GUOTAI HAITONG SECURITIES·2026-03-10 02:31Quantitative Factors and Construction Methods 1. Factor Name: Large Buy Order Transaction Amount Ratio - Construction Idea: This factor captures the buying behavior of large capital by measuring the proportion of large buy orders in the total transaction amount for a given day[7] - Construction Process: - Utilize tick-by-tick transaction data to identify buy and sell orders based on bid and ask sequence numbers - Filter transactions by order size to isolate large orders - Calculate the proportion of large buy order transaction amounts relative to the total transaction amount for the day - Formula: $ \text{Large Buy Order Transaction Amount Ratio} = \frac{\text{Large Buy Order Amount}}{\text{Total Transaction Amount}} $ where "Large Buy Order Amount" represents the sum of transaction amounts for large buy orders, and "Total Transaction Amount" is the aggregate transaction amount for the day[7] - Evaluation: This factor effectively reflects the behavior of large-scale investors and their influence on market dynamics[7] 2. Factor Name: Net Active Buy Transaction Amount Ratio - Construction Idea: This factor measures the active buying behavior of investors by calculating the net active buy transaction amount as a proportion of the total transaction amount for a given day[7] - Construction Process: - Use tick-by-tick transaction data to classify each transaction as either an active buy or an active sell based on the buy/sell indicator - Compute the net active buy transaction amount by subtracting the active sell amount from the active buy amount - Calculate the proportion of the net active buy transaction amount relative to the total transaction amount - Formula: $ \text{Net Active Buy Transaction Amount Ratio} = \frac{\text{Active Buy Amount} - \text{Active Sell Amount}}{\text{Total Transaction Amount}} $ where "Active Buy Amount" and "Active Sell Amount" represent the transaction amounts for active buy and sell orders, respectively, and "Total Transaction Amount" is the aggregate transaction amount for the day[7] - Evaluation: This factor provides insights into the level of active buying interest in the market, which can be indicative of investor sentiment[7] --- Factor Backtesting Results 1. Large Buy Order Transaction Amount Ratio - Top 10 Stocks by 5-Day Average: - Highest value: 89.4% (Zhouji Oil & Gas, 600759.SH)[9] - Lowest value in the top 10: 85.0% (Wentou Holdings, 600715.SH)[9] - Time-series percentile range: 81.1% to 100.0%[9] 2. Net Active Buy Transaction Amount Ratio - Top 10 Stocks by 5-Day Average: - Highest value: 14.2% (China Construction Bank, 601939.SH)[10] - Lowest value in the top 10: 11.5% (Zhende Medical, 603301.SH)[10] - Time-series percentile range: 93.8% to 100.0%[10] 3. Broad Market Indices - Large Buy Order Transaction Amount Ratio (5-Day Average): - Highest: 73.7% (CSI 300 Index)[12] - Lowest: 70.4% (ChiNext Index)[12] - Net Active Buy Transaction Amount Ratio (5-Day Average): - Highest: 2.0% (CSI 500 Index)[12] - Lowest: -0.4% (SSE 50 Index)[12] 4. Industry-Level Analysis - Large Buy Order Transaction Amount Ratio (5-Day Average): - Highest: 79.2% (Non-Banking Financials)[13] - Lowest: 69.3% (Telecommunications)[13] - Net Active Buy Transaction Amount Ratio (5-Day Average): - Highest: 12.8% (Non-Banking Financials)[13] - Lowest: -5.2% (Oil & Petrochemicals)[13] 5. ETFs - Large Buy Order Transaction Amount Ratio (5-Day Average): - Highest: 94.3% (Huatai-PineBridge CSI A500 ETF, 563360.SH)[15] - Lowest in the top 10: 89.6% (Fuguo CSI Tourism Theme ETF, 159766.SZ)[15] - Net Active Buy Transaction Amount Ratio (5-Day Average): - Highest: 33.1% (HFT SSE Urban Investment Bond ETF, 511220.SH)[16] - Lowest in the top 10: 9.8% (Harvest CSI Rare Earth Industry ETF, 516150.SH)[16]