Quantitative Models and Construction 1. Model Name: Diffusion Index Model - Model Construction Idea: The model monitors the breadth of market movements and identifies turning points in stock price diffusion[5][38]. - Model Construction Process: The diffusion index is calculated based on the relative price movements of constituent stocks over a specific time window. For example, the current diffusion index value of 0.72 is derived from the relative price changes of stocks in the Wind Micro-Cap Index. The model uses thresholds to signal trading actions: - Left-side threshold method triggered a sell signal on May 8, 2025, at a value of 0.9850[43]. - Right-side threshold method triggered a sell signal on May 15, 2025, at a value of 0.8975[47]. - Dual moving average method triggered a buy signal on July 3, 2025[48]. - Model Evaluation: The model effectively identifies market turning points and provides actionable signals for trading strategies[39]. 2. Model Name: Small-Cap Low-Volatility 50 Strategy - Model Construction Idea: This strategy selects stocks with small market capitalization and low volatility to construct a portfolio[16][35]. - Model Construction Process: - Select 50 stocks from the Wind Micro-Cap Index based on small market capitalization and low volatility. - Rebalance the portfolio bi-weekly. - Transaction costs are set at 0.3% for both sides. - Benchmark: Wind Micro-Cap Index (8841431.WI)[16][35]. - Model Evaluation: The strategy demonstrates strong performance in 2025, with a year-to-date return of 56.90% and a weekly excess return of 0.04%[16][35]. --- Model Backtesting Results 1. Diffusion Index Model - Left-side threshold method: Sell signal at 0.9850 on May 8, 2025[43]. - Right-side threshold method: Sell signal at 0.8975 on May 15, 2025[47]. - Dual moving average method: Buy signal on July 3, 2025[48]. 2. Small-Cap Low-Volatility 50 Strategy - 2024 return: 7.07%, excess return: -2.93%[16][35]. - 2025 YTD return: 56.90%, weekly excess return: 0.04%[16][35]. --- Quantitative Factors and Construction 1. Factor Name: PB Inverse Factor - Factor Construction Idea: Measures the inverse of the price-to-book ratio to identify undervalued stocks[4][33]. - Factor Construction Process: - Calculate the inverse of the PB ratio for each stock in the Wind Micro-Cap Index. - Rank the stocks based on this value. - Factor Evaluation: This factor shows strong performance with a weekly rank IC of 0.152, significantly above its historical average of 0.034[4][33]. 2. Factor Name: Illiquidity Factor - Factor Construction Idea: Captures the illiquidity of stocks to identify those with higher potential returns[4][33]. - Factor Construction Process: - Measure the average daily turnover over a specific period. - Rank stocks inversely based on their turnover values. - Factor Evaluation: The factor has a weekly rank IC of 0.107, outperforming its historical average of 0.039[4][33]. 3. Factor Name: Profitability Factor - Factor Construction Idea: Identifies stocks with strong profitability metrics[4][33]. - Factor Construction Process: - Use metrics such as ROE or net profit margin to rank stocks. - Factor Evaluation: The factor has a weekly rank IC of 0.085, well above its historical average of 0.022[4][33]. 4. Factor Name: Momentum Factor - Factor Construction Idea: Tracks the momentum of stock prices to identify trends[4][33]. - Factor Construction Process: - Calculate the cumulative return over a specific period. - Rank stocks based on their momentum scores. - Factor Evaluation: The factor has a weekly rank IC of 0.069, improving from its historical average of -0.005[4][33]. 5. Factor Name: Leverage Factor - Factor Construction Idea: Measures the financial leverage of companies to identify risk-adjusted opportunities[4][33]. - Factor Construction Process: - Calculate the debt-to-equity ratio for each stock. - Rank stocks based on their leverage levels. - Factor Evaluation: The factor has a weekly rank IC of 0.064, outperforming its historical average of -0.005[4][33]. --- Factor Backtesting Results Top 5 Factors (Weekly Rank IC) 1. PB Inverse Factor: 0.152 (Historical Average: 0.034)[4][33]. 2. Illiquidity Factor: 0.107 (Historical Average: 0.039)[4][33]. 3. Profitability Factor: 0.085 (Historical Average: 0.022)[4][33]. 4. Momentum Factor: 0.069 (Historical Average: -0.005)[4][33]. 5. Leverage Factor: 0.064 (Historical Average: -0.005)[4][33]. Bottom 5 Factors (Weekly Rank IC) 1. Turnover Factor: -0.186 (Historical Average: -0.081)[4][33]. 2. Residual Volatility Factor: -0.154 (Historical Average: -0.040)[4][33]. 3. 10-Day Return Factor: -0.153 (Historical Average: -0.062)[4][33]. 4. 1-Year Volatility Factor: -0.153 (Historical Average: -0.033)[4][33]. 5. 10-Day Free Float Turnover Factor: -0.132 (Historical Average: -0.061)[4][33].
微盘股指数周报：“量化新规”或将平稳落地，双均线法再现买点-20250707
China Post Securities·2025-07-07 14:25