微盘股指数周报：调整仍不充分-20250623

Quantitative Models and Construction Methods Diffusion Index Model - Model Name: Diffusion Index Model - Model Construction Idea: The model monitors the critical point of future diffusion index changes to predict market trends. - Model Construction Process: - The horizontal axis represents the relative price change of stocks in the future, ranging from 1.1 to 0.9, indicating a 10% rise to a 10% fall. - The vertical axis represents the length of the review period or future days, ranging from 20 to 10 days. - Example: A value of 0.07 at the horizontal axis 0.95 and vertical axis 15 days indicates that if all stocks in the micro-cap index fall by 5% after 5 days, the diffusion index value is 0.07. - Formula: $ \text{Diffusion Index} = \frac{\text{Number of stocks rising}}{\text{Total number of stocks}} $ - Model Evaluation: The model is useful for monitoring the critical point of future diffusion index changes and predicting market trends.[6][17][40] First Threshold Method (Left-side Trading) - Model Name: First Threshold Method - Model Construction Idea: The model triggers a signal based on the first threshold value to indicate trading actions. - Model Construction Process: - The model triggered a no-position signal at the closing value of 0.9850 on May 8, 2025. - Formula: $ \text{Threshold Value} = \text{Current Index Value} $ - Model Evaluation: The model provides early signals for trading actions based on threshold values.[6][43][44] Delayed Threshold Method (Right-side Trading) - Model Name: Delayed Threshold Method - Model Construction Idea: The model triggers a signal based on the delayed threshold value to indicate trading actions. - Model Construction Process: - The model triggered a no-position signal at the closing value of 0.8975 on May 15, 2025. - Formula: $ \text{Delayed Threshold Value} = \text{Current Index Value} $ - Model Evaluation: The model provides delayed signals for trading actions based on threshold values.[6][45][47] Dual Moving Average Method (Adaptive Trading) - Model Name: Dual Moving Average Method - Model Construction Idea: The model uses dual moving averages to trigger trading signals. - Model Construction Process: - The model triggered a no-position signal at the closing value on June 11, 2025. - Formula: $ \text{Signal} = \text{Short-term Moving Average} - \text{Long-term Moving Average} $ - Model Evaluation: The model adapts to market changes using dual moving averages to provide trading signals.[6][48][49] Model Backtesting Results Diffusion Index Model - Diffusion Index Model, Current Value: 0.34[40] First Threshold Method (Left-side Trading) - First Threshold Method, Closing Value: 0.9850[43] Delayed Threshold Method (Right-side Trading) - Delayed Threshold Method, Closing Value: 0.8975[47] Dual Moving Average Method (Adaptive Trading) - Dual Moving Average Method, Closing Value: Not specified[48] Quantitative Factors and Construction Methods Past Year Volatility Factor - Factor Name: Past Year Volatility Factor - Factor Construction Idea: The factor measures the volatility of stocks over the past year. - Factor Construction Process: - Formula: $ \text{Volatility} = \sqrt{\frac{\sum (R_i - \bar{R})^2}{N}} $ - This week's rank IC: 0.171, Historical average: -0.033 - Factor Evaluation: The factor is effective in capturing the volatility of stocks over the past year.[5][16][33] Beta Factor - Factor Name: Beta Factor - Factor Construction Idea: The factor measures the sensitivity of stocks to market movements. - Factor Construction Process: - Formula: $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ - This week's rank IC: 0.145, Historical average: 0.004 - Factor Evaluation: The factor is effective in capturing the sensitivity of stocks to market movements.[5][16][33] Logarithmic Market Value Factor - Factor Name: Logarithmic Market Value Factor - Factor Construction Idea: The factor measures the logarithmic market value of stocks. - Factor Construction Process: - Formula: $ \text{Log Market Value} = \log(\text{Market Value}) $ - This week's rank IC: 0.138, Historical average: -0.033 - Factor Evaluation: The factor is effective in capturing the logarithmic market value of stocks.[5][16][33] Nonlinear Market Value Factor - Factor Name: Nonlinear Market Value Factor - Factor Construction Idea: The factor measures the nonlinear market value of stocks. - Factor Construction Process: - Formula: $ \text{Nonlinear Market Value} = (\text{Market Value})^2 $ - This week's rank IC: 0.138, Historical average: -0.033 - Factor Evaluation: The factor is effective in capturing the nonlinear market value of stocks.[5][16][33] Non-liquidity Factor - Factor Name: Non-liquidity Factor - Factor Construction Idea: The factor measures the non-liquidity of stocks. - Factor Construction Process: - Formula: $ \text{Non-liquidity} = \frac{\text{Number of non-trading days}}{\text{Total number of days}} $ - This week's rank IC: 0.125, Historical average: 0.038 - Factor Evaluation: The factor is effective in capturing the non-liquidity of stocks.[5][16][33] Factor Backtesting Results Past Year Volatility Factor - Past Year Volatility Factor, This week's rank IC: 0.171, Historical average: -0.033[5][16][33] Beta Factor - Beta Factor, This week's rank IC: 0.145, Historical average: 0.004[5][16][33] Logarithmic Market Value Factor - Logarithmic Market Value Factor, This week's rank IC: 0.138, Historical average: -0.033[5][16][33] Nonlinear Market Value Factor - Nonlinear Market Value Factor, This week's rank IC: 0.138, Historical average: -0.033[5][16][33] Non-liquidity Factor - Non-liquidity Factor, This week's rank IC: 0.125, Historical average: 0.038[5][16][33]