Investment Rating - The report indicates an overall strong performance in high-frequency trading factors, with various multi-granularity factors maintaining positive returns [2][3]. Core Insights - High-frequency trading factors exhibited excellent performance, with daily high-frequency skew factors showing long-short returns of 0.49% for the last week, 0.31% for February, and 4.31% for the year 2026 [9]. - The AI-enhanced portfolio has experienced continuous excess drawdown, indicating potential areas for improvement in strategy [2][3]. Summary by Sections High-Frequency Factors and Deep Learning Factors Performance - Daily high-frequency skew factor returns were 0.49% last week, 0.31% in February, and 4.31% year-to-date [11]. - Daily downside volatility factor returns were 0.23%, 1.06%, and 5.81% respectively [11]. - The opening buy intention ratio factor showed returns of 0.01%, -0.90%, and 2.97% [11]. - The opening large net buy ratio factor had returns of 0.73%, 2.26%, and 4.81% [11]. - The average single outflow amount factor showed returns of -0.56%, -1.33%, and -2.89% [11]. AI Enhanced Portfolio Performance - Weekly rebalancing of the AI-enhanced portfolio showed excess/absolute returns of -1.13%/2.25%, 1.34%/5.23%, and 3.74%/15.79% for the last week, February, and year-to-date respectively [14]. - The CSI 500 AI enhanced portfolio with wide constraints showed excess/absolute returns of -2.69%/1.63%, -1.14%/2.30%, and -3.99%/11.99% [14]. - The CSI 1000 AI enhanced portfolio with strict constraints showed excess/absolute returns of -1.03%/3.31%, 0.06%/3.76%, and 0.86%/13.57% [14]. Multi-Granularity Factor Analysis - Multi-granularity models (5-day label) showed long-short returns of 0.22%, 2.13%, and 7.62% [11]. - Multi-granularity models (10-day label) showed long-short returns of -0.37%, 1.76%, and 5.83% [11]. - The deep learning high-frequency factors demonstrated varying performance, with the improved GRU and LSTM models showing positive returns in different time frames [11][12].
高频选股因子周报（20260224- 20260227）
GUOTAI HAITONG SECURITIES·2026-03-02 04:35