高频选股因子周报（20260302-20260306）-20260307

Quantitative Models and Construction Methods - Model Name: Multi-granularity model (5-day label) Construction Idea: The model leverages deep learning techniques to capture multi-granularity features in stock data over a 5-day horizon[70][66] Construction Process: Based on bidirectional AGRU (Attention Gated Recurrent Unit) training, the model combines historical data and predictive features to optimize stock selection[68][66] Evaluation: Demonstrates consistent positive returns across multiple testing periods[70][66] - Model Name: Multi-granularity model (10-day label) Construction Idea: Similar to the 5-day label model, but extends the horizon to 10 days for broader feature extraction[70][68] Construction Process: Utilizes bidirectional AGRU training, integrating longer-term predictive signals for enhanced stock selection[68][70] Evaluation: Provides robust performance with slightly lower returns compared to the 5-day label model[70][68] - Model Name: AI-enhanced index optimization models Construction Idea: Combines deep learning factors (multi-granularity models) with risk control constraints to optimize portfolio returns[70][71] Construction Process: 1. Objective Function: $max\sum\mu_{i}w_{i}$, where $w_i$ represents stock weights and $\mu_i$ represents expected excess returns[74][75] 2. Constraints: Includes stock-level, industry-level, market capitalization, PB, ROE, and turnover rate constraints[71][74] Evaluation: Effective in balancing risk and return, with varying performance across different constraint levels[70][71] Model Backtesting Results - Multi-granularity model (5-day label): - IC: Historical 0.079, 2026 0.046 - RankMAE: Historical 0.343, 2026 0.337 - Multi-long-short returns: 8.05% (2026), 0.43% (March)[10][13][70] - Multi-granularity model (10-day label): - IC: Historical 0.073, 2026 0.044 - RankMAE: Historical 0.342, 2026 0.340 - Multi-long-short returns: 6.25% (2026), 0.42% (March)[10][13][70] - AI-enhanced index optimization models: - Air Quality Index Model: - Weekly excess returns: 4.28% (2026), 0.55% (March) - Daily excess returns: 5.51% (2026), 0.61% (March)[79][76][70] - CSI 500 Wide Constraint Model: - Weekly excess returns: -0.93% (2026), 2.61% (March) - Daily excess returns: -4.25% (2026), 0.73% (March)[82][81][70] - CSI 500 Strict Constraint Model: - Weekly excess returns: 1.02% (2026), 2.09% (March) - Daily excess returns: 0.42% (2026), 1.29% (March)[84][83][70] - CSI 1000 Wide Constraint Model: - Weekly excess returns: 2.98% (2026), 2.43% (March) - Daily excess returns: 2.54% (2026), 2.36% (March)[88][87][70] - CSI 1000 Strict Constraint Model: - Weekly excess returns: 2.34% (2026), 1.33% (March) - Daily excess returns: 3.10% (2026), 1.25% (March)[93][91][70] Quantitative Factors and Construction Methods - Factor Name: Intraday skewness factor Construction Idea: Captures the asymmetry in intraday stock return distributions[15][17] Construction Process: Referenced from the report "Stock Selection Factor Series Research (19)"[15][17] Evaluation: Strong performance in capturing short-term market movements[15][17] - Factor Name: Downside volatility proportion factor Construction Idea: Measures the proportion of realized downside volatility in stock returns[20][22] Construction Process: Referenced from the report "Stock Selection Factor Series Research (25)"[20][22] Evaluation: Effective in identifying risk-averse stocks[20][22] - Factor Name: Opening buy intention proportion factor Construction Idea: Quantifies the proportion of buy orders during the opening period[23][27] Construction Process: Referenced from the report "Stock Selection Factor Series Research (64)"[23][27] Evaluation: Demonstrates strong predictive power for short-term returns[23][27] Factor Backtesting Results - Intraday skewness factor: - IC: Historical 0.026, 2026 0.036 - RankMAE: Historical 0.324, 2026 0.334 - Multi-long-short returns: 3.69% (2026), -0.62% (March)[10][11][15] - Downside volatility proportion factor: - IC: Historical 0.025, 2026 0.043 - RankMAE: Historical 0.324, 2026 0.333 - Multi-long-short returns: 5.65% (2026), -0.17% (March)[10][11][20] - Opening buy intention proportion factor: - IC: Historical 0.031, 2026 0.043 - RankMAE: Historical 0.322, 2026 0.326 - Multi-long-short returns: 4.27% (2026), 1.30% (March)[10][11][23]