高频选股因子周报（20250929-20250930）-20251009

• The high-frequency skewness factor showed strong performance with long-short returns of 0.9%, 4.93%, and 22.69% for the past week, September, and 2025, respectively[5][9] - The intraday downside volatility proportion factor had long-short returns of 0.77%, 5.18%, and 18.23% for the past week, September, and 2025, respectively[5][9] - The post-open buying intention proportion factor had long-short returns of 1.11%, 3.65%, and 19.98% for the past week, September, and 2025, respectively[5][9] - The post-open buying intention intensity factor had long-short returns of 1.62%, 3.28%, and 25.81% for the past week, September, and 2025, respectively[5][9] - The post-open large order net buying proportion factor had long-short returns of 0.34%, 1.51%, and 20.7% for the past week, September, and 2025, respectively[5][9] - The post-open large order net buying intensity factor had long-short returns of 0.38%, 1.51%, and 12.86% for the past week, September, and 2025, respectively[5][9] - The intraday return factor had long-short returns of 0.98%, 1.26%, and 20.66% for the past week, September, and 2025, respectively[5][9] - The end-of-day trading proportion factor had long-short returns of 1.25%, 4.18%, and 17.74% for the past week, September, and 2025, respectively[5][9] - The average single outflow amount proportion factor had long-short returns of 0.29%, 0.26%, and -0.54% for the past week, September, and 2025, respectively[5][9] - The large order-driven price increase factor had long-short returns of 0.09%, 2.88%, and 8.88% for the past week, September, and 2025, respectively[5][9] - The GRU(10,2)+NN(10) deep learning factor had long-short returns of 1.33%, 8.73%, and 41.75% for the past week, September, and 2025, respectively, with long-only excess returns of 0.71%, 3.42%, and 8.08%[5][9] - The GRU(50,2)+NN(10) deep learning factor had long-short returns of 1%, 7.98%, and 42.75% for the past week, September, and 2025, respectively, with long-only excess returns of 0.63%, 2.99%, and 7.91%[5][9] - The multi-granularity model (5-day label) factor had long-short returns of 0.99%, 6.15%, and 53.09% for the past week, September, and 2025, respectively, with long-only excess returns of 0.5%, 2.56%, and 19.48%[5][9] - The multi-granularity model (10-day label) factor had long-short returns of 0.81%, 5.2%, and 49.1% for the past week, September, and 2025, respectively, with long-only excess returns of 0.37%, 2.97%, and 20.1%[5][9] - The weekly rebalanced CSI 500 AI enhanced wide constraint portfolio had excess returns of -0.99%, -4.8%, and -0.06% for the past week, September, and 2025, respectively[5][11] - The weekly rebalanced CSI 500 AI enhanced strict constraint portfolio had excess returns of -1%, -2.32%, and 2.66% for the past week, September, and 2025, respectively[5][11] - The weekly rebalanced CSI 1000 AI enhanced wide constraint portfolio had excess returns of -1.48%, -1.06%, and 7.53% for the past week, September, and 2025, respectively[5][11] - The weekly rebalanced CSI 1000 AI enhanced strict constraint portfolio had excess returns of -0.79%, -0.12%, and 13.11% for the past week, September, and 2025, respectively[5][11]