高频因子跟踪：今年以来高频&基本面共振组合策略超额 4.99%

Group 1: ETF Rotation Strategy Tracking - The ETF rotation strategy, constructed using GBDT+NN machine learning factors, has shown excellent performance in out-of-sample testing, with an IC value of 20.91% and a long position excess return of 0.61% last week [2][12][13] - The strategy's annualized excess return is 11.91%, with a maximum drawdown of 17.31% and an information ratio of 0.68, indicating strong recent performance [2][18][16] - The strategy has recorded an excess return of 0.88% last week, 1.44% for the month, and 0.15% year-to-date, reflecting its recent success [2][18] Group 2: High-Frequency Factor Overview - Various high-frequency factors have demonstrated strong performance, with the price range factor achieving a long position excess return of 1.01% last week and 5.84% year-to-date [3][22] - The volume-price divergence factor has shown a long position excess return of 10.13% this year, while the regret avoidance factor has underperformed with a return of -0.30% [3][22] - The overall performance of high-frequency factors has been commendable, with the price range factor and volume-price divergence factor leading in returns [3][22] Group 3: High-Frequency Factor Performance Tracking - The price range factor measures the activity level of stocks within different price ranges, indicating investor expectations for future price movements, and has shown stable performance this year [4][25] - The volume-price divergence factor assesses the correlation between stock price and trading volume, with lower correlation suggesting higher future price increases, although its performance has been inconsistent in recent years [4][25] - The regret avoidance factor reflects investor behavior, showing stable excess returns, indicating that regret avoidance sentiment significantly impacts expected stock returns [4][25] Group 4: Combined Strategies Performance - The high-frequency "gold" combination strategy has an annualized excess return of 10.68% and a maximum drawdown of 6.04%, with recent excess returns of 0.14% last week and 5.98% year-to-date [5][54] - The high-frequency and fundamental resonance combination strategy has shown an annualized excess return of 14.98% and a maximum drawdown of 4.52%, with recent excess returns of 0.28% last week and 4.99% year-to-date [5][60]