金工定期报告20251129：“日与夜的殊途同归”新动量因子绩效月报-20251129

• The "Day and Night Convergence" new momentum factor is constructed by integrating intraday and overnight price-volume relationships, aiming to improve the stability and effectiveness of traditional momentum factors in the A-share market[6][7] - The construction process involves splitting trading sessions into day and night periods, analyzing the price-volume dynamics separately for each period, and then synthesizing these insights into a new momentum factor[7] - The formula and detailed steps for constructing the factor are not explicitly provided in the report, but the methodology emphasizes the distinct characteristics and logic embedded in intraday and overnight trading behaviors[7] - The evaluation of the factor highlights its superior performance compared to traditional momentum factors, with significant improvements in stability and signal strength[6][7] - Backtesting results for the "Day and Night Convergence" factor (2014/02-2025/11) show an annualized return of 18.04%, annualized volatility of 8.68%, an IR of 2.08, a monthly win rate of 78.17%, and a maximum drawdown of 9.07%[1][7][13]