金工定期报告：新价量相关性因子绩效月报

Quantitative Models and Construction Methods 1. Model Name: RPV (Renewed Correlation of Price and Volume) Factor - Model Construction Idea: The RPV factor integrates intraday and overnight price-volume correlation information. It identifies the reversal and momentum effects of price-volume correlation by dividing price-volume into four quadrants and incorporating "volume" information into the correlation form. This approach builds on the "momentum factor segmentation" research[1][5] - Model Construction Process: 1. Identify the best representatives for intraday and overnight price-volume correlations, namely CCOIV and COV, respectively 2. Enhance the reversal effect of intraday price-volume correlation and the momentum effect of overnight price-volume correlation 3. Combine the information from intraday and overnight correlations to create the RPV factor[5] - Model Evaluation: The RPV factor is described as both innovative and effective ("能打")[1][5] 2. Model Name: SRV (Smart Renewed Volume) Factor - Model Construction Idea: The SRV factor refines the RPV factor by splitting intraday price movements into morning and afternoon segments and introducing a "smart" indicator to identify informed trading periods. It combines the improved intraday and overnight price-volume correlations into a single factor[1][5] - Model Construction Process: 1. Split intraday price movements into morning and afternoon segments 2. Calculate the "smart" indicator for each minute and identify the top 20% (24 minutes) of the afternoon as the most informed trading period 3. Use the correlation between the afternoon "smart" turnover rate and afternoon price movements 4. For overnight price-volume correlation, replace the turnover rate with the turnover rate of the last 30 minutes of the previous day 5. Combine the improved intraday and overnight correlations to form the SRV factor[1][5] - Model Evaluation: The SRV factor demonstrates superior performance compared to the RPV factor, with better metrics across all key indicators[1][5] --- Model Backtesting Results 1. RPV Factor - Annualized Return: 14.87%[6][10] - Annualized Volatility: 7.76%[6][10] - IR: 1.92[6][10] - Monthly Win Rate: 73.28%[6][10] - Maximum Drawdown: 10.63%[6][10] 2. SRV Factor - Annualized Return: 18.00%[6][10] - Annualized Volatility: 6.28%[6][10] - IR: 2.87[6][10] - Monthly Win Rate: 76.34%[6][10] - Maximum Drawdown: 3.66%[6][10] --- Quantitative Factors and Construction Methods 1. Factor Name: RPV Factor - Factor Construction Idea: The RPV factor integrates intraday and overnight price-volume correlation information to capture reversal and momentum effects[1][5] - Factor Construction Process: 1. Identify the best representatives for intraday and overnight price-volume correlations (CCOIV and COV) 2. Combine the information from intraday and overnight correlations to create the RPV factor[1][5] - Factor Evaluation: The RPV factor is described as innovative and effective ("能打")[1][5] 2. Factor Name: SRV Factor - Factor Construction Idea: The SRV factor refines the RPV factor by introducing a "smart" indicator to identify informed trading periods and combining improved intraday and overnight correlations[1][5] - Factor Construction Process: 1. Split intraday price movements into morning and afternoon segments 2. Calculate the "smart" indicator for each minute and identify the top 20% (24 minutes) of the afternoon as the most informed trading period 3. Use the correlation between the afternoon "smart" turnover rate and afternoon price movements 4. For overnight price-volume correlation, replace the turnover rate with the turnover rate of the last 30 minutes of the previous day 5. Combine the improved intraday and overnight correlations to form the SRV factor[1][5] - Factor Evaluation: The SRV factor demonstrates superior performance compared to the RPV factor, with better metrics across all key indicators[1][5] --- Factor Backtesting Results 1. RPV Factor - Annualized Return: 14.87%[6][10] - Annualized Volatility: 7.76%[6][10] - IR: 1.92[6][10] - Monthly Win Rate: 73.28%[6][10] - Maximum Drawdown: 10.63%[6][10] 2. SRV Factor - Annualized Return: 18.00%[6][10] - Annualized Volatility: 6.28%[6][10] - IR: 2.87[6][10] - Monthly Win Rate: 76.34%[6][10] - Maximum Drawdown: 3.66%[6][10]