微盘股指数周报：微盘股领涨市场，短期可能承压长期逻辑不改-20251110

Quantitative Models and Construction Methods - Model Name: Diffusion Index Model Construction Idea: The model monitors the future critical points of the diffusion index to predict market trends[6][38][39] Construction Process: 1. The diffusion index is calculated based on the relative price changes of constituent stocks over a specific time window 2. Horizontal axis represents future price changes (e.g., from +10% to -10%), while vertical axis represents the length of the review window (e.g., 20 days to 10 days) 3. Example: If all constituent stocks drop by 5% after 5 days, the diffusion index value is 0.69[38] 4. The model uses methods like left-side threshold, right-side threshold, and dual moving average to generate signals - Left-side threshold method triggered an opening signal on September 23, 2025, with a value of 0.0575[43] - Right-side threshold method triggered an opening signal on September 25, 2025, with a value of 0.1825[47] - Dual moving average method provided a bullish signal on October 13, 2025[48] Evaluation: The model is effective in identifying high-risk zones and generating trading signals[6][39][48] - Model Name: Small Cap Low Volatility 50 Strategy Construction Idea: Select 50 stocks with small market capitalization and low volatility from micro-cap stocks[8][34] Construction Process: 1. Stocks are selected based on market capitalization and volatility criteria 2. Portfolio is rebalanced bi-weekly 3. Transaction cost is set at 0.3% for both sides 4. Benchmark index: Wind Micro-Cap Index (8841431.WI)[8][34] Evaluation: The strategy has shown strong performance in 2025, with significant YTD returns[8][34] Model Backtesting Results - Diffusion Index Model: - Current diffusion index value: 0.82, indicating a medium-high level[38][39] - Weekly increase from 0.78 to 0.82[39] - Future prediction: If the index rises by 2% next week, it will trigger the risk threshold[39] - Small Cap Low Volatility 50 Strategy: - 2024 return: 7.07%, excess return: -2.93%[8][34] - 2025 YTD return: 77.82%, weekly excess return: 1.50%[8][34] Quantitative Factors and Construction Methods - Factor Name: Free Float Ratio Factor Construction Idea: Measure the proportion of free-floating shares in total shares[5][16][32] Construction Process: 1. Calculate the ratio of free-floating shares to total shares 2. Rank IC value for the week: 0.108; historical average: -0.012[5][16][32] Evaluation: Positive weekly IC indicates strong predictive power[5][16][32] - Factor Name: Leverage Factor Construction Idea: Assess the financial leverage of companies[5][16][32] Construction Process: 1. Calculate the ratio of total debt to equity 2. Rank IC value for the week: 0.104; historical average: -0.006[5][16][32] Evaluation: Positive weekly IC suggests effective factor performance[5][16][32] - Factor Name: 10-Day Total Market Cap Turnover Rate Factor Construction Idea: Measure the turnover rate of total market capitalization over 10 days[5][16][32] Construction Process: 1. Calculate turnover rate as trading volume divided by total market capitalization over 10 days 2. Rank IC value for the week: 0.099; historical average: -0.059[5][16][32] Evaluation: Positive weekly IC indicates good predictive ability[5][16][32] - Factor Name: 10-Day Free Float Market Cap Turnover Rate Factor Construction Idea: Measure the turnover rate of free-floating market capitalization over 10 days[5][16][32] Construction Process: 1. Calculate turnover rate as trading volume divided by free-floating market capitalization over 10 days 2. Rank IC value for the week: 0.098; historical average: -0.061[5][16][32] Evaluation: Positive weekly IC suggests strong factor performance[5][16][32] - Factor Name: Dividend Yield Factor Construction Idea: Measure the dividend yield of stocks[5][16][32] Construction Process: 1. Calculate dividend yield as annual dividend divided by stock price 2. Rank IC value for the week: 0.065; historical average: 0.022[5][16][32] Evaluation: Positive weekly IC indicates reliable factor performance[5][16][32] Factor Backtesting Results - Free Float Ratio Factor: Weekly IC: 0.108; historical average: -0.012[5][16][32] - Leverage Factor: Weekly IC: 0.104; historical average: -0.006[5][16][32] - 10-Day Total Market Cap Turnover Rate Factor: Weekly IC: 0.099; historical average: -0.059[5][16][32] - 10-Day Free Float Market Cap Turnover Rate Factor: Weekly IC: 0.098; historical average: -0.061[5][16][32] - Dividend Yield Factor: Weekly IC: 0.065; historical average: 0.022[5][16][32]