金融工程定期：开源交易行为因子绩效月报（2024年 12 月）

Quantitative Models and Construction Methods Barra Style Factors - Factor Name: Market Capitalization Factor Construction Idea: Measures the performance of large-cap versus small-cap stocks Performance: Recorded a return of 1.06% in December 2024[4][12] - Factor Name: Book-to-Market Ratio Factor Construction Idea: Captures the value versus growth style Performance: Recorded a return of -0.61% in December 2024[4][12] - Factor Name: Growth Factor Construction Idea: Tracks growth-oriented stocks Performance: Recorded a return of 0.15% in December 2024[4][12] - Factor Name: Earnings Expectation Factor Construction Idea: Reflects the profitability expectations of stocks Performance: Recorded a return of 1.36% in December 2024[4][12] Transaction Behavior Factors - Factor Name: Ideal Reversal Factor Construction Idea: Identifies the strongest reversal days based on large transaction sizes Construction Process: 1. Retrieve the past 20 trading days' data for selected stocks 2. Calculate the average transaction amount per trade (transaction amount/number of trades) 3. Sum the returns of the 10 days with the highest average transaction amounts (M_high) 4. Sum the returns of the 10 days with the lowest average transaction amounts (M_low) 5. Compute the factor as M = M_high - M_low[5][35][37] - Factor Name: Smart Money Factor Construction Idea: Tracks institutional trading activity using minute-level price and volume data Construction Process: 1. Retrieve the past 10 days' minute-level data for selected stocks 2. Construct the indicator $St = |Rt| / (Vt^{0.25})$, where $Rt$ is the return at minute $t$ and $Vt$ is the volume at minute $t$ 3. Sort minute-level data by $St$ in descending order and select the top 20% cumulative volume minutes as "smart money" trades 4. Calculate the volume-weighted average price (VWAP) for smart money trades ($VWAP_{smart}$) and all trades ($VWAP_{all}$) 5. Compute the factor as $Q = VWAP_{smart} / VWAP_{all}$[5][36][38] - Factor Name: APM Factor Construction Idea: Measures the difference in stock behavior between morning (or overnight) and afternoon trading sessions Construction Process: 1. Retrieve the past 20 days' data for selected stocks 2. Calculate daily overnight and afternoon returns for both stocks and indices 3. Perform regression to obtain residuals for overnight and afternoon returns 4. Compute the difference between overnight and afternoon residuals ($\delta_t$) 5. Calculate the statistic $\mathrm{stat} = \frac{\mu(\delta_t)}{\sigma(\delta_t) / \sqrt{N}}$, where $\mu$ is the mean, $\sigma$ is the standard deviation, and $N$ is the sample size 6. Perform cross-sectional regression to remove momentum effects, using the residual as the factor value[5][37][39][40] - Factor Name: Ideal Amplitude Factor Construction Idea: Captures the structural differences in amplitude information between high and low price states Construction Process: 1. Retrieve the past 20 trading days' data for selected stocks 2. Calculate the daily amplitude as (highest price/lowest price - 1) 3. Compute the average amplitude for the top 25% of days with the highest closing prices ($V_{high}$) 4. Compute the average amplitude for the bottom 25% of days with the lowest closing prices ($V_{low}$) 5. Compute the factor as $V = V_{high} - V_{low}$[5][42] - Factor Name: Composite Transaction Behavior Factor Construction Idea: Combines multiple transaction behavior factors using ICIR-based weights Construction Process: 1. Perform outlier removal and standardization for individual factors within industries 2. Use the past 12 periods' ICIR values as weights to combine factors into a composite factor[28][30][31] Factor Backtesting Results Individual Transaction Behavior Factors - Ideal Reversal Factor: - IC: -0.051 - RankIC: -0.061 - IR: 2.54 - Long-short monthly win rate: 78.0% - December 2024 long-short return: 4.47% - 12-month long-short monthly win rate: 66.7%[6][7][13] - Smart Money Factor: - IC: -0.038 - RankIC: -0.060 - IR: 2.74 - Long-short monthly win rate: 82.0% - December 2024 long-short return: 1.48% - 12-month long-short monthly win rate: 91.7%[6][7][16] - APM Factor: - IC: 0.030 - RankIC: 0.035 - IR: 2.35 - Long-short monthly win rate: 78.4% - December 2024 long-short return: 1.47% - 12-month long-short monthly win rate: 66.7%[6][7][20] - Ideal Amplitude Factor: - IC: -0.055 - RankIC: -0.072 - IR: 3.05 - Long-short monthly win rate: 84.1% - December 2024 long-short return: 2.55% - 12-month long-short monthly win rate: 91.7%[6][7][26] Composite Transaction Behavior Factor - Performance Metrics: - IC: 0.069 - RankIC: 0.092 - IR: 3.36 - Long-short monthly win rate: 82.4% - December 2024 long-short return: 3.25% - 12-month long-short monthly win rate: 83.3% - Annualized return of long-only portfolio: 8.79% - Return volatility ratio: 2.76 - Monthly win rate: 80.8%[6][28][30] - Performance in Different Stock Pools: - National Small Cap 2000: IR = 3.03 - CSI 1000: IR = 3.05 - CSI 800: IR = 1.33[30][33]