以趋势资金入场信号为例：事件簇：量价事件驱动信号的规模化生产

Quantitative Models and Construction Methods Model Name: Trend Capital Event Signal - Model Construction Idea: Extend the "factor cluster" research concept to the construction of event-driven signals, focusing on identifying trend capital entry signals using high-frequency volume and price data[1][2] - Model Construction Process: 1. Event Identification: Identify trend capital transactions by observing anomalies in indicators such as trading volume, price changes, price volatility, and volume-price correlation[2] 2. Signal Definition: After identifying trend capital actions, calculate the trend capital average price indicator and net support volume indicator. If a stock's average price indicator is <0 or net support volume indicator is >0 on a trading day, it is considered to have triggered a trend capital entry signal[2][3] 3. Signal Screening and Synthesis: Mass-produce trend capital entry signals, construct channel strategies for each signal, and screen signals based on their performance and mutual correlation. Retain relatively effective and low-correlation event signals, called "trend capital event clusters," and synthesize them equally to obtain a comprehensive trend capital signal[2][3] - Model Evaluation: The comprehensive signal's performance is significantly improved compared to single signals, with a more appropriate number of holdings[2][3] Model Backtest Results - Trend Capital Comprehensive Signal: - Annualized Excess Return: 10.31%[2] - Information Ratio (IR): 2.41[2] - Maximum Drawdown: 6.44%[2] - Average Weekly Holdings: ~40 stocks[2] Quantitative Factors and Construction Methods Factor Name: Trend Capital Average Price Indicator - Factor Construction Idea: Identify trend capital trading periods using high-frequency volume data and construct signals based on volume-price characteristics[9] - Factor Construction Process: 1. Trend Capital Trading Period Identification: Calculate the 90th percentile of the minute trading volume sequence for the past 5 trading days. If a minute's trading volume on day t exceeds this threshold, it is considered a trend capital transaction[9] 2. Signal Construction: Calculate the trend capital average price indicator and net support volume indicator based on the trading periods identified. If the average price indicator is <0 or the net support volume indicator is >0, it triggers a trend capital entry signal[9][11] - Formula: $ \text{Trend Capital Average Price Indicator} = \frac{\text{Trend Capital Minute VWAP}}{\text{All Minutes VWAP}} - 1 $[11] $ \text{Net Support Volume Indicator} = \text{Support Volume} - \text{Resistance Volume} $[11] - Factor Evaluation: The single signal's performance is not outstanding, but combining multiple signals can significantly enhance the strategy's excess returns and information ratio[13] Factor Backtest Results - Trend Capital Average Price Indicator: - Annualized Excess Return: 3.36%[10] - Information Ratio (IR): 1.37[10] - Average Weekly Holdings: >650 stocks[13] - Trend Capital Net Support Volume Indicator: - Annualized Excess Return: 3.25%[10] - Information Ratio (IR): 1.30[10] - Average Weekly Holdings: >650 stocks[13] Additional Applications of Trend Capital Event Signals - Negative Signal Construction: Construct a risk stock pool using negative signals, which show significant negative selection effects[3] - Index Timing Strategy: Use the number of stocks triggering signals daily to construct a simple timing strategy for the CSI 800 Equal Weight Index. The strategy has an annualized return of 8.67% since 2017, with a win rate of 60.61% and an average opening return of 2.49%[3][56]