A Factor Extraction Error in a Chinese A-Share Ranking-List Signal

Summary

This forum post records an attempt to create an A-share factor from securities appearing on the trading ranking list, using a transaction category and several broker department codes. The submitted expression tests whether the category matches a specified buy-side ranking description and adds indicator terms for selected department codes. The platform logs show that the two source fields were extracted, but the derived expression failed with an unknown object type error.

The post does not include a reply or a confirmed fix, so it cannot establish which part of the expression caused the type problem or how to resolve it. It is best read as a troubleshooting example: a formula can reference available fields and still fail during derived-feature evaluation. No factor performance, stock-selection results, or investment rationale beyond the stated ranking-list idea is provided.

Key ideas

• The author attempts to construct a stock factor from ranking-list category and broker department data.
• The platform reports successful extraction of the source fields but failure on the combined derived expression.
• The error message points to an unsupported or unexpected object type, but the post offers no diagnosis.
• The document gives no validated fix or evidence about the factor's predictive value.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.