A-Share Quantitative Factor Library: Price, Fundamentals, Flow, and Risk Data

Summary

This catalog describes built-in quantitative data fields for Chinese A-share equities. Its factor families include historical prices, returns, trading volume and value, turnover, active money flows, valuation ratios, profitability and balance-sheet measures, analyst forecasts, index membership, industry classifications, and trading-limit status. Some fields are provided over multiple lookback periods, and later sections include cross-sectional rankings of returns, turnover, volatility, beta, and trading activity.

The document also gives examples of reading the factor tables over a date range and selecting instruments. It serves as a data dictionary for constructing signals or researching equity strategies, rather than presenting a specific factor model, portfolio, or performance test. The supplied text is very long and partially truncated, so it does not provide a complete inventory or establish data timing, survivorship treatment, or whether every field is available without look-ahead. Researchers need to verify definitions and point-in-time availability before using the fields in a backtest.

Key ideas

• The catalog combines market, fundamental, valuation, flow, forecast, and classification features for A-shares.
• Many price, return, turnover, and volume fields are available across different historical windows.
• Ranked fields include return, beta, volatility, average turnover, and trading activity measures.
• The examples show date-bounded reads and allow instrument selection.
• Field listings alone do not establish point-in-time availability or backtest validity.

Tags

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