海量Level2数据因子挖掘系列（六）：用逐笔订单数据改进分钟频因子

Quantitative Factors and Construction Factor Name: KeyPeriod_ret_zero - Construction Idea: This factor focuses on the return characteristics during horizontal trading periods within key intraday timeframes, leveraging Level 2 tick data to refine minute-frequency factors[7][25][41] - Construction Process: - Identify horizontal trading periods based on minimal price fluctuations - Calculate returns during these periods using tick-level data - Aggregate and smooth the data over different time horizons (e.g., 5-day, 20-day)[25][27] - Evaluation: Demonstrates strong predictive power for stock selection, with high IC stability and win rates[7][25] Factor Name: KeyPeriod_ret_low5pct - Construction Idea: This factor captures return characteristics during significant downward price movements within key intraday timeframes[7][25][64] - Construction Process: - Identify periods where returns fall within the bottom 5% of all intraday returns - Calculate and aggregate these returns over different time horizons - Apply smoothing techniques to enhance signal stability[25][27] - Evaluation: Exhibits robust performance in identifying underperforming stocks, with high IC values and win rates[7][25] Factor Name: KeyPeriod_price_low5pct - Construction Idea: This factor focuses on price levels during periods of low prices (bottom 5%) within key intraday timeframes[7][25][88] - Construction Process: - Identify periods where prices fall within the bottom 5% of all intraday prices - Aggregate and smooth the data over different time horizons - Incorporate buy/sell distinctions for further refinement[25][32] - Evaluation: Effective in capturing undervalued stocks, with strong IC performance and high win rates[7][25] Factor Name: KeyPeriod_amount_top30pct - Construction Idea: This factor targets periods of high transaction amounts (top 30%) within key intraday timeframes[7][25][110] - Construction Process: - Identify periods where transaction amounts are in the top 30% of all intraday amounts - Aggregate and smooth the data over different time horizons - Differentiate between buy and sell transactions for enhanced granularity[25][35] - Evaluation: Demonstrates strong predictive power for high-liquidity stocks, with high IC values and win rates[7][25] Factor Name: KeyPeriod_amount_low50pct - Construction Idea: This factor captures periods of low transaction amounts (bottom 50%) within key intraday timeframes[7][25][133] - Construction Process: - Identify periods where transaction amounts are in the bottom 50% of all intraday amounts - Aggregate and smooth the data over different time horizons - Incorporate buy/sell distinctions for further refinement[25][35] - Evaluation: Useful for identifying low-liquidity stocks, though performance is less consistent compared to other factors[7][25] Factor Name: KeyPeriod_sync_low50pct - Construction Idea: This factor measures volume-price divergence during periods of low synchronization (bottom 50%) within key intraday timeframes[7][25][155] - Construction Process: - Identify periods where volume and price movements are least synchronized - Aggregate and smooth the data over different time horizons - Differentiate between buy and sell transactions for enhanced granularity[25][38] - Evaluation: Effective in capturing unique market dynamics, with strong IC performance and high win rates[7][25] --- Backtesting Results KeyPeriod_ret_zero - IC Mean: -5.36% (20-day horizon)[27] - Win Rate: 85.1% (20-day horizon)[27] - IR: 1.34 (2020-2025)[55] KeyPeriod_ret_low5pct - IC Mean: 5.47% (20-day horizon)[27] - Win Rate: 84.1% (20-day horizon)[27] - IR: 1.41 (2020-2025)[77] KeyPeriod_price_low5pct - IC Mean: 5.59% (20-day horizon)[32] - Win Rate: 85.3% (20-day horizon)[32] - IR: 2.22 (2020-2025)[97] KeyPeriod_amount_top30pct - IC Mean: 11.23% (20-day horizon)[35] - Win Rate: 84.8% (20-day horizon)[35] - IR: 1.37 (2020-2025)[123] KeyPeriod_amount_low50pct - IC Mean: -10.50% (20-day horizon)[35] - Win Rate: 75.0% (20-day horizon)[35] - IR: 0.77 (2020-2025)[145] KeyPeriod_sync_low50pct - IC Mean: 6.00% (20-day horizon)[38] - Win Rate: 81.5% (20-day horizon)[38] - IR: 1.44 (2020-2025)[172]