微盘股指数周报：微盘股触发看多信号，看好微盘10月后续表现-20251022

Quantitative Models and Construction Methods - Model Name: Diffusion Index Model Construction Idea: The model monitors the critical point of future diffusion index changes to identify potential turning points in the market[37][38] Construction Process: The diffusion index is calculated based on the relative price changes of constituent stocks over a specific time window. For example, if all constituent stocks drop by 5% after 5 days, the diffusion index value is 0.05. The formula is: $ Diffusion Index = \frac{\text{Number of stocks with positive changes}}{\text{Total number of stocks}} $ The model uses thresholds (e.g., 0.1) to trigger buy signals. Observations show that the current diffusion index is at 0.1, indicating sufficient adjustment and a potential rise in the next 5 days[37][38][39] Evaluation: The model effectively identifies market turning points and provides actionable signals for trading[38] - Model Name: First Threshold Method (Left-side Trading) Construction Idea: This method triggers buy signals when the diffusion index reaches a predefined threshold[41] Construction Process: The first threshold method triggered a buy signal on September 23, 2025, when the diffusion index reached 0.0575[41] Evaluation: The method is straightforward and provides early signals for market entry[41] - Model Name: Delayed Threshold Method (Right-side Trading) Construction Idea: This method provides buy signals after the diffusion index stabilizes above a certain threshold[44] Construction Process: The delayed threshold method triggered a buy signal on September 25, 2025, when the diffusion index reached 0.1825[44] Evaluation: The method reduces false signals by waiting for confirmation of market trends[44] - Model Name: Dual Moving Average Method (Adaptive Trading) Construction Idea: This method uses two moving averages to identify buy signals based on trend changes[45] Construction Process: The dual moving average method triggered a buy signal on October 13, 2025, based on the crossover of short-term and long-term moving averages[45] Evaluation: The method adapts to market trends and provides reliable signals for trading[45] Model Backtesting Results - Diffusion Index Model: Current value is 0.10, indicating a potential rise in the next 5 days[37][38][39] - First Threshold Method: Triggered buy signal at diffusion index value of 0.0575 on September 23, 2025[41] - Delayed Threshold Method: Triggered buy signal at diffusion index value of 0.1825 on September 25, 2025[44] - Dual Moving Average Method: Triggered buy signal on October 13, 2025[45] Quantitative Factors and Construction Methods - Factor Name: PB Inverse Factor Construction Idea: This factor ranks stocks based on the inverse of their price-to-book ratio[31] Construction Process: $ PB_Inverse = \frac{1}{PB} $ The factor is calculated weekly and ranks stocks based on their PB inverse values[31] Evaluation: The factor shows strong predictive power for stock performance[31] - Factor Name: Dividend Yield Factor Construction Idea: This factor ranks stocks based on their dividend yield[31] Construction Process: $ Dividend_Yield = \frac{\text{Annual Dividend}}{\text{Stock Price}} $ The factor is calculated weekly and ranks stocks based on their dividend yield values[31] Evaluation: The factor is effective in identifying high-yield stocks with stable returns[31] - Factor Name: Non-liquidity Factor Construction Idea: This factor ranks stocks based on their non-liquidity characteristics[31] Construction Process: $ Non_Liquidity = \frac{\text{Average Daily Volume}}{\text{Total Shares Outstanding}} $ The factor is calculated weekly and ranks stocks based on their non-liquidity values[31] Evaluation: The factor captures stocks with low trading activity, which may have higher potential for price appreciation[31] - Factor Name: Free Float Ratio Factor Construction Idea: This factor ranks stocks based on the proportion of free-floating shares[31] Construction Process: $ Free_Float_Ratio = \frac{\text{Free-floating Shares}}{\text{Total Shares Outstanding}} $ The factor is calculated weekly and ranks stocks based on their free float ratio values[31] Evaluation: The factor identifies stocks with higher market accessibility and liquidity[31] - Factor Name: Profitability Factor Construction Idea: This factor ranks stocks based on their profitability metrics[31] Construction Process: $ Profitability = \frac{\text{Net Income}}{\text{Total Revenue}} $ The factor is calculated weekly and ranks stocks based on their profitability values[31] Evaluation: The factor effectively identifies companies with strong financial performance[31] Factor Backtesting Results - PB Inverse Factor: Weekly rank IC value is 0.214, historical average is 0.034[31] - Dividend Yield Factor: Weekly rank IC value is 0.103, historical average is 0.022[31] - Non-liquidity Factor: Weekly rank IC value is 0.07, historical average is 0.04[31] - Free Float Ratio Factor: Weekly rank IC value is 0.054, historical average is -0.012[31] - Profitability Factor: Weekly rank IC value is 0.049, historical average is 0.022[31] Composite Strategy and Construction Methods - Strategy Name: Small Cap Low Volatility 50 Strategy Construction Idea: Select 50 stocks with small market capitalization and low volatility from the micro-cap stock universe[8][17] Construction Process: - Filter stocks based on market capitalization and volatility criteria - Select the top 50 stocks meeting the criteria - Rebalance the portfolio bi-weekly[8][17] Evaluation: The strategy effectively captures the performance of small-cap stocks with stable returns[8][17] Strategy Backtesting Results - Small Cap Low Volatility 50 Strategy: - 2024 annual return: 7.07%, excess return: -2.93%[8][17] - 2025 YTD return: 56.99%, weekly excess return: 0.62%[8][17]