GUOTAI HAITONG SECURITIES·2025-09-16 06:00Quantitative Factors and Construction Methods - Factor Name: Large Buy Order Transaction Amount Ratio Factor Construction Idea: This factor captures the buying behavior of large funds by analyzing the proportion of large buy orders in the total transaction amount for a given day [7] Factor Construction Process: 1. Utilize tick-by-tick transaction data to reconstruct buy and sell order data based on the bid and ask sequence numbers [7] 2. Filter transactions based on order size to identify large orders [7] 3. Calculate the proportion of large buy order transaction amounts to the total transaction amount for the day [7] Formula: $ \text{Large Buy Order Transaction Amount Ratio} = \frac{\text{Large Buy Order Amount}}{\text{Total Transaction Amount}} $ Factor Evaluation: This factor effectively reflects the buying behavior of large funds [7] - Factor Name: Net Active Buy Transaction Amount Ratio Factor Construction Idea: This factor measures the active buying behavior of investors by analyzing the net active buy transaction amount as a proportion of the total transaction amount for a given day [7] Factor Construction Process: 1. Use tick-by-tick transaction data to classify each transaction as either active buy or active sell based on the buy/sell indicator [7] 2. Calculate the net active buy transaction amount by subtracting the active sell amount from the active buy amount [7] 3. Compute the proportion of the net active buy transaction amount to the total transaction amount for the day [7] Formula: $ \text{Net Active Buy Transaction Amount Ratio} = \frac{\text{Active Buy Amount} - \text{Active Sell Amount}}{\text{Total Transaction Amount}} $ Factor Evaluation: This factor provides insights into the active buying tendencies of investors [7] Factor Backtesting Results - Large Buy Order Transaction Amount Ratio: - Top 10 stocks with the highest 5-day average values: 1. Guofa Co., Ltd. (600538.SH): 86.5%, 97.9% time-series percentile [9] 2. Jilin Expressway (601518.SH): 86.3%, 82.3% time-series percentile [9] 3. Chongqing Iron & Steel (601005.SH): 85.8%, 83.1% time-series percentile [9] 4. Zijin Bank (601860.SH): 85.6%, 62.6% time-series percentile [9] 5. Jianyuan Trust (600816.SH): 85.5%, 90.5% time-series percentile [9] - Net Active Buy Transaction Amount Ratio: - Top 10 stocks with the highest 5-day average values: 1. Fangda Special Steel (600507.SH): 24.8%, 100.0% time-series percentile [10] 2. Liaogang Co., Ltd. (601880.SH): 18.3%, 95.1% time-series percentile [10] 3. Overseas Chinese Town A (000069.SZ): 17.6%, 99.6% time-series percentile [10] 4. Qixia Construction (600533.SH): 14.6%, 99.2% time-series percentile [10] 5. Wanwei High-Tech (600063.SH): 14.3%, 99.6% time-series percentile [10] Additional Results for Indices, Industries, and ETFs - Indices: - Large Buy Order Transaction Amount Ratio (5-day average): - Shanghai Composite Index: 74.2%, 25.1% time-series percentile [12] - CSI 300: 73.1%, 10.7% time-series percentile [12] - Net Active Buy Transaction Amount Ratio (5-day average): - Shanghai Composite Index: -4.3%, 95.5% time-series percentile [12] - CSI 300: -4.5%, 100.0% time-series percentile [12] - Industries: - Large Buy Order Transaction Amount Ratio (5-day average): - Steel: 80.6%, 46.9% time-series percentile [13] - Construction: 79.5%, 62.6% time-series percentile [13] - Net Active Buy Transaction Amount Ratio (5-day average): - Steel: 4.0%, 40.7% time-series percentile [13] - Construction: 2.4%, 70.8% time-series percentile [13] - ETFs: - Large Buy Order Transaction Amount Ratio (5-day average): - ChinaAMC SSE 50 ETF (510050.SH): 89.3%, 74.1% time-series percentile [15] - GF CSI All-Index IT ETF (159939.SZ): 89.2%, 54.3% time-series percentile [15] - Net Active Buy Transaction Amount Ratio (5-day average): - Huaan SSE STAR Chip ETF (588290.SH): 17.3%, 99.6% time-series percentile [16] - Harvest CSI Battery Theme ETF (562880.SH): 13.9%, 92.2% time-series percentile [16]