新价量相关性因子绩效月报20250829-20250903

Quantitative Factors and Construction - Factor Name: Renewed Correlation of Price and Volume (RPV) Construction Idea: The RPV factor integrates intraday and overnight price-volume correlation information, leveraging the reversal and momentum effects of price-volume relationships. It incorporates "volume" information into correlation metrics to enhance factor effectiveness [6][1][7] Construction Process: 1. Identify the best representatives for intraday and overnight price-volume correlations: CCOIV (intraday) and COV (overnight) [6] 2. Enhance reversal effects using turnover rate sequences for intraday price-volume correlation [6] 3. Strengthen overnight momentum effects by incorporating "yesterday's volume" into overnight price-volume relationships [6] 4. Combine intraday and overnight correlation information into a unified factor, RPV, to serve a single objective [6] Evaluation: The RPV factor is described as "novel and effective," capable of capturing both reversal and momentum effects in price-volume relationships [1][6] - Factor Name: Smart Renewed Correlation of Price and Volume (SRV) Construction Idea: The SRV factor refines intraday price-volume correlation by splitting daily price movements into morning and afternoon segments, and incorporates "smart" turnover metrics to identify informed trading periods. It combines improved intraday and overnight correlation metrics for enhanced performance [1][6][7] Construction Process: 1. Split daily price movements into morning and afternoon segments [1][6] 2. Calculate "smart" metrics for afternoon trading, identifying the top 20% (24 minutes) of informed trading periods [1][6] 3. Use "smart turnover rate" and afternoon price movements to compute intraday correlation [1][6] 4. Replace turnover rate with the last 30-minute turnover rate of the previous day for overnight correlation [1][6] 5. Combine the refined intraday and overnight correlation metrics into the SRV factor [1][6] Evaluation: The SRV factor is considered superior to RPV, with better performance metrics and lower drawdowns [1][6] Factor Backtesting Results - RPV Factor: - Annualized Return: 14.17% [7][10] - Annualized Volatility: 7.73% [7][10] - IR: 1.83 [7][10] - Monthly Win Rate: 71.94% [7][10] - Maximum Drawdown: 10.63% [7][10] - SRV Factor: - Annualized Return: 16.89% [7][10] - Annualized Volatility: 6.51% [7][10] - IR: 2.59 [7][10] - Monthly Win Rate: 74.10% [7][10] - Maximum Drawdown: 3.87% [7][10] August Performance Results - RPV Factor: - Long Portfolio Return: 7.29% [10][11] - Short Portfolio Return: 8.88% [10][11] - Long-Short Portfolio Return: -1.59% [10][11] - SRV Factor: - Long Portfolio Return: 7.55% [10][11] - Short Portfolio Return: 8.78% [10][11] - Long-Short Portfolio Return: -1.23% [10][11]