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A股Alpha衰减分析 · aifinlab | DecimalAI

financeby aifinlab

A股Alpha衰减分析

aifinlab/a-share-alpha-decay

Source aifinlab/finclaw ↗License Apache-2.0

A股Alpha衰减/因子拥挤度分析。当用户说"Alpha衰减"、"alpha decay"、"因子拥挤"、"策略容量"、"因子失效"、"XX因子还有效吗"、"crowding"、"策略拥挤"时触发。分析因子/策略的Alpha随时间的衰减趋势、因子拥挤度指标、策略容量限制。支持研报风格（formal）和快速分析风格（brief）。

SkillScore78Maintained

Automatic

Finance & Accounting pack

Last verified 8/28/2026

What it changes

Passed 16 of 21 test cases with the skill, and 11 of 21 without it.

Without skill52%

With skill78%

Checks it passed that the model alone missed

Uses the kline subcommand.
Passes daily to the --freq parameter.
Identifies brief as the default output style.

and 8 more in the full report

8 fixed10 passed either way3 still failing2 broke

Pass-rate lift: +26 pp
Tokens: -5%
Agent turns: 0%
Response time: -30%

Model gemini-3.6-flashMeasured 8/28/2026v118 of 23 cases passed with skill · 21 comparable

Tokens, turns and time describe resource use, not a dollar price.

Use this skill

Save it into your project's skills folder. Claude Code picks it up in its next session.

curl -fsSL --create-dirs -o .claude/skills/aifinlab-a-share-alpha-decay/SKILL.md https://app.decimal.ai/s/aifinlab-a-share-alpha-decay/SKILL.md

Want it pinned and updatable? pip install "decimalai>=0.15", then decimalai skills add aifinlab-a-share-alpha-decay, and start Claude Code with claude --plugin-dir "$(git rev-parse --show-toplevel)/.agents"

1 · One-time — install the CLI (docs ↗)

pip install "decimalai>=0.15"

2 · Get the skill — writes .agents/skills/aifinlab-a-share-alpha-decay/ and pins it in .decimal/skills.lock

decimalai skills add aifinlab-a-share-alpha-decay

No CLI? Get the same file — curl · raw file

curl -fsSL --create-dirs -o .claude/skills/aifinlab-a-share-alpha-decay/SKILL.md https://app.decimal.ai/s/aifinlab-a-share-alpha-decay/SKILL.md

Raw file: /s/aifinlab-a-share-alpha-decay/SKILL.md ↗ · machine-readable summary at /s/aifinlab-a-share-alpha-decay.json ↗

Safety checks: 3 of 3 passed

Code scan CleanIntent PassedContent Clean

What's inside

The instructions your model reads when the skill loads.

SKILL.md46 lines2 files

A股Alpha衰减分析

数据源

SCRIPTS="$SKILLS_ROOT/cn-stock-data/scripts"
python "$SCRIPTS/cn_stock_data.py" kline --code [CODE] --freq daily --start [日期]
python "$SCRIPTS/cn_stock_data.py" finance --code [CODE]
python "$SCRIPTS/cn_stock_data.py" quote --code [CODE1],[CODE2],...

Workflow

Step 1: 选择因子/策略

确定要分析 Alpha 衰减的目标：特定因子（如低 PE）或策略（如动量）

Step 2: 分时段 IC/收益分析

将历史数据分为多个子时段（如每年/每半年）
分别计算各时段的 IC、因子收益率、多空组合收益
观察 Alpha 随时间的变化趋势

Step 3: 滚动窗口衰减曲线

使用滚动窗口（如 252 日）计算 IC/IR
绘制 IC 的时间序列，观察趋势性下降
计算 IC 的结构性断点（Chow test）

Step 4: 拥挤度指标

估值收敛度：因子多头组 vs 空头组的估值差收窄
换手率集中度：因子多头组的换手率异常升高
相关性上升：多头组内股票相关性增加
策略容量：以冲击成本估计最大可容纳资金量

Step 5: 输出

维度	formal	brief
衰减分析	完整时序+断点检验	当前 IC vs 历史均值
拥挤度	多维指标矩阵	拥挤/正常/低估
容量	详细估算	大/中/小

默认风格：brief。

Track record

Benchmark

16 / 21

test cases passed, vs 11 / 21 without

Adoption

Users: 0
Times used: 0

Safety and source details

SkillSafety

✓ 3 of 3 passed

Code scan15 of 15 checks clean

0 critical · 0 warning · 0 info — scanner v4 — 8/3/2026

View 15 scanner checks

live_secretremote_code_executionreverse_shelldata_exfiltrationssrf_metadataagent_snoopinganti_refusaldestructive_commandsobfuscated_unicodeunicode_homoglyphopaque_blobsuspicious_urltool_overreachtrigger_abuseprompt_injection_phrasing

IntentSafe

LLM judge · does the skill do what it claims

ContentClean

LLM judge · policy & harmful-content review

Source

Imported

aifinlab / finclaw

skills/a-share-alpha-decay/SKILL.md

View on GitHub ↗

License Apache-2.0Imported 8/3/2026Version v1Bundled 1 file

Other skills for the same job

Published skills whose descriptions closely match this one, with their headline benchmark lift.

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What's inside

A股Alpha衰减分析

数据源

Workflow

Step 1: 选择因子/策略

Step 2: 分时段 IC/收益分析

Step 3: 滚动窗口衰减曲线

Step 4: 拥挤度指标

Step 5: 输出

Track record

Benchmark

Adoption

SkillSafety

Source

Other skills for the same job

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