SCS(SH:601555) Soochow Securities·2025-11-03 05:04Quantitative Models and Construction Methods 1. Model Name: Style Rotation Model - Model Construction Idea: The model is built from basic style factors such as valuation, market capitalization, volatility, and momentum, gradually constructing a style timing and scoring system[4][9] - Model Construction Process: 1. Construct 640 micro features based on 80 basic micro indicators[9] 2. Use common indices as style stock pools to replace the absolute proportion division of style factors, constructing new style returns as labels[4][9] 3. Use a random forest model for style timing and obtain the current score for each style[4][9] 4. Integrate the timing results and scoring results to construct a monthly frequency style rotation model[4][9] - Model Evaluation: The model effectively avoids overfitting risks through rolling training of the random forest model and constructs a comprehensive framework from style timing to style scoring and from style scoring to actual investment[9] Model Backtesting Results 1. Style Rotation Model: - Annualized Return: 16.18%[10][11] - Volatility: 20.28%[10][11] - Information Ratio (IR): 0.80[10][11] - Win Rate: 59.43%[10][11] - Maximum Drawdown: 25.20%[11] 2. Market Benchmark (Hedged): - Annualized Return: 10.36%[10][11] - Volatility: 10.85%[10][11] - Information Ratio (IR): 0.95[10][11] - Win Rate: 54.72%[10][11] - Maximum Drawdown: 8.53%[11]