正文目录
一、概述 .............................................................................................................................................................................. 2
（一）事件类因子的选取 ............................................................................................................................................................ 2
（二）分组方法说明 .................................................................................................................................................................... 2
（三）因子计算相关处理 ............................................................................................................................................................ 2
二、事件轮动方法测试 ...................................................................................................................................................... 3
（一）超额收益法 ........................................................................................................................................................................ 3
（二）IC 值法 ............................................................................................................................................................................... 5
（三）t 值法 .................................................................................................................................................................................. 6
三、策略效果测试 .............................................................................................................................................................. 8
（一）策略步骤 ............................................................................................................................................................................ 8
（二）策略净值及收益统计 ........................................................................................................................................................ 8
（三）结论 .................................................................................................................................................................................... 9
四、风险提示 ...................................................................................................................................................................... 9
