The code is a general one used to back-test factors, including:
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Financial Factor(EPS, ROE, Net Asset, Equity Multiplier, etc. total 20 factors),
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Valuation Factor(PCF, Net profit/Total Market Value, etc. total 8 factors),
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Volatility Factor(beta, return_std_66days, return_skewness_22days, etc. total 9 factors),
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Scale Factor(Growth Rate of ROE, Growth Rate of ROA, etc. total 4 fators),
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Quality Factor(ROE_TTM, Operating Profit Ratio，etc. total 5 factors),
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Leverage Factors(Quick Ratio, Current Ratio, etc. total 4 factors),
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Momentum Factor(Drawdown),
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Analysts Factor(Consensus Expectations of EPS, etc. total 4 factors)
This current repository includes two parts. One is the calculation of some index, such as the rate of growth and the rate of return. The other is the statistic summary, including the calculation of min, max, mean, medium, standard deviation and IC etc.
Wind