金工定期报告20250801：“日与夜的殊途同归”新动量因子绩效月报-20250801

Quantitative Models and Construction Methods 1. Model Name: "Day and Night Convergence" New Momentum Factor - Model Construction Idea: The model improves traditional momentum factors by incorporating the price-volume relationship during intraday and overnight trading sessions, leveraging the distinct characteristics of these two periods to enhance signal strength and stability [7][6] - Model Construction Process: 1. The trading period is divided into intraday and overnight sessions [7] 2. Price-volume relationships are separately analyzed for each session to identify unique patterns and characteristics [7] 3. The insights from these analyses are combined to construct a new momentum factor, referred to as the "Day and Night Convergence" factor [7] - Model Evaluation: The model demonstrates significant improvement in stability and performance compared to traditional momentum factors, effectively addressing the instability issues observed in the A-share market [6][7] --- Model Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - Annualized Return: 18.08% [14] - Annualized Volatility: 8.75% [14] - Information Ratio (IR): 2.07 [14] - Monthly Win Rate: 77.54% [14] - Maximum Drawdown: 9.07% [14]