GUOTAI HAITONG SECURITIES·2025-12-23 05:11Quantitative Models and Construction Methods 1. Model Name: Large Order Transaction Amount Ratio - Model Construction Idea: This model tracks the buying behavior of large funds by calculating the proportion of large order transaction amounts to the total daily transaction amount[7] - Model Construction Process: 1. Use tick-by-tick transaction data to identify buy and sell orders based on bid and ask sequence numbers 2. Filter transactions by order size to identify large orders 3. Calculate the ratio 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}} $ - Model Evaluation: This indicator effectively captures the buying behavior of large funds[7] 2. Model Name: Net Active Buy Amount Ratio - Model Construction Idea: This model measures the active buying behavior of investors by calculating the net active buy amount as a proportion of the total daily transaction amount[7] - Model 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 flag 2. Calculate the net active buy amount by subtracting the active sell amount from the active buy amount 3. Compute the ratio 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}} $ - Model Evaluation: This indicator effectively captures the active buying behavior of investors[7] --- Model Backtesting Results 1. Large Order Transaction Amount Ratio - Top 10 Stocks by 5-Day Average: - East Securities (601198.SH): 88.1%, 99.6% time-series percentile[9] - Shanghai Kaibao (300039.SZ): 86.3%, 100.0% time-series percentile[9] - Sanxiang Impression (000863.SZ): 86.0%, 99.6% time-series percentile[9] - Chongqing Steel (601005.SH): 86.0%, 78.7% time-series percentile[9] - Jinzhengda (002470.SZ): 85.7%, 89.8% time-series percentile[9] - Wanlong Optoelectronics (300710.SZ): 85.6%, 99.6% time-series percentile[9] - Yasheng Group (600108.SH): 85.5%, 84.4% time-series percentile[9] - Sinochem International (600500.SH): 85.5%, 90.4% time-series percentile[9] - Chongqing Water (601158.SH): 85.2%, 96.7% time-series percentile[9] 2. Net Active Buy Amount Ratio - Top 10 Stocks by 5-Day Average: - Jiuhua Tourism (603199.SH): 26.2%, 100.0% time-series percentile[10] - Bailong Oriental (601339.SH): 22.9%, 100.0% time-series percentile[10] - Zijin Bank (601860.SH): 20.2%, 100.0% time-series percentile[10] - Bailong Chuangyuan (605016.SH): 19.5%, 100.0% time-series percentile[10] - Hengshun Vinegar (600305.SH): 17.8%, 100.0% time-series percentile[10] - Qingfangcheng (600790.SH): 17.7%, 99.6% time-series percentile[10] - Shandong Steel (600022.SH): 17.7%, 99.6% time-series percentile[10] - Shengda Forestry (002259.SZ): 17.5%, 100.0% time-series percentile[10] - Taoli Bread (603866.SH): 17.2%, 100.0% time-series percentile[10] - Jiangsu Sopo (600746.SH): 16.8%, 100.0% time-series percentile[10] 3. Broad-Based Indices - 5-Day Average Results: - Shanghai Composite Index: Large Order Ratio 73.7% (82.0% percentile), Net Active Buy Ratio 2.2% (3.7% percentile)[12] - SSE 50: Large Order Ratio 71.7% (58.2% percentile), Net Active Buy Ratio 5.8% (92.6% percentile)[12] - CSI 300: Large Order Ratio 73.0% (41.0% percentile), Net Active Buy Ratio 2.9% (20.9% percentile)[12] - CSI 500: Large Order Ratio 73.8% (86.9% percentile), Net Active Buy Ratio 1.5% (3.3% percentile)[12] - ChiNext Index: Large Order Ratio 70.5% (6.1% percentile), Net Active Buy Ratio 0.1% (14.8% percentile)[12] 4. Industry-Level Analysis - Top Industries by 5-Day Average: - Steel: Large Order Ratio 79.0% (79.1% percentile), Net Active Buy Ratio 12.7% (0.8% percentile)[13] - Agriculture, Forestry, Animal Husbandry, and Fishery: Large Order Ratio 77.1% (87.7% percentile), Net Active Buy Ratio 10.8% (3.3% percentile)[13] - Food and Beverage: Large Order Ratio 71.5% (95.5% percentile), Net Active Buy Ratio 10.1% (32.8% percentile)[13] - Real Estate: Large Order Ratio 78.7% (70.9% percentile), Net Active Buy Ratio 8.8% (9.8% percentile)[13] - Consumer Services: Large Order Ratio 75.8% (32.4% percentile), Net Active Buy Ratio 8.9% (13.9% percentile)[13] 5. ETF Analysis - Top 10 ETFs by Large Order Ratio: - Haifutong Shanghai Urban Investment Bond ETF (511220.SH): 93.4%, 63.5% percentile[15] - Fortune Military Industry ETF (512710.SH): 92.1%, 100.0% percentile[15] - Guotai CSI A500 ETF (159338.SZ): 91.5%, 19.7% percentile[15] - Guotai 10-Year Treasury ETF (511260.SH): 91.5%, 91.8% percentile[15] - Penghua National Defense ETF (512670.SH): 90.7%, 99.6% percentile[15] - Top 10 ETFs by Net Active Buy Ratio: - Huaxia Food and Beverage ETF (515170.SH): 18.2%, 99.6% percentile[16] - Yinhua 5G Communication ETF (159994.SZ): 16.7%, 100.0% percentile[16] - E Fund CSI 300 Non-Bank ETF (512070.SH): 16.0%, 95.9% percentile[16] - Huatai-PineBridge Dividend Low Volatility ETF (512890.SH): 15.7%, 94.3% percentile[16] - Fortune Agriculture ETF (159825.SZ): 15.2%, 96.7% percentile[16]