细颗粒度量价系列之一：量价背离+交易稳定性

Performance Overview - The volume-price industry rotation strategy achieved a cumulative return of 702.79% from 2010 to February 2025, outperforming the equal-weighted industry portfolio by 608.91%[5] - The annualized return of the volume-price industry rotation strategy is 14.72%, compared to 4.46% for the equal-weighted industry portfolio, resulting in an excess return of 10.25%[6] Factor Construction - The minute-level volume-price correlation factor has a Rank_IC of 4.66%, with an annualized return of 28.62% and an information ratio of 87.22%[11] - The amplitude volume-price divergence factor shows a Rank_IC of 4.10%, with an annualized return of 19.66% and an information ratio of 58.44%[23] - The transaction amount volatility factor has a Rank_IC of 5.61%, yielding an annualized return of 32.37% and an information ratio of 104.59%[35] - The transaction volume volatility factor presents a Rank_IC of 5.46%, with an annualized return of 30.71% and an information ratio of 99.82%[49] Composite Factor Performance - The composite fine-grained volume-price factor has a Rank_IC of 5.40%, with an annualized return of 31.70% and an information ratio of 105%[62] - The fine-grained volume-price selection strategy in the CSI 300 index yielded a cumulative return of 210.57% from 2015 to February 2025, with an annualized excess return of 10.84%[66] - The fine-grained volume-price selection strategy in the CSI 500 index achieved a cumulative return of 322.64% over the same period, with an annualized excess return of 14.28%[71]