高频选股因子周报（20260316-20260320）：高频因子多数维持正收益，多粒度因子持续稳健表现。AI增强组合超额走势出现分化。

Quantitative Models and Construction Methods 1. Model Name: Multi-Granularity Model (5-Day Label) - Model Construction Idea: This model leverages deep learning techniques to capture multi-granularity features of stock data over a 5-day horizon[66] - Model Construction Process: The factor is trained using a bidirectional AGRU (Attention Gated Recurrent Unit) model, which processes sequential data to extract temporal dependencies and patterns[66] - Model Evaluation: The model demonstrates stable performance across different time periods, indicating its robustness in capturing market dynamics[66] 2. Model Name: Multi-Granularity Model (10-Day Label) - Model Construction Idea: Similar to the 5-day label model, this model extends the horizon to 10 days to capture longer-term patterns in stock data[70] - Model Construction Process: The factor is also trained using a bidirectional AGRU model, with adjustments to accommodate the extended time horizon[70] - Model Evaluation: The model shows consistent performance, with slightly different characteristics compared to the 5-day label model, making it suitable for longer-term strategies[70] 3. Model Name: AI-Enhanced Index Strategies - Model Construction Idea: Combines multiple deep learning factors (e.g., 5-day and 10-day multi-granularity models) to construct AI-enhanced index strategies with risk constraints[72] - Model Construction Process: - The combined factor is a weighted sum: 0.5 * Multi-Granularity Model (5-Day Label) + 0.5 * Multi-Granularity Model (10-Day Label)[72] - Optimization objective: Maximize expected returns, represented by the function: $max \sum \mu_{i} w_{i}$ where $w_{i}$ is the weight of stock $i$, and $\mu_{i}$ is the expected excess return of stock $i$[75] - Risk control constraints include limits on individual stock weights, industry weights, market capitalization, and turnover rates[73][75] - Backtesting assumes next-day average price execution and deducts a 0.3% transaction cost[76] - Model Evaluation: The model effectively balances return maximization and risk control, with different configurations (e.g., wide vs. strict constraints) tailored to specific index benchmarks[72][73] --- Model Backtesting Results 1. Multi-Granularity Model (5-Day Label) - IC: Historical: 0.079; 2026: 0.040[14] - e^(-RankMAE): Historical: 0.343; 2026: 0.334[14] - Long-Short Return: March: 1.68%; 2026 YTD: 9.31%[14] - Long-Only Excess Return: March: 1.21%; 2026 YTD: 4.95%[14] - Monthly Win Rate: 9/10[14] 2. Multi-Granularity Model (10-Day Label) - IC: Historical: 0.072; 2026: 0.040[14] - e^(-RankMAE): Historical: 0.342; 2026: 0.336[14] - Long-Short Return: March: 2.35%; 2026 YTD: 8.19%[14] - Long-Only Excess Return: March: 1.48%; 2026 YTD: 4.72%[14] - Monthly Win Rate: 8/10[14] 3. AI-Enhanced Index Strategies - AI Air Quality Index Strategy: - Weekly Rebalancing: Excess Return: -0.12% (last week), 0.65% (March), 4.17% (2026 YTD); Absolute Return: -5.47% (last week), -7.86% (March), 6.70% (2026 YTD)[15][81] - Daily Rebalancing: Excess Return: -0.78% (last week), -0.08% (March), 4.41% (2026 YTD); Absolute Return: -6.12% (last week), -8.59% (March), 6.94% (2026 YTD)[15][81] - CSI 500 AI Enhanced (Wide Constraint): - Weekly Rebalancing: Excess Return: 1.43% (last week), 5.62% (March), 2.71% (2026 YTD); Absolute Return: -4.40% (last week), -4.76% (March), 6.66% (2026 YTD)[15][83] - Daily Rebalancing: Excess Return: 0.60% (last week), 1.79% (March), -2.71% (2026 YTD); Absolute Return: -5.23% (last week), -8.58% (March), 1.24% (2026 YTD)[15][83] - CSI 500 AI Enhanced (Strict Constraint): - Weekly Rebalancing: Excess Return: 0.35% (last week), 3.51% (March), 2.73% (2026 YTD); Absolute Return: -5.47% (last week), -6.87% (March), 6.68% (2026 YTD)[15][89] - Daily Rebalancing: Excess Return: 0.31% (last week), 2.10% (March), 1.42% (2026 YTD); Absolute Return: -5.52% (last week), -8.27% (March), 5.37% (2026 YTD)[15][89] - CSI 1000 AI Enhanced (Wide Constraint): - Weekly Rebalancing: Excess Return: 0.79% (last week), 3.52% (March), 4.19% (2026 YTD); Absolute Return: -4.46% (last week), -5.56% (March), 6.67% (2026 YTD)[15][91] - Daily Rebalancing: Excess Return: -0.20% (last week), 1.81% (March), 1.92% (2026 YTD); Absolute Return: -5.44% (last week), -7.27% (March), 4.40% (2026 YTD)[15][91] - CSI 1000 AI Enhanced (Strict Constraint): - Weekly Rebalancing: Excess Return: 0.57% (last week), 2.55% (March), 3.67% (2026 YTD); Absolute Return: -4.68% (last week), -6.53% (March), 6.15% (2026 YTD)[15][97] - Daily Rebalancing: Excess Return: 0.75% (last week), 1.87% (March), 3.72% (2026 YTD); Absolute Return: -4.49% (last week), -7.21% (March), 6.20% (2026 YTD)[15][97]