细颗粒度量价系列之二：留存筹码比率选股因子

Quantitative Factors and Construction - Factor Name: Retained Chip Ratio Construction Idea: The factor leverages minute-level trading data to measure the proportion of chips retained by investors over a specific period, reflecting the degree of chip accumulation and potential trend formation[4][9]. Construction Process: 1. Calculate minute-level turnover rate using trading volume and amount data, normalized by circulating shares[10]. 2. For each trading day, at 15-minute intervals (e.g., 9:45, 10:00, ..., 14:45, 15:00), compute the cumulative turnover rate and trading amount for the preceding 15 minutes[10]. 3. Use the turnover rate and trading amount to calculate retained trading amounts for each time point until the selection day[10]. 4. Aggregate retained trading amounts over the past 20 trading days to derive cumulative retained trading amounts[10]. 5. Normalize cumulative retained trading amounts by total trading amounts over the past 20 days to construct the Retained Chip Ratio factor[10]. Formula: $\text{Retained Chip Ratio} = \frac{\sum_{n=1}^{N} \text{Amount}_{t-n} \times (1-\text{TR}_{t-n+1}) \times \cdots \times (1-\text{TR}_{t})}{\sum_{n=1}^{N} \text{Amount}_{t-n}}$ where $\text{Amount}_{t-n}$ represents the trading amount at time $t-n$, and $\text{TR}$ denotes turnover rate[8][9]. Evaluation: The factor effectively captures chip accumulation and investor behavior, showing strong monotonicity and positive returns across multiple years[17][30]. - Factor Name: Pure Retained Chip Ratio Construction Idea: Orthogonalize the Retained Chip Ratio against common style factors (e.g., beta, size, valuation, growth, liquidity, momentum, volatility) to isolate its pure effect[24][35]. Construction Process: 1. Calculate correlations between the Retained Chip Ratio and style factors[24][35]. 2. Remove the influence of style factors through orthogonalization[24][35]. Evaluation: The pure factor retains strong predictive power, with slightly reduced RankIC compared to the original factor but still demonstrating robust performance[21][35]. - Factor Name: Composite Fine-Grained Factor Construction Idea: Combine the Retained Chip Ratio with four other minute-level factors (price-volume correlation, amplitude price-volume divergence, trading amount volatility, and trading volume volatility), orthogonalize them, and equally weight them to form a composite factor[63]. Construction Process: 1. Orthogonalize the five minute-level factors to remove overlapping effects[63]. 2. Equally weight the orthogonalized factors to construct the composite factor[63]. Evaluation: The composite factor demonstrates enhanced performance across multiple indices, with higher RankIC and information ratios compared to individual factors[63][66]. --- Factor Backtesting Results - Retained Chip Ratio: - Index: CSI 800 - RankIC: 5.67%[12] - Annualized Long-Short Return: 46.16%[12] - IR: 1.09[12] - Index: CSI 1000 - RankIC: 7.38%[25] - Annualized Long-Short Return: 74.41%[25] - IR: 1.56[25] - Pure Retained Chip Ratio: - Index: CSI 800 - RankIC: 4.59%[21] - Annualized Long-Short Return: 40.88%[21] - IR: 1.07[21] - Index: CSI 1000 - RankIC: 5.90%[35] - Annualized Long-Short Return: 55.49%[35] - IR: 1.08[35] - Composite Fine-Grained Factor: - Index: CSI 300 - RankIC: 5.51%[63] - Annualized Long-Short Return: 38.26%[63] - IR: 1.52[63] - Index: CSI 500 - RankIC: 7.02%[63] - Annualized Long-Short Return: 50.02%[63] - IR: 2.19[63] - Index: CSI 1000 - RankIC: 7.70%[63] - Annualized Long-Short Return: 60.89%[63] - IR: 2.93[63] --- Factor Application in Enhanced Portfolios - Retained Chip Ratio: - Index: CSI 300 - Annualized Return: 6.07%[41] - Annualized Excess Return: 5.17%[41] - IR: 1.14[41] - Index: CSI 500 - Annualized Return: 7.81%[48] - Annualized Excess Return: 10.09%[48] - IR: 1.67[48] - Index: CSI 1000 - Annualized Return: 6.68%[55] - Annualized Excess Return: 11.78%[55] - IR: 1.44[55] - Composite Fine-Grained Factor: - Index: CSI 300 - Annualized Return: 7.66%[66] - Annualized Excess Return: 6.76%[66] - IR: 1.36[66] - Index: CSI 500 - Annualized Return: 9.54%[66] - Annualized Excess Return: 11.82%[66] - IR: 2.21[66] - Index: CSI 1000 - Annualized Return: 5.92%[66] - Annualized Excess Return: 11.02%[66] - IR: 2.05[66]