短期仍有空间，需注意流动性

Quantitative Models and Construction - Model Name: Three-dimensional Timing Framework Construction Idea: Combines liquidity, divergence, and prosperity metrics to assess market timing and trends[7][14][19] Construction Process: 1. Define liquidity index, divergence index, and prosperity index 2. Combine these metrics into a three-dimensional framework to evaluate market conditions 3. Historical performance analysis shows its effectiveness in predicting market trends[7][14][19] Evaluation: Provides a comprehensive view of market timing by integrating multiple dimensions[7][14][19] - Model Name: ETF Hotspot Trend Strategy Construction Idea: Identifies ETFs with strong short-term market attention and constructs a risk-parity portfolio[30][31] Construction Process: 1. Select ETFs with simultaneous upward trends in highest and lowest prices 2. Use regression coefficients of the past 20 days to construct support-resistance factors 3. Choose top 10 ETFs with the highest turnover rates in the past 5 and 20 days 4. Build a risk-parity portfolio based on these ETFs[30][31] Evaluation: Effectively captures short-term market hotspots and enhances portfolio stability[30][31] - Model Name: Capital Flow Resonance Strategy Construction Idea: Combines financing and large-order capital flows to identify industries with strong resonance effects[33][35][38] Construction Process: 1. Define financing factor: Neutralize market capitalization and calculate the 50-day average of financing net buy minus net sell 2. Define large-order factor: Neutralize industry transaction volume and calculate the 10-day average of net inflows 3. Combine the two factors, excluding extreme industries and large financial sectors 4. Backtest results show annualized excess return of 13.5% and IR of 1.7 since 2018[33][35][38] Evaluation: Improves strategy stability by combining complementary factors[33][35][38] Model Backtesting Results - Three-dimensional Timing Framework: Historical performance demonstrates its ability to predict market trends effectively[14][19] - ETF Hotspot Trend Strategy: Weekly portfolio includes ETFs such as Hong Kong non-bank finance and communication equipment, showing strong market attention[30][31] - Capital Flow Resonance Strategy: Achieved absolute return of 0.3% and excess return of -1.7% last week[35][38] Quantitative Factors and Construction - Factor Name: Momentum Construction Idea: Measures stock price trends over a specific period[41][43] Construction Process: 1. Calculate 1-year minus 1-month return (mom_1y_1m) 2. Rank stocks based on momentum scores and construct portfolios[41][43] Evaluation: High-momentum stocks significantly outperform low-momentum stocks[41][43] - Factor Name: Liquidity Construction Idea: Evaluates stock liquidity and its impact on returns[41][43] Construction Process: 1. Define liquidity factor (liquidity) 2. Rank stocks based on liquidity scores and construct portfolios[41][43] Evaluation: High-liquidity stocks outperform low-liquidity stocks[41][43] - Factor Name: Value Construction Idea: Assesses stock valuation levels[41][43] Construction Process: 1. Define value factor (value) 2. Rank stocks based on valuation scores and construct portfolios[41][43] Evaluation: Low-valuation stocks underperform high-valuation stocks recently[41][43] - Factor Name: Alpha Factors (e.g., yoy_accpayable, yoy_or_q, cur_liab_yoy) Construction Idea: Measures financial metrics such as growth rates and profitability[45][47][49] Construction Process: 1. Calculate metrics like accounts payable growth (yoy_accpayable), quarterly revenue growth (yoy_or_q), and current liabilities growth (cur_liab_yoy) 2. Neutralize market capitalization and industry effects 3. Rank stocks based on factor scores and construct portfolios[45][47][49] Evaluation: Factors show strong excess returns, especially in large-cap stocks[45][47][49] Factor Backtesting Results - Momentum Factor: Weekly excess return of +2.05%[41][43] - Liquidity Factor: Weekly excess return of +3.38%[41][43] - Value Factor: Weekly excess return of -2.41%[41][43] - Alpha Factors: - yoy_accpayable: Weekly excess return of +3.51%[45][47] - yoy_or_q: Weekly excess return of +3.49%[45][47] - cur_liab_yoy: Weekly excess return of +3.37%[45][47] - roe_q_delta_adv: Weekly excess return of +2.80%[45][49]