金融工程定期：开源交易行为因子绩效月报（2025年8月）-20250829

• The report tracks the performance of Barra style factors for August 2025, showing that the market capitalization factor recorded a return of 2.54%, the book-to-market ratio factor recorded a return of -0.67%, the growth factor recorded a return of 0.42%, and the earnings expectations factor recorded a return of 0.08%[4][14] - The report introduces a series of stock selection factors based on trading behavior, including the Ideal Reversal Factor, Smart Money Factor, APM Factor, and Ideal Amplitude Factor[5][14] - The Ideal Reversal Factor is constructed by segmenting the traditional reversal factor using W-shaped cuts, focusing on the average transaction amount per day to identify the strongest reversal days[39] - The Smart Money Factor is constructed by analyzing minute-level price and volume data to identify periods with significant institutional trading activity, using the formula $St = \frac{|Rt|}{Vt^{0.25}}$, where $Rt$ is the return at minute $t$ and $Vt$ is the volume at minute $t$[40][42] - The APM Factor measures the difference in stock price behavior between morning (or overnight) and afternoon sessions, using a regression model to calculate residuals and then computing the statistic $stat = \frac{\mu(\delta_t)}{\sigma(\delta_t)/\sqrt{N}}$, where $\delta_t$ is the difference between overnight and afternoon residuals[41][43][44] - The Ideal Amplitude Factor measures the difference in amplitude information between high and low price states, calculated as $V = V_{high} - V_{low}$, where $V_{high}$ is the average amplitude on high-price days and $V_{low}$ is the average amplitude on low-price days[46] - The historical performance of the Ideal Reversal Factor shows an IC mean of -0.050, rankIC mean of -0.060, IR of 2.48, and a long-short monthly win rate of 77.8%[6][15] - The historical performance of the Smart Money Factor shows an IC mean of -0.037, rankIC mean of -0.061, IR of 2.71, and a long-short monthly win rate of 81.6%[6][18] - The historical performance of the APM Factor shows an IC mean of 0.029, rankIC mean of 0.034, IR of 2.26, and a long-short monthly win rate of 77.4%[6][22] - The historical performance of the Ideal Amplitude Factor shows an IC mean of -0.053, rankIC mean of -0.073, IR of 2.99, and a long-short monthly win rate of 83.2%[6][26] - The composite trading behavior factor, which combines the above factors, shows an IC mean of 0.066, rankIC mean of 0.092, IR of 3.25, and a long-short monthly win rate of 82.0%[6][30] - In August 2025, the Ideal Reversal Factor recorded a long-short return of -1.28%, with a 12-month long-short monthly win rate of 58.3%[7][15] - In August 2025, the Smart Money Factor recorded a long-short return of -1.17%, with a 12-month long-short monthly win rate of 83.3%[7][18] - In August 2025, the APM Factor recorded a long-short return of -0.22%, with a 12-month long-short monthly win rate of 50.0%[7][22] - In August 2025, the Ideal Amplitude Factor recorded a long-short return of -0.15%, with a 12-month long-short monthly win rate of 66.7%[7][26] - In August 2025, the composite trading behavior factor recorded a long-short return of -0.90%, with a 12-month long-short monthly win rate of 75.0%[7][30]