微盘股指数周报：微盘股高位回调，后市谨慎乐观-20251125

Quantitative Models and Construction Diffusion Index Model - Model Name: Diffusion Index Model [5][17] - Construction Idea: The model monitors the market's diffusion index to identify critical turning points for trading signals [5][17] - Construction Process: - The diffusion index is calculated based on the relative price movements of constituent stocks within the micro-cap index over a specific time window [37] - The model uses three methods: - First Threshold Method (Left-Side Trading): Triggered when the diffusion index reaches a predefined risk threshold. For example, on November 14, 2025, the index value of 0.925 triggered a sell signal [41] - Delayed Threshold Method (Right-Side Trading): Provides a sell signal when the index value drops below a delayed threshold, such as 0.8975 on November 17, 2025 [46] - Dual Moving Average Method (Adaptive Trading): Generates buy signals based on the crossover of two moving averages, such as the buy signal on October 13, 2025 [47] - Evaluation: The model effectively identifies market turning points and provides actionable trading signals [5][17] Small-Cap Low-Volatility 50 Strategy - Model Name: Small-Cap Low-Volatility 50 Strategy [7][16][33] - Construction Idea: Selects 50 stocks with small market capitalization and low volatility from the micro-cap index [7][33] - Construction Process: - Stocks are screened based on market capitalization and volatility metrics [7][33] - Portfolio is rebalanced bi-weekly [7][33] - Transaction costs are set at 0.3% for both buying and selling [7] - Evaluation: The strategy demonstrates strong performance in specific market conditions but underperforms during broader market downturns [7][33] --- Model Backtesting Results Diffusion Index Model - First Threshold Method: Triggered sell signal at 0.925 on November 14, 2025 [41] - Delayed Threshold Method: Triggered sell signal at 0.8975 on November 17, 2025 [46] - Dual Moving Average Method: Generated buy signal on October 13, 2025 [47] Small-Cap Low-Volatility 50 Strategy - 2024 Performance: Annual return of 7.07%, excess return of -2.93% [7][33] - 2025 YTD Performance: Annual return of 63.78%, weekly excess return of -2.23% [7][33] --- Quantitative Factors and Construction Weekly Factor Performance - Top 5 Factors: - Leverage Factor: Weekly rank IC of 0.182, historical average of -0.005 [4] - Free Float Ratio Factor: Weekly rank IC of 0.138, historical average of -0.012 [4] - Turnover Factor: Weekly rank IC of 0.116, historical average of -0.081 [4] - Liquidity Factor: Weekly rank IC of 0.075, historical average of -0.041 [4] - Dividend Yield Factor: Weekly rank IC of 0.064, historical average of 0.022 [4] - Bottom 5 Factors: - Unadjusted Stock Price Factor: Weekly rank IC of -0.311, historical average of -0.017 [4] - Beta Factor: Weekly rank IC of -0.3, historical average of 0.003 [4] - Non-Liquidity Factor: Weekly rank IC of -0.161, historical average of 0.039 [4] - Inverse PE_TTM Factor: Weekly rank IC of -0.138, historical average of 0.016 [4] - Single-Quarter ROE Factor: Weekly rank IC of -0.089, historical average of 0.021 [4] Additional Weekly Factor Performance - Top 5 Factors: - Logarithmic Market Cap Factor: Weekly rank IC of 0.225, historical average of -0.034 [16] - Nonlinear Market Cap Factor: Weekly rank IC of 0.225, historical average of -0.034 [16] - Beta Factor: Weekly rank IC of 0.083, historical average of 0.003 [16] - Unadjusted Stock Price Factor: Weekly rank IC of 0.065, historical average of -0.017 [16] - Past Year Volatility Factor: Weekly rank IC of 0.06, historical average of -0.033 [16] - Bottom 5 Factors: - Past 10-Day Return Factor: Weekly rank IC of -0.226, historical average of -0.061 [16] - Momentum Factor: Weekly rank IC of -0.196, historical average of -0.006 [16] - Leverage Factor: Weekly rank IC of -0.114, historical average of -0.005 [16] - Single-Quarter Net Profit Growth Factor: Weekly rank IC of -0.11, historical average of 0.019 [16] - Standardized Expected Earnings Factor: Weekly rank IC of -0.104, historical average of 0.013 [16] --- Factor Backtesting Results Weekly Factor Performance - Leverage Factor: Weekly rank IC of 0.182 [4] - Free Float Ratio Factor: Weekly rank IC of 0.138 [4] - Turnover Factor: Weekly rank IC of 0.116 [4] - Liquidity Factor: Weekly rank IC of 0.075 [4] - Dividend Yield Factor: Weekly rank IC of 0.064 [4] - Unadjusted Stock Price Factor: Weekly rank IC of -0.311 [4] - Beta Factor: Weekly rank IC of -0.3 [4] - Non-Liquidity Factor: Weekly rank IC of -0.161 [4] - Inverse PE_TTM Factor: Weekly rank IC of -0.138 [4] - Single-Quarter ROE Factor: Weekly rank IC of -0.089 [4] Additional Weekly Factor Performance - Logarithmic Market Cap Factor: Weekly rank IC of 0.225 [16] - Nonlinear Market Cap Factor: Weekly rank IC of 0.225 [16] - Beta Factor: Weekly rank IC of 0.083 [16] - Unadjusted Stock Price Factor: Weekly rank IC of 0.065 [16] - Past Year Volatility Factor: Weekly rank IC of 0.06 [16] - Past 10-Day Return Factor: Weekly rank IC of -0.226 [16] - Momentum Factor: Weekly rank IC of -0.196 [16] - Leverage Factor: Weekly rank IC of -0.114 [16] - Single-Quarter Net Profit Growth Factor: Weekly rank IC of -0.11 [16] - Standardized Expected Earnings Factor: Weekly rank IC of -0.104 [16]