微盘股指数周报：微盘股快速反弹，至此今年月线全部收红-20251201

Quantitative Models and Construction Methods - Model Name: Diffusion Index Model Construction Idea: The model monitors the critical points of future diffusion index changes to predict market trends[38][39] Construction Process: 1. The horizontal axis represents the percentage change in stock prices from the current level, ranging from +10% to -10% 2. The vertical axis represents the length of the retrospective or future window period, ranging from 20 days to 10 days 3. For example, at a horizontal axis value of 0.95 and a vertical axis value of 15 days, the diffusion index value is 0.07, indicating that if all stocks in the micro-cap index drop by 5% after 5 days, the diffusion index value will be 0.07[38] Evaluation: The model is effective in identifying potential turning points in the market[39] - Model Name: First Threshold Method (Left-Side Trading) Construction Idea: This method triggers signals based on predefined threshold values[42] Construction Process: 1. On November 14, 2025, the closing value of the diffusion index reached 0.925, triggering a sell signal[42] Evaluation: Useful for early signal generation but may require further validation[42] - Model Name: Delayed Threshold Method (Right-Side Trading) Construction Idea: Signals are generated after a delay to confirm trends[44][46] Construction Process: 1. On November 17, 2025, the closing value of the diffusion index reached 0.8975, triggering a sell signal[46] Evaluation: Provides more reliable signals by avoiding premature actions[46] - Model Name: Dual Moving Average Method (Adaptive Trading) Construction Idea: Uses moving averages to adapt to market changes[47] Construction Process: 1. On November 25, 2025, the model issued a sell signal based on the dual moving average strategy[47] Evaluation: Effective in capturing adaptive trends but may lag in volatile markets[47] Model Backtesting Results - Diffusion Index Model: Current value is 0.49, indicating a medium level with potential high volatility in the coming week[38][39] - First Threshold Method: Triggered sell signal at 0.925 on November 14, 2025[42] - Delayed Threshold Method: Triggered sell signal at 0.8975 on November 17, 2025[46] - Dual Moving Average Method: Triggered sell signal on November 25, 2025[47] Quantitative Factors and Construction Methods - Factor Name: 10-Day Total Market Cap Turnover Rate Construction Idea: Measures liquidity by turnover rate over a 10-day period[5][16][32] Construction Process: 1. Calculate the turnover rate using the formula: $ TurnoverRate = \frac{Volume}{MarketCap} $ 2. Aggregate data over a 10-day window[5][16][32] Evaluation: High rank IC indicates strong predictive power[5][16][32] - Factor Name: 10-Day Free Float Market Cap Turnover Rate Construction Idea: Similar to the above but focuses on free float market cap[5][16][32] Construction Process: 1. Use the same formula as above but replace market cap with free float market cap[5][16][32] Evaluation: High rank IC suggests good performance in liquidity prediction[5][16][32] - Factor Name: Beta Factor Construction Idea: Measures stock sensitivity to market movements[5][16][32] Construction Process: 1. Calculate beta using regression analysis: $ Beta = \frac{Cov(R_i, R_m)}{Var(R_m)} $ where $ R_i $ is the return of the stock and $ R_m $ is the return of the market[5][16][32] Evaluation: Positive rank IC indicates effective market sensitivity measurement[5][16][32] - Factor Name: Liquidity Factor Construction Idea: Assesses stock liquidity based on trading volume and price impact[5][16][32] Construction Process: 1. Calculate liquidity using the formula: $ Liquidity = \frac{Volume}{PriceImpact} $ 2. Normalize the data for comparison[5][16][32] Evaluation: High rank IC reflects strong predictive ability for liquidity[5][16][32] - Factor Name: Standardized Expected Earnings Factor Construction Idea: Evaluates expected earnings adjusted for market conditions[5][16][32] Construction Process: 1. Standardize expected earnings using z-scores: $ Z = \frac{Earnings - Mean(Earnings)}{StdDev(Earnings)} $ 2. Use standardized values for ranking[5][16][32] Evaluation: Positive rank IC indicates reliable earnings prediction[5][16][32] Factor Backtesting Results - 10-Day Total Market Cap Turnover Rate: Rank IC 0.17, historical average -0.058[5][16][32] - 10-Day Free Float Market Cap Turnover Rate: Rank IC 0.159, historical average -0.06[5][16][32] - Beta Factor: Rank IC 0.152, historical average 0.003[5][16][32] - Liquidity Factor: Rank IC 0.151, historical average -0.04[5][16][32] - Standardized Expected Earnings Factor: Rank IC 0.133, historical average 0.013[5][16][32] Composite Strategy Performance - Strategy Name: Small Cap Low Volatility 50 Strategy Construction Idea: Selects 50 stocks with small market cap and low volatility from micro-cap index components[8][16][34] Construction Process: 1. Filter stocks based on market cap and volatility criteria 2. Rebalance portfolio bi-weekly[8][16][34] Evaluation: Demonstrates strong performance in 2025 but underperformed in 2024[8][16][34] Strategy Backtesting Results - Small Cap Low Volatility 50 Strategy: - 2024 Return: 7.07%, Excess Return: -2.93%[8][16][34] - 2025 YTD Return: 74.15%, Weekly Excess Return: 0.22%[8][16][34]