Momentum investing revolves around the idea of following a stock's recent trend in either direction. In the 'long' context, investors will be essentially be "buying high, but hoping to sell even higher." With this methodology, taking advantage of trends in a stock's price is key; once a stock establishes a course, it is more than likely to continue moving that way. The goal is that once a stock heads down a fixed path, it will lead to timely and profitable trades.While many investors like to look for moment ...

证券研究报告·金融工程·金工定期报告 金工定期报告 20250701 "日与夜的殊途同归"新动量因子绩效月报 20250630 [Table_Tag] [Table_Summary] 报告要点 执业证书：S0600524090003 panggz@dwzq.com.cn 相关研究 《"日与夜的殊途同归"新动量因子绩 效月报 20250530》 2025-06-04 《成交量对动量因子的修正：日与夜 之殊途同归》 2022-08-17 东吴证券研究所 1 / 6 2025 年 07 月 01 日 证券分析师 高子剑 执业证书：S0600518010001 021-60199793 gaozj@dwzq.com.cn 证券分析师 庞格致 请务必阅读正文之后的免责声明部分 ◼ "日与夜的殊途同归"新动量因子多空对冲绩效（全市场）：2014 年 2 月至 2025 年 6 月，"日与夜的殊途同归"新动量因子在全体 A 股（剔 除北交所股票）中，10 分组多空对冲的年化收益率为 18.15%，年化波 动率为 8.79%，信息比率为 2.07，月度胜率为 77.37%，月度最大回撤率 为 9.07%。 ◼ 6 月份"日与 ...

再比如梯云纵这一式在百合花最近的走势中也稍有变通，但其灵魂附体，仍妙到毫巅： 毒孤三式妙在有足够的低吸时间，且比较容易辨认，量价结合，以势御形，以形度势，节奏紧凑。若用 动量背离值指标辅助，可能就更加清晰方便。 风清扬教会令狐冲独孤九剑之后，叫令狐冲忘掉所有招式；张三丰教张无忌太极也是这样，可见上乘武 功到最后都是无招胜有招，高手善于领会精神，实战变通。 有人建议把毒孤三式写成公式，这个工作是可以做的，大家一起努力。但价格行为分析这一门，灵魂就 在以简化繁，无拘无束，随机应变，形态拟合实在是反其道而行之。也正因为至简，也至难，非极高的 天分难有大成。 变通的要点在于掌握其中原理，比如丝线牵牛这一式在吉比特最近的走势上就稍有变通，但总体仍然有 很好的符合： 原理是什么？原理就是回撤要缓平小，缩量要快准狠。 这里顺便通知一下已经安装动量背离值（RS_D）指标的朋友，第二版的源码发布刚刚在原文章的留言 置顶区，可以去更新研究，调整了计算方法，并加入了标准化，这样就提供了数值可比性，个人认为更 加好用。另外，有些朋友加入了行业指数的动量对比，这也是很不错的思路。我觉得技术是活的，偏信 和盲信都要不得。 原文链接： 高 ...

Momentum investing is all about the idea of following a stock's recent trend, which can be in either direction. In the 'long' context, investors will essentially be "buying high, but hoping to sell even higher." And for investors following this methodology, taking advantage of trends in a stock's price is key; once a stock establishes a course, it is more than likely to continue moving in that direction. The goal is that once a stock heads down a fixed path, it will lead to timely and profitable trades.Whil ...

金融工程 | 动态跟踪 报告发布日期 2025 年 06 月 28 日 杨怡玲 yangyiling@orientsec.com.cn 执业证书编号：S0860523040002 研究结论 风格表现监控 本周市场正收益风格集中在 Beta 风格上，负收益风格表现在 Value 风格上。一年动 量是中证全指成分股中，本周表现最好的因子。 因子表现监控 公募基金指数增强产品表现跟踪 投资建议 风险提示 量化模型失效风险、 市场极端环境冲击。 有关分析师的申明，见本报告最后部分。其他重要信息披露见分析师申明之后部分，或请与您的投资代表联系。并请阅读本证券研究报告最后一页的免责申明。 | 捕捉趋势的力量：基金动量刻画新范式： | 2025-06-12 | | --- | --- | | ——FOF 研究系列 | | | Neural ODE：时序动力系统重构下深度学 | 2025-05-27 | | 习因子挖掘模型：——因子选股系列之一 | | | 一六 | | | 广发中证全指电力公用事业 ETF 投资价值 | 2025-05-20 | | 分析：——FOF 系列研究之七十五 | | | DFQ-diversify ...

