Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Model - Model Construction Idea: The model is used to monitor the critical points of future diffusion index changes, providing insights into potential market turning points[34][35] - Model Construction Process: The diffusion index is calculated based on the relative price changes of constituent stocks over a specific time window. For example, if all constituent stocks drop by 5% after 5 days, the diffusion index value is 0.33. The current diffusion index value is 0.82, indicating a relatively uniform distribution[34][35] - Model Evaluation: The model provides a systematic way to observe market heat and potential upward space, though it is sensitive to the dynamic updates of constituent stocks[34][35] 2. Model Name: First Threshold Method (Left-Side Trading) - Model Construction Idea: This method triggers a sell signal when the diffusion index reaches a predefined threshold[39] - Model Construction Process: The first threshold method triggered a sell signal on May 8, 2025, when the diffusion index closed at 0.9850[39] 3. Model Name: Delayed Threshold Method (Right-Side Trading) - Model Construction Idea: Similar to the first threshold method but with a delayed signal to confirm the trend[41][43] - Model Construction Process: The delayed threshold method triggered a sell signal on May 15, 2025, when the diffusion index closed at 0.8975[43] 4. Model Name: Dual Moving Average Method (Adaptive Trading) - Model Construction Idea: This method uses two moving averages to adaptively identify trading signals[44] - Model Construction Process: The dual moving average method issued a sell signal again on August 4, 2025[44] --- Model Backtesting Results 1. Diffusion Index Model - Current diffusion index value: 0.82[34][35] 2. First Threshold Method - Triggered sell signal at diffusion index value: 0.9850[39] 3. Delayed Threshold Method - Triggered sell signal at diffusion index value: 0.8975[43] 4. Dual Moving Average Method - Triggered sell signal on August 4, 2025[44] --- Quantitative Factors and Construction Methods 1. Factor Name: One-Year Volatility Factor - Factor Construction Idea: Measures the stock's price volatility over the past year[3][29] - Factor Construction Process: Rank IC for this factor this week is 0.135, with a historical average of -0.032[3][29] 2. Factor Name: Residual Volatility Factor - Factor Construction Idea: Captures the residual volatility of stock returns after accounting for market movements[3][29] - Factor Construction Process: Rank IC for this factor this week is 0.057, with a historical average of -0.039[3][29] 3. Factor Name: Growth Factor - Factor Construction Idea: Reflects the growth potential of stocks based on financial metrics[3][29] - Factor Construction Process: Rank IC for this factor this week is 0.053, with a historical average of -0.004[3][29] 4. Factor Name: Leverage Factor - Factor Construction Idea: Measures the financial leverage of companies[3][29] - Factor Construction Process: Rank IC for this factor this week is 0.042, with a historical average of -0.006[3][29] 5. Factor Name: Illiquidity Factor - Factor Construction Idea: Captures the illiquidity of stocks based on trading volume and price impact[3][29] - Factor Construction Process: Rank IC for this factor this week is 0.041, with a historical average of 0.04[3][29] 6. Factor Name: 10-Day Return Factor - Factor Construction Idea: Measures the stock's return over the past 10 days[3][29] - Factor Construction Process: Rank IC for this factor this week is -0.131, with a historical average of -0.061[3][29] 7. Factor Name: Nonlinear Market Cap Factor - Factor Construction Idea: Captures the nonlinear relationship between market capitalization and stock returns[3][29] - Factor Construction Process: Rank IC for this factor this week is -0.13, with a historical average of -0.033[3][29] 8. Factor Name: Logarithmic Market Cap Factor - Factor Construction Idea: Uses the logarithm of market capitalization to explain stock returns[3][29] - Factor Construction Process: Rank IC for this factor this week is -0.13, with a historical average of -0.033[3][29] 9. Factor Name: 10-Day Total Market Cap Turnover Factor - Factor Construction Idea: Measures the turnover of total market capitalization over the past 10 days[3][29] - Factor Construction Process: Rank IC for this factor this week is -0.13, with a historical average of -0.06[3][29] 10. Factor Name: PE_TTM Reciprocal Factor - Factor Construction Idea: Uses the reciprocal of the price-to-earnings ratio (trailing twelve months) as a valuation metric[3][29] - Factor Construction Process: Rank IC for this factor this week is -0.129, with a historical average of 0.017[3][29] --- Factor Backtesting Results Top 5 Factors by Rank IC This Week 1. One-Year Volatility Factor: 0.135[3][29] 2. Residual Volatility Factor: 0.057[3][29] 3. Growth Factor: 0.053[3][29] 4. Leverage Factor: 0.042[3][29] 5. Illiquidity Factor: 0.041[3][29] Bottom 5 Factors by Rank IC This Week 1. 10-Day Return Factor: -0.131[3][29] 2. Nonlinear Market Cap Factor: -0.13[3][29] 3. Logarithmic Market Cap Factor: -0.13[3][29] 4. 10-Day Total Market Cap Turnover Factor: -0.13[3][29] 5. PE_TTM Reciprocal Factor: -0.129[3][29]
微盘股指数周报：微盘股成交占比持续回落-20250825
China Post Securities·2025-08-25 11:47