金工定期报告20250701：“日与夜的殊途同归”新动量因子绩效月报-20250701

Quantitative Models and Construction Methods 1. Model Name: "Day and Night Convergence" New Momentum Factor - Model Construction Idea: This model improves traditional momentum factors by incorporating the price-volume relationship during intraday and overnight trading periods. It aims to capture distinct characteristics and logic in these two periods to enhance the stability and effectiveness of momentum signals [6][7]. - Model Construction Process: 1. The trading session is divided into intraday and overnight periods. 2. The price-volume relationship is separately analyzed for each period. 3. Based on these analyses, the intraday and overnight factors are improved and synthesized into a new momentum factor [7]. - Model Evaluation: The model demonstrates significant stock selection ability, outperforming traditional momentum factors in terms of stability and performance [6][7]. --- Model Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - Annualized Return: 18.15% [7][14] - Annualized Volatility: 8.79% [7][14] - Information Ratio (IR): 2.07 [7][14] - Monthly Win Rate: 77.37% [7][14] - Maximum Drawdown: 9.07% [7][14] --- Quantitative Factors and Construction Methods 1. Factor Name: "Day and Night Convergence" New Momentum Factor - Factor Construction Idea: The factor is based on the price-volume relationship during intraday and overnight trading periods. It leverages the distinct characteristics of these periods to refine momentum signals [7]. - Factor Construction Process: 1. Divide the trading session into intraday and overnight periods. 2. Analyze the price-volume relationship for each period. 3. Construct separate momentum factors for intraday and overnight periods. 4. Synthesize the two factors into a new momentum factor [7]. - Factor Evaluation: The factor shows superior performance compared to traditional momentum factors, with higher stability and stock selection capability [6][7]. --- Factor Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - Annualized Return: 22.64% [6] - Information Ratio (IR): 2.85 [6] - Monthly Win Rate: 83.33% [6] - Maximum Drawdown: 5.79% [6]