金工定期报告20251014：“日与夜的殊途同归”新动量因子绩效月报-20251014

• Model Name: "Day and Night Convergence" New Momentum Factor; Model Construction Idea: Based on the price-volume relationship during the day and overnight, the intraday factor and overnight factor are improved and then recombined into a new momentum factor[1][7] - Model Construction Process: 1. Split the trading period into day and night sessions[7] 2. Explore the price-volume relationship in each session separately[7] 3. Construct the "Day and Night Convergence" new momentum factor based on the findings[7] - Model Evaluation: The new factor significantly outperforms the traditional momentum factor in terms of stock selection ability[6][7] - Factor Name: "Day and Night Convergence" New Momentum Factor; Factor Construction Idea: Incorporate the information of "trading volume" into the previous "momentum factor segmentation" research to further explore the differences in investor trading behavior[7] - Factor Construction Process: 1. Split the trading period into day and night sessions[7] 2. Explore the price-volume relationship in each session separately[7] 3. Construct the "Day and Night Convergence" new momentum factor based on the findings[7] - Factor Evaluation: The new factor significantly outperforms the traditional momentum factor in terms of stock selection ability[6][7] Model Backtest Results - "Day and Night Convergence" New Momentum Factor, Annualized Return: 17.95%, Annualized Volatility: 8.70%, IR: 2.06, Monthly Win Rate: 77.86%, Maximum Drawdown: 9.07%[1][7][14] Factor Backtest Results - "Day and Night Convergence" New Momentum Factor, Annualized Return: 17.95%, Annualized Volatility: 8.70%, IR: 2.06, Monthly Win Rate: 77.86%, Maximum Drawdown: 9.07%[1][7][14]