Alpha 因子设计

Lesson Overview

In "Quant Strategy Development" → "因子构建", this lesson "Alpha 因子设计" builds knowledge you can apply immediately.

Alpha因子是事先定义的可计算排序或数值假设，不是保证超额收益。首先明确资产集合、频率、可用时点和预期作用机制。 给动量定义close_t/close_(t−3)−1→说明何时可用→单独定义未来标签→写相反结果可能的原因。 本课作业：close100/101/102/103，算第三期后的3步动量；若用t+1收盘计算t因子会怎样？

Core Concepts

These points align with the video walkthrough—take notes as you watch.

• ▸Alpha因子是事先定义的可计算排序或数值假设，不是保证超额收益。首先明确资产集合、频率、可用时点和预期作用机制。
• ▸给动量定义close_t/close_(t−3)−1→说明何时可用→单独定义未来标签→写相反结果可能的原因。
• ▸本课作业：close100/101/102/103，算第三期后的3步动量；若用t+1收盘计算t因子会怎样？

Practical Application

After studying, complete the companion practice lesson to move from understanding to doing.

• ▸Follow along in Jupyter or VS Code
• ▸Log how parameter changes affect backtest results
• ▸Submit a reproducible analysis notebook

FAQ

• ▸Q: How does this lesson fit the course? A: Part of "因子构建"—follow the curriculum order.
• ▸Q: What do I need? A: Demo account and notes; quant lessons need a Python environment.
• ▸Q: How do I know I've mastered it? A: Pass the quiz and explain three key points of Alpha 因子设计 on your own.