新价量相关性因子绩效月报20250630-20250701

• The RPV factor (Renewed Correlation of Price and Volume) is constructed by integrating intraday and overnight price-volume correlation information. It identifies the reversal and momentum effects of price-volume correlation through monthly IC averages. The factor incorporates "volume" information in the form of correlation, finding optimal representatives for intraday and overnight price-volume correlations, and combines them to create the RPV factor[6][7][10] - The SRV factor (Smart Renewed Volume) refines the RPV factor by splitting intraday price changes into morning and afternoon segments. It calculates a "smart" indicator for the afternoon, identifying the 20% of time intervals with the highest informed trading activity. The factor uses the correlation between the afternoon "smart" turnover rate and price changes. For overnight correlations, it replaces the turnover rate with the turnover rate of the last 30 minutes of the previous day, which has a higher proportion of informed trading. The SRV factor combines the improved intraday and overnight correlations into a single factor[6][7][10] - The RPV factor achieved an annualized return of 14.57%, annualized volatility of 7.73%, IR of 1.89, a monthly win rate of 72.99%, and a maximum drawdown of 10.63% during the backtest period from January 2014 to June 2025[7][10] - The SRV factor outperformed the RPV factor with an annualized return of 17.28%, annualized volatility of 6.50%, IR of 2.66, a monthly win rate of 75.18%, and a maximum drawdown of 3.74% during the same backtest period[7][10]