Quantitative Models and Construction - Model Name: DecompGRU Model Construction Idea: The model improves information interaction between time-series and cross-sectional data by introducing two simple de-mean modules on the GRU baseline model[18] Model Construction Process: 1. The DecompGRU model architecture is based on GRU as the baseline 2. Two de-mean modules are added to enhance the interaction between time-series and cross-sectional data 3. The model is trained using IC and weighted MSE loss functions[18] Model Evaluation: The model demonstrates improved interaction between time-series and cross-sectional data, enhancing prediction accuracy[18] Model Backtesting Results - DecompGRU TOP200 Portfolio: - Cumulative absolute return: 41.11% - Excess return relative to WIND All A equal-weight index: 13.98% - Maximum drawdown: 10.08% - Weekly win rate: 64.52% - Monthly win rate: 100% - October absolute return: 1.78%, excess return: -0.07%[11] - ETF Rotation Portfolio: - Cumulative absolute return: 19.06% - Excess return relative to benchmark: -2.00% - Maximum drawdown: 7.82% - Weekly win rate: 62.50% - Monthly win rate: 57.14% - October absolute return: -2.04%, excess return: -1.18%[14][15] Quantitative Factors and Construction - Factor Name: Sentiment Heat Factor Factor Construction Idea: The factor aggregates stock-level sentiment heat metrics (e.g., browsing, self-selection, and clicks) to represent broader market sentiment[19] Factor Construction Process: 1. Individual stock sentiment heat is calculated as the sum of browsing, self-selection, and click counts 2. The sentiment heat is normalized by dividing by the total market sentiment on the same day and multiplying by 10,000 3. Aggregated sentiment heat is used as a proxy for market sentiment at the index, industry, and concept levels[19] Factor Evaluation: The factor effectively captures market sentiment and its impact on pricing errors[19] Factor Backtesting Results - Broad-based Index Sentiment Heat Rotation Strategy: - Annualized return since 2017: 8.74% - Maximum drawdown: 23.5% - 2025 portfolio return: 38.5% - Benchmark return: 32.9%[28] - Concept Sentiment Heat BOTTOM Portfolio: - Annualized return: 15.71% - Maximum drawdown: 28.89% - 2025 portfolio return: 42.1%[41][44]