高频选股因子周报（20251013-20251017）：高频因子继续回撤，多粒度因子表现有所反弹。AI增强组合持续反弹，严约束1000增强组合超额创新高。-20251020

Core Insights - The report indicates that high-frequency factors continued to retract, while multi-granularity factors showed some rebound. The AI-enhanced portfolios have sustained a rebound, with the strictly constrained 1000 enhanced portfolio achieving a record high in excess returns [2][5]. Summary by Sections 1. High-Frequency Factors, Deep Learning Factors, and AI Enhanced Portfolio Performance Summary - The report summarizes the historical and 2025 performance of high-frequency stock selection factors, including multi-factor returns and excess returns for October and year-to-date [8]. - The high-frequency skew factor had a multi-directional return of -0.54% for the last week, -2.03% for October, and 20.66% year-to-date [10]. - The deep learning high-frequency factor (improved GRU(50,2)+NN(10)) reported a multi-directional return of 0.62% for the last week, 0.38% for October, and 43.14% year-to-date [12]. 2. Weekly Rebalancing of AI Index Enhanced Portfolios - The weekly rebalancing of the CSI 500 AI enhanced wide constraint portfolio achieved excess returns of 3.51%, 4.71%, and 4.65% for the last week, October, and year-to-date respectively [13]. - The weekly rebalancing of the CSI 1000 AI enhanced strict constraint portfolio achieved excess returns of 2.21%, 3.99%, and 17.63% for the last week, October, and year-to-date respectively [13]. 3. Performance of Specific Factors - The opening buy intention strength factor had a multi-directional return of -0.98% for the last week, -2.72% for October, and 23.09% year-to-date [10]. - The average single outflow amount factor reported a multi-directional return of -0.90% for the last week, -1.90% for October, and -2.44% year-to-date [10]. - The deep learning factor (multi-granularity model - 5-day label) achieved a multi-directional return of 2.04% for the last week, 2.53% for October, and 55.62% year-to-date [12].