金工定期报告20251106：“日与夜的殊途同归”新动量因子绩效月报-20251106

Quantitative Models and Construction Methods - Model Name: "Day and Night Convergence" New Momentum Factor Model Construction Idea: The model is based on the price-volume relationship during intraday and overnight trading sessions. It improves traditional momentum factors by incorporating transaction volume information and separating the trading periods into day and night to explore their respective characteristics and logic[6][7] Model Construction Process: 1. The trading period is divided into intraday and overnight sessions 2. The price-volume relationship is analyzed separately for each session to identify distinct features 3. The improved intraday and overnight factors are synthesized into a new momentum factor 4. The factor is tested on the entire A-share market (excluding Beijing Stock Exchange stocks) from February 2014 to October 2025, using a 10-group long-short hedging strategy[7] Model Evaluation: The model demonstrates significant stock selection ability, outperforming traditional momentum factors in terms of stability and performance[6][7] Model Backtesting Results - "Day and Night Convergence" New Momentum Factor: - Annualized Return: 18.15% - Annualized Volatility: 8.68% - Information Ratio (IR): 2.09 - Monthly Win Rate: 78.01% - Maximum Drawdown: 9.07%[1][7][14] Quantitative Factors and Construction Methods - Factor Name: "Day and Night Convergence" New Momentum Factor Factor Construction Idea: The factor leverages the distinct characteristics of price-volume relationships during intraday and overnight trading sessions to enhance the signal strength of momentum factors[7] Factor Construction Process: 1. Separate the trading period into intraday and overnight sessions 2. Analyze the price-volume relationship for each session to identify unique features 3. Combine the improved intraday and overnight factors into a single momentum factor 4. Test the factor on the entire A-share market (excluding Beijing Stock Exchange stocks) from February 2014 to October 2025, using a 10-group long-short hedging strategy[7] Factor Evaluation: The factor significantly outperforms traditional momentum factors, with higher stability and better stock selection ability[6][7] Factor Backtesting Results - "Day and Night Convergence" New Momentum Factor: - Annualized Return: 18.15% - Annualized Volatility: 8.68% - Information Ratio (IR): 2.09 - Monthly Win Rate: 78.01% - Maximum Drawdown: 9.07%[1][7][14] - Traditional Momentum Factor: - Information Ratio (IR): 1.09 - Monthly Win Rate: 62.75% - Maximum Drawdown: 20.35%[6] October 2025 Performance - "Day and Night Convergence" New Momentum Factor: - Long Portfolio Return: 0.85% - Short Portfolio Return: -2.35% - Long-Short Hedging Return: 3.20%[1][10]