海量Level 2数据因子挖掘系列（三）-安宁宁-量化投资专题

Quantitative Factors and Construction Process - Factor Name: Order Size and Duration Factors Construction Idea: The factors are constructed by simultaneously analyzing the "size" and "duration" dimensions of stock orders, leveraging Level 2 tick data to identify patterns in large and long-duration orders that may indicate informed trading activity[6][21][22] Construction Process: 1. Define "large orders" and "long orders" as those exceeding the mean plus N standard deviations of order size or duration, respectively, based on Gaussian distribution assumptions[22][23] 2. Combine "buy order ID" and "sell order ID" attributes to analyze both buying and selling perspectives[21][22] 3. Construct 16 base factors by combining "large/small" and "long/short" dimensions for both buy and sell orders (e.g., BB_LB_BS_LS for "large buy, long buy, large sell, long sell")[21][22] 4. Apply three standard deviation thresholds (1.0, 1.5, 2.0) and five trading time windows (full day, first 15 minutes, first 30 minutes, last 30 minutes, last 15 minutes) to create 240 factors[23][24] Evaluation: The factors effectively capture independent dimensions of order size and duration, as evidenced by low correlation coefficients (-0.19 to 0.19) between size and duration factors[16][19][22] Factor Backtesting Results - 240 Factors: Over 50 factors achieved RankIC averages above 8%, with 18 factors exceeding 10% during the 2021-2023 backtesting period[24][27][28] Selected Order Factor Portfolio Construction - Portfolio Construction: 1. Select top-K stocks based on factor values (e.g., Top-30, Top-50) 2. Buy at t+1 average price and sell at t+21 average price, with 20-day rebalancing and 0.3% transaction fees[56][98] Evaluation: The selected portfolios demonstrated strong performance across multiple market segments, achieving significant excess returns compared to benchmark indices[56][98][99] Portfolio Backtesting Results All Market Segment - RankIC average: 13.3%, win rate: 78.3% - Top-30 portfolio: Annualized return 31.33%, max drawdown 15.39%, Sharpe ratio 1.86[56][60][98] Entrepreneurial Board Segment - RankIC average: 13.7%, win rate: 83.4% - Top-30 portfolio: Annualized return 27.66%, max drawdown 25.45%, Sharpe ratio 1.30[61][65][98] CSI 300 Segment - RankIC average: 10.5%, win rate: 64.6% - Top-30 portfolio: Annualized return 10.62%, max drawdown 12.24%, Sharpe ratio 0.70[67][69][98] CSI 500 Segment - RankIC average: 11.1%, win rate: 63.9% - Top-30 portfolio: Annualized return 8.79%, max drawdown 14.56%, Sharpe ratio 0.45[72][74][98] CSI 800 Segment - RankIC average: 11.3%, win rate: 65.6% - Top-30 portfolio: Annualized return 6.86%, max drawdown 13.96%, Sharpe ratio 0.34[77][78][98] CSI 1000 Segment - RankIC average: 10.7%, win rate: 67.4% - Top-30 portfolio: Annualized return 15.39%, max drawdown 16.68%, Sharpe ratio 0.84[83][85][98] CNI 2000 Segment - RankIC average: 12.7%, win rate: 76.5% - Top-30 portfolio: Annualized return 25.00%, max drawdown 17.50%, Sharpe ratio 1.44[90][95][98]