GUOTAI HAITONG SECURITIES·2025-12-16 01:17Quantitative Factors and Construction Methods - Factor Name: Large Order Transaction Amount Ratio Construction Idea: This factor captures the buying behavior of large funds by analyzing the proportion of large order transaction amounts relative to the total daily transaction amount[7] Construction Process: 1. Use tick-by-tick transaction data to identify buy and sell orders based on the sequence numbers of bids and asks 2. Filter transactions by order size to identify large orders 3. Calculate the proportion of large buy order transaction amounts to the total daily transaction amount Formula: $ \text{Large Order Transaction Amount Ratio} = \frac{\text{Large Buy Order Transaction Amount}}{\text{Total Daily Transaction Amount}} $ Evaluation: This factor effectively reflects the buying behavior of large funds and provides insights into market dynamics[7] - Factor Name: Net Active Buy Amount Ratio Construction Idea: This factor measures the active buying behavior of investors by analyzing the net active buy amount as a proportion of the total daily transaction amount[7] Construction Process: 1. Use tick-by-tick transaction data to classify each transaction as either active buy or active sell based on the buy/sell indicator 2. Calculate the net active buy amount by subtracting the active sell amount from the active buy amount 3. Compute the proportion of the net active buy amount to the total daily transaction amount Formula: $ \text{Net Active Buy Amount Ratio} = \frac{\text{Active Buy Amount} - \text{Active Sell Amount}}{\text{Total Daily Transaction Amount}} $ Evaluation: This factor provides a clear representation of investors' active buying behavior and is useful for tracking market sentiment[7] --- Factor Backtesting Results - Large Order Transaction Amount Ratio: - Top 5 stocks with the highest 5-day average values: 1. Zaisen Technology (603601.SH): 91.4%, time-series percentile: 99.6%[9] 2. Annie Shares (002235.SZ): 91.2%, time-series percentile: 98.4%[9] 3. Kangxin New Materials (600076.SH): 87.9%, time-series percentile: 99.6%[9] 4. Guangtian Group (002482.SZ): 87.6%, time-series percentile: 100.0%[9] 5. Zhongtai Chemical (002092.SZ): 87.5%, time-series percentile: 100.0%[9] - Net Active Buy Amount Ratio: - Top 5 stocks with the highest 5-day average values: 1. Hot Scene Biology (688068.SH): 15.9%, time-series percentile: 100.0%[10] 2. Lanxiao Technology (300487.SZ): 14.5%, time-series percentile: 100.0%[10] 3. Yilian Technology (301631.SZ): 14.0%, time-series percentile: 100.0%[10] 4. Xiamen Bank (601187.SH): 14.0%, time-series percentile: 99.2%[10] 5. Huamao Technology (603306.SH): 13.1%, time-series percentile: 99.6%[10] --- Additional Factor Testing Results - Large Order Transaction Amount Ratio for Broad-Based Indices: - Shanghai Composite Index: 5-day average: 73.0%, percentile: 59.0%[12] - CSI 300: 5-day average: 72.0%, percentile: 33.6%[12] - ChiNext Index: 5-day average: 71.4%, percentile: 14.8%[12] - Net Active Buy Amount Ratio for Broad-Based Indices: - Shanghai Composite Index: 5-day average: 0.8%, percentile: 7.8%[12] - CSI 300: 5-day average: 2.6%, percentile: 4.9%[12] - ChiNext Index: 5-day average: 3.5%, percentile: 2.5%[12] - Large Order Transaction Amount Ratio for Industries: - Non-Bank Financials: 5-day average: 78.5%, percentile: 95.9%[13] - Steel: 5-day average: 78.2%, percentile: 43.9%[13] - Electric Power and Utilities: 5-day average: 77.6%, percentile: 13.9%[13] - Net Active Buy Amount Ratio for Industries: - Non-Bank Financials: 5-day average: 6.3%, percentile: 0.8%[13] - Electric Power and Utilities: 5-day average: 1.8%, percentile: 1.6%[13] - Steel: 5-day average: 1.4%, percentile: 9.4%[13] - Large Order Transaction Amount Ratio for ETFs: - Top ETF: Guotai Zhongzheng A500 ETF (159338.SZ): 91.5%, percentile: 20.1%[15] - Net Active Buy Amount Ratio for ETFs: - Top ETF: Guotai SSE 10-Year Treasury Bond ETF (511260.SH): 25.9%, percentile: 87.7%[16]