证券研究报告 | 2025年06月28日 主动量化策略周报 半年度收官在即，四大主动量化组合均排名主动股基前 50% 核心观点 金融工程周报 国信金工主动量化策略表现跟踪： 本周，优秀基金业绩增强组合绝对收益 3.68%，相对偏股混合型基金指数超 额收益 0.82%。本年，优秀基金业绩增强组合绝对收益 6.12%，相对偏股混 合型基金指数超额收益-0.74%。今年以来，优秀基金业绩增强组合在主动股 基中排名 41.19%分位点（1429/3469）。 本周，成长稳健组合绝对收益 3.41%，相对偏股混合型基金指数超额收益 0.55%。本年，成长稳健组合绝对收益 21.70%，相对偏股混合型基金指数 超额收益 14.83%。今年以来，成长稳健组合在主动股基中排名 5.71%分位 点（198/3469）。 本周，股票收益中位数 4.41%，89%的股票上涨，11%的股票下跌；主动股 基中位数 2.79%，98%的基金上涨，2%的基金下跌。 本年，股票收益中位数 8.82%，69%的股票上涨，31%的股票下跌；主动股 基中位数 4.59%，78%的基金上涨，22%的基金下跌。 优秀基金业绩增强组合： 在构建量化组合 ...

Core Viewpoint - The report tracks the performance of various active quantitative strategies by GuoXin Securities, focusing on their ability to outperform the median returns of actively managed equity funds, with specific emphasis on four main strategies: Excellent Fund Performance Enhancement, Expected Surprises Selection, Broker Golden Stocks Performance Enhancement, and Growth Stability Combination [2][31]. Group 1: Performance Overview - The Excellent Fund Performance Enhancement strategy achieved an absolute return of 3.68% this week and 6.12% year-to-date, ranking in the 41.19th percentile among active equity funds [12][6]. - The Expected Surprises Selection strategy recorded an absolute return of 1.78% this week and 14.68% year-to-date, ranking in the 14.67th percentile among active equity funds [9][13]. - The Broker Golden Stocks Performance Enhancement strategy had an absolute return of 2.36% this week and 9.03% year-to-date, ranking in the 29.66th percentile among active equity funds [22][17]. - The Growth Stability Combination strategy achieved an absolute return of 3.41% this week and 21.70% year-to-date, ranking in the 5.71st percentile among active equity funds [23][24]. Group 2: Excellent Fund Performance Enhancement - This strategy benchmarks against the median returns of actively managed equity funds, utilizing a quantitative approach to enhance performance based on the holdings of top-performing funds [4][32]. - The strategy's year-to-date performance shows a net value increase of 6.12%, compared to a 6.87% increase in the benchmark index [6][12]. Group 3: Expected Surprises Selection - The strategy selects stocks based on expected earnings surprises and analyst upgrades, focusing on both fundamental and technical criteria to build a portfolio of stocks with strong support [36][9]. - Year-to-date, this strategy has outperformed the benchmark index by 7.81%, with a total return of 14.68% [9][13]. Group 4: Broker Golden Stocks Performance Enhancement - This strategy is based on a selection of stocks identified by broker recommendations, aiming to optimize the portfolio while controlling deviations from the broker stock pool [41][16]. - The year-to-date performance of this strategy shows a return of 9.03%, outperforming the benchmark index by 2.17% [22][17]. Group 5: Growth Stability Combination - This strategy employs a two-dimensional evaluation system for growth stocks, prioritizing those with upcoming earnings announcements to capture potential excess returns [46][19]. - The year-to-date performance of this strategy is 21.70%, significantly exceeding the benchmark index by 14.83% [23][24].

Momentum investing is all about the idea of following a stock's recent trend, which can be in either direction. In the 'long' context, investors will essentially be "buying high, but hoping to sell even higher." And for investors following this methodology, taking advantage of trends in a stock's price is key; once a stock establishes a course, it is more than likely to continue moving in that direction. The goal is that once a stock heads down a fixed path, it will lead to timely and profitable trades.Whil ...

Group 1 - The median return of conservative fixed income + products was 0.09% for the week of June 16-20, 2025, with 294 products reaching historical net value highs [2][20] - The total market size of fixed income + funds reached 1,692.127 billion, with 1,173 products available as of June 20, 2025 [2][10] - The performance of various fund types showed divergence, with median returns for mixed bond type funds being 0.10% for level one and -0.02% for level two [2][12] Group 2 - The macro environment forecast for Q2 2025 indicates inflation, with the Shanghai and Shenzhen 300 index, the China government bond index, and gold showing respective increases of 0.17%, 0.71%, and 1.28% since June [2][3] - The recommended industry ETFs for June 2025 include those focused on securities companies, semiconductors, banks, and major consumer sectors, achieving a combined return of 0.21% for the week [2][3] Group 3 - The stock-bond mixed strategy showed a return of 0.03% for the 20/80 rebalancing strategy, while the risk parity strategy yielded a return of 0.15% [3][3] - The small-cap value style within the stock-bond 20/80 combination performed best with a year-to-date return of 5.17% [3][3] - The cumulative return for the small-cap value combination, adjusted for macro momentum, was 2.55% [3][3]

Moreover, the momentum for IPSC is fast paced, as the stock currently has a beta of 1.77. This indicates that the stock moves 77% higher than the market in either direction. Momentum investors typically don't time the market or "buy low and sell high." In other words, they avoid betting on cheap stocks and waiting long for them to recover. Instead, they believe that "buying high and selling higher" is the way to make far more money in lesser time. Everyone likes betting on fast-moving trending stocks, but i ...