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--------------------------------------------------- ATTACK ----------------------------------------------------

--------------------------------------------------- DEFENCE --------------------------------------------------

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----------------------------------------------------- INDUS -------------------------------------------------------

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- 1.0 size: 市值

+ 0.4 beta: 波动率弹性

- 0.4 momentum: 动量

--1.5 residualvolatility: 波动率残差波动

--1.0 nonlinearsize: 非线性市值

+ 0.6 btop: 红利,也叫账面市值比,(CNE6里叫价值value) 估值

--1.5 liquidity: 换手率,也叫流动性

+ 0.3 earningsyield: PE预测PE预测现金流PCE,(CNE6里叫价值value) 估值

- 0.15 growth: 预期/历史利润增速,成长性

- 0.3 leverage: 杠杆, 刻画财务质量(这部分CNE6扩展较多)

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# maxdiff mindiff

# 0.02 -0.012026 -0.029888 离差范围 概率结论

# 0.05 -0.007419 -0.021989 -2.5% 亏210bps 极度罕见，一年5次

# 0.10 -0.004331 -0.016066 -5.0% 亏160bps 罕见，每月1次

# 0.25 0.000640 -0.008536 -12.5% 亏80bps 稀疏，每12天1次

# 0.50 0.005478 -0.002557

# 0.75 0.011118 0.002076 12.5% 赚111bps 稀疏，每12天1次

# 0.90 0.017836 0.006880 5.0% 赚170bps 罕见，每月1次

# 0.95 0.021703 0.009731 2.5% 赚200bps 极度罕见，一年5次

# 0.98 0.026759 0.013250

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