|RankIC| 分布
多头超额收益分布（年化）
mprob-only top35（MPROB 降序 + 相关性去重 0.5）逐因子明细
| 因子名 | IC_mean | |RankIC| | 多头超额 | 多空年化 | MPROB | SSM |
|---|---|---|---|---|---|---|
| x60y3_ba_cold_f05_corr_f35_mean_smooth_10 | +0.0233 | 0.0233 | +12.40% | +18.04% | 0.982 | 1.000 |
| x60y3_ba_hot_f00_median_mean_smooth_5 | +0.0250 | 0.0250 | +12.34% | +18.62% | 0.982 | 1.000 |
| x15y10_ba_cold_f00_median_smooth_1 | -0.0233 | 0.0233 | +11.85% | +16.91% | 0.979 | 1.000 |
| hotpool_ext_ind_rel_x60y3_buy_hot_rk_vol_curvature_fold_mean_smooth_20 | -0.0179 | 0.0179 | +10.50% | +13.78% | 0.955 | 1.000 |
| x15y10_ba_hot_f05_corr_f34_max_smooth_5 | -0.0165 | 0.0165 | +11.31% | +14.36% | 0.949 | 1.000 |
| x15y10_ba_cold_f08_std_fold_max_smooth_5 | -0.0156 | 0.0156 | +9.38% | +16.73% | 0.940 | 1.000 |
| x60y3_ba_cold_f00_corr_f28_max_smooth_10 | -0.0164 | 0.0164 | +9.32% | +10.65% | 0.940 | 1.000 |
| x60y3_ba_hot_f28_trend_max_smooth_20 | -0.0205 | 0.0205 | +9.53% | +14.38% | 0.937 | 0.723 |
| hotpool_ext_indpool_x15y10_ba_hot_f31_trend_max_smooth_10 | -0.0175 | 0.0175 | +10.06% | +15.71% | 0.932 | 1.000 |
| hotpool_ext_ind_rel_x15y10_ba_cold_rk_buy_max_range_product_fold_mean_smooth_20 | -0.0127 | 0.0127 | +8.64% | +10.75% | 0.928 | 1.000 |
| hotpool_ext_ind_rel_x60y3_buy_cold_rk_vol_curvature_fold_mean_smooth_5 | -0.0160 | 0.0160 | +8.70% | +11.77% | 0.927 | 1.000 |
| x60y3_buy_hot_f08_corr_f21_fold_mean_smooth_10 | -0.0107 | 0.0107 | +9.45% | +11.40% | 0.927 | 1.000 |
| x60y3_ba_cold_f18_median_mean_smooth_10 | -0.0137 | 0.0137 | +9.45% | +12.73% | 0.926 | 0.817 |
| x60y3_ba_hot_f34_mean_fold_max_smooth_10 | -0.0109 | 0.0109 | +8.50% | +12.13% | 0.925 | 1.000 |
| hotpool_ext_ind_rel_x60y3_ba_hot_rk_vol_period_diff_mean_smooth_10 | -0.0105 | 0.0105 | +9.34% | +12.61% | 0.923 | 0.994 |
| x15y10_ba_cold_f11_std_mean_smooth_5 | -0.0107 | 0.0107 | +9.01% | +11.69% | 0.923 | 1.000 |
| x60y3_ba_cold_f09_p95_min_smooth_5 | +0.0163 | 0.0163 | +10.54% | +12.26% | 0.922 | 1.000 |
| hotpool_ext_indpool_x60y3_ba_hot_f13_entropy_1d_mean_smooth_5 | +0.0116 | 0.0116 | +9.34% | +11.64% | 0.921 | 0.898 |
| hotpool_ext_ind_rel_x60y3_ba_hot_rk_vol_autocorr1_abs_fold_mean_smooth_5 | -0.0174 | 0.0174 | +9.53% | +12.19% | 0.921 | 0.928 |
| x60y3_buy_cold_f00_corr_f28_max_smooth_5 | -0.0135 | 0.0135 | +8.07% | +9.75% | 0.917 | 1.000 |
