microstructure-w-factor

name	microstructure-w-factor
description	反转微观 W 因子。用户说「W因子」「反转微观」「开源证券反转」「/microstructure-w-factor」时使用。日频规则：隔夜与日间收益分解构造 W。默认 create_web。
license	Apache-2.0
metadata	{"author":"opptrix","version":"1.0","title":"反转微观W因子","summary":"日频W因子规则版","category":"quant","slash-rank":"533","default-deliverable":"web","required-packs":"instrument_analytics artifacts"}
allowed-tools	search_instruments get_instrument_chart batch_instrument_snapshots get_index_constituents ask_user get_agent_skill_file opptrix_run workspace_write workspace_read create_web update_web read_web list_web_vendor
references	["scripts/microstructure_w_factor.py","scripts/fixtures/sample_input.json"]

反转微观 W 因子（日频规则版）

方法溯源开源证券「A股反转之力的微观来源」。完整高频路径降级为日频：

overnight = open_t / close_{t-1} − 1，day = close_t / open_t − 1，
W ≈ mean(overnight − day) 窗口版（隔夜相对日间的反转结构代理）。

运行

python scripts/microstructure_w_factor.py --input data.json --output result.json

默认 create_web。仅标准库。