微盘股指数周报：微盘股持续反弹，成交占比进一步回落-20251013

Quantitative Models and Construction Methods - Model Name: Diffusion Index Model Model Construction Idea: The model is designed to monitor the future critical points of diffusion index changes and provide trading signals based on different methods such as threshold methods and moving average methods [6][37][38] Model Construction Process: - The diffusion index is calculated based on the relative price changes of micro-cap stock index constituent stocks over a specific time window. - The horizontal axis represents the percentage change in stock prices from +10% to -10% over the next N days, while the vertical axis represents the length of the retrospective window T days or the future N days. - For example, at a horizontal axis value of 0.95 and a vertical axis value of 15 days, the diffusion index value is 0.04, indicating that if all micro-cap stock index constituent stocks drop by 5% after N=5 days, the diffusion index value will be 0.04. - The model uses three methods to generate trading signals: - First Threshold Method (Left-side Trading): Triggered a buy signal on September 23, 2025, with a closing value of 0.0575 [40] - Delayed Threshold Method (Right-side Trading): Gave a buy signal on September 25, 2025, with a closing value of 0.1825 [44] - Double Moving Average Method (Adaptive Trading): Provided a sell signal on August 4, 2025 [45] Model Evaluation: The diffusion index is currently at a medium level, indicating a short-term downward trend but not expected to trigger the 0.1 threshold in the next 10 trading days [37][38] Model Backtesting Results - Diffusion Index Model: - Current diffusion index value: 0.50 [37] - First Threshold Method: Buy signal triggered at 0.0575 on September 23, 2025 [40] - Delayed Threshold Method: Buy signal triggered at 0.1825 on September 25, 2025 [44] - Double Moving Average Method: Sell signal triggered on August 4, 2025 [45] --- Quantitative Factors and Construction Methods - Factor Name: Leverage Factor Factor Construction Idea: Measures the financial leverage of companies to assess their risk and return potential [5][31] Factor Construction Process: - The leverage factor is calculated as the ratio of total debt to total equity. - The rank IC for this factor is calculated weekly to evaluate its predictive power for stock returns [31] Factor Evaluation: This factor showed a positive rank IC this week, indicating its effectiveness in predicting stock returns [5][31] - Factor Name: Free Float Ratio Factor Factor Construction Idea: Evaluates the proportion of shares available for trading in the market [5][31] Factor Construction Process: - The free float ratio factor is calculated as the ratio of free float shares to total shares outstanding. - Weekly rank IC is used to measure its predictive ability [31] Factor Evaluation: This factor demonstrated a positive rank IC this week, suggesting its utility in forecasting stock performance [5][31] - Factor Name: Dividend Yield Factor Factor Construction Idea: Measures the dividend yield of stocks to identify value opportunities [5][31] Factor Construction Process: - The dividend yield factor is calculated as the ratio of annual dividend per share to the current stock price. - Weekly rank IC is computed to assess its predictive power [31] Factor Evaluation: This factor showed a positive rank IC this week, indicating its effectiveness in predicting stock returns [5][31] - Factor Name: Single-quarter ROE Factor Factor Construction Idea: Measures the return on equity for a single quarter to evaluate profitability [5][31] Factor Construction Process: - The single-quarter ROE factor is calculated as the ratio of net income to shareholders' equity for a single quarter. - Weekly rank IC is used to measure its predictive ability [31] Factor Evaluation: This factor demonstrated a positive rank IC this week, suggesting its utility in forecasting stock performance [5][31] - Factor Name: Growth Factor Factor Construction Idea: Measures the growth potential of companies based on financial metrics [5][31] Factor Construction Process: - The growth factor is calculated using metrics such as revenue growth, earnings growth, and other growth indicators. - Weekly rank IC is computed to assess its predictive power [31] Factor Evaluation: This factor showed a positive rank IC this week, indicating its effectiveness in predicting stock returns [5][31] --- Factor Backtesting Results - Leverage Factor: Rank IC this week: 0.176, historical average: -0.006 [5][31] - Free Float Ratio Factor: Rank IC this week: 0.156, historical average: -0.013 [5][31] - Dividend Yield Factor: Rank IC this week: 0.109, historical average: 0.021 [5][31] - Single-quarter ROE Factor: Rank IC this week: 0.091, historical average: 0.022 [5][31] - Growth Factor: Rank IC this week: 0.091, historical average: -0.003 [5][31]