| x15y10_ba_hot_f16_corr_f28_max_smooth_5 | -0.0128 | 0.0128 | +8.03% | +10.23% | 0.916 | 1.000 |
| x15y10_ba_cold_f21_corr_f28_fold_mean_smooth_5 | -0.0105 | 0.0105 | +7.71% | +9.72% | 0.914 | 0.949 |
| x60y3_buy_hot_f09_p95_fold_max_smooth_20 | -0.0108 | 0.0108 | +8.27% | +10.06% | 0.914 | 0.959 |
| x15y10_ba_hot_f05_cv_min_smooth_10 | +0.0147 | 0.0147 | +9.23% | +11.49% | 0.911 | 1.000 |
| x15y10_ba_cold_f07_p75_mean_smooth_20 | +0.0116 | 0.0116 | +8.85% | +11.48% | 0.910 | 1.000 |
| x60y3_ba_hot_f09_corr_f30_min_smooth_5 | +0.0143 | 0.0143 | +9.49% | +10.59% | 0.910 | 1.000 |
| hotpool_ext_indpool_x15y10_ba_hot_f28_period_diff_mean_smooth_5 | -0.0085 | 0.0085 | +9.28% | +11.40% | 0.909 | 0.948 |
| x60y3_ba_cold_f00_corr_f31_mean_smooth_10 | -0.0113 | 0.0113 | +8.98% | +9.91% | 0.909 | 1.000 |
| x15y10_ba_cold_f01_autocorr1_max_smooth_5 | -0.0104 | 0.0104 | +9.40% | +10.73% | 0.908 | 0.942 |
| x15y10_ba_cold_f28_lz_complexity_fold_mean_smooth_5 | -0.0155 | 0.0155 | +8.80% | +11.50% | 0.907 | 0.836 |
| hotpool_ext_indpool_x60y3_ba_hot_f31_period_diff_fold_max_smooth_10 | -0.0193 | 0.0193 | +8.48% | +13.13% | 0.907 | 1.000 |
| x15y10_ba_cold_f28_autocorr1_fold_max_smooth_5 | -0.0182 | 0.0182 | +8.55% | +13.07% | 0.905 | 0.834 |
| x60y3_ba_hot_f03_cv_mean_smooth_20 | +0.0143 | 0.0143 | +9.00% | +11.63% | 0.904 | 0.990 |
| x15y10_ba_cold_f06_corr_f36_mean_smooth_5 | +0.0146 | 0.0146 | +8.28% | +9.71% | 0.904 | 0.840 |
| x60y3_buy_cold_f28_p95_max_smooth_20 | -0.0316 | 0.0316 | +9.16% | +15.13% | 0.902 | 0.942 |
MPROB 排名深度扫描（取 MPROB 前 N → 去重 0.5 → 最多 35）
| 深度 | 去重后 | |IC| 中位 | 多头超额中位 | 多空年化中位 | 夏普中位 | MPROB 中位 | SSM 中位 | 与原版重合 |
|---|---|---|---|---|---|---|---|---|
| MPROB 前 20 | 3 | 0.0233 | 12.34% | 18.04% | 3.37 | 0.982 | 1.000 | 0 |
| MPROB 前 35 | 3 | 0.0233 | 12.34% | 18.04% | 3.37 | 0.982 | 1.000 | 0 |
| MPROB 前 50 | 3 | 0.0233 | 12.34% | 18.04% | 3.37 | 0.982 | 1.000 | 0 |
| MPROB 前 100 | 3 | 0.0233 | 12.34% | 18.04% | 3.37 | 0.982 | 1.000 | 0 |
| MPROB 前 200 | 5 | 0.0233 | 11.85% | 16.91% | 3.23 | 0.979 | 1.000 | 0 |
| MPROB 前 500 | 13 | 0.0165 | 9.53% | 14.36% | 2.97 | 0.940 | 1.000 | 0 |
| MPROB 前 1000 | 32 | 0.0145 | 9.33% | 11.73% | 2.61 | 0.922 | 1.000 | 0 |
| MPROB 前 2000 | 35 | 0.0146 | 9.28% | 11.69% | 2.57 | 0.921 | 1.000 | 0 |
| MPROB 前 5000 | 35 | 0.0146 | 9.28% | 11.69% | 2.57 | 0.921 | 1.000 | 0 |