

View all built-in factors:

bash

quantcli factors list

Usage Example:

yaml

factors:
  - alpha101/alpha_001   # Reversal factor
  - alpha101/alpha_008   # Capital inflow
  - alpha101/alpha_029   # 5-day momentum
ranking:
  weights:
    alpha101/alpha_001: 0.4
    alpha101/alpha_008: 0.3
    alpha101/alpha_029: 0.3

Screening Conditions Example:

yaml

screening:
  conditions:
    - "roe > 0.10"              # ROE > 10%
    - "netprofitmargin > 0.05"  # Net profit margin > 5%

Step 3: Weight Configuration

Allocate weights based on factor importance, 0 means only for screening, not scoring:

yaml

ranking:
  weights:
    # Fundamental factors
    roe: 0.30
    pe: 0.20
    # Technical factors
    ma_deviation: 0.30
    momentum: 0.20
  normalize: zscore

Step 4: Generate Strategy File

I will generate a complete strategy YAML file for you:

yaml

name: Your Strategy Name
version: 1.0.0
description: Strategy description

# Stage 1: Fundamental screening
screening:
  conditions:
    - "roe > 0.10"
    - "pe < 30"
  limit: 200

# Stage 2: Technical ranking
ranking:
  weights:
    roe: 0.30
    pe: 0.20
    ma_deviation: 0.30
    momentum: 0.20
  normalize: zscore

output:
  columns: [symbol, score, rank, roe, pe, momentum]
  limit: 30

Step 5: Run & Evaluate

Run strategy:

bash

quantcli filter run -f your_strategy.yaml --top 30

Evaluation points:

1. Selected stock count: Check if screening conditions are reasonable
2. Factor distribution: Distribution of factor scores
3. Industry diversification: Avoid over-concentration

FAQ

Q: How to allocate factor weights? A: Core factors 0.3-0.4, auxiliary factors 0.1-0.2, ensure weights sum close to 1

Q: Screening conditions too strict resulting in empty results? A: Gradually relax conditions, first see how many stocks meet each condition

Q: What expression syntax is supported? A: Supports 40+ built-in functions: ma(), ema(), delay(), rolling_sum(), rsi(), rank(), zscore(), etc.