Quantitative Models and Construction Methods 1. Model Name: "Day and Night Convergence" New Momentum Factor - **Model Construction Idea**: This model improves traditional momentum factors by incorporating the price-volume relationship during intraday and overnight trading periods. It aims to capture distinct characteristics and logic in these two periods to enhance the stability and effectiveness of momentum signals [6][7]. - **Model Construction Process**: 1. The trading session is divided into intraday and overnight periods. 2. The price-volume relationship is separately analyzed for each period. 3. Based on these analyses, the intraday and overnight factors are improved and synthesized into a new momentum factor [7]. - **Model Evaluation**: The model demonstrates significant stock selection ability, outperforming traditional momentum factors in terms of stability and performance [6][7]. --- Model Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - **Annualized Return**: 18.15% [7][14] - **Annualized Volatility**: 8.79% [7][14] - **Information Ratio (IR)**: 2.07 [7][14] - **Monthly Win Rate**: 77.37% [7][14] - **Maximum Drawdown**: 9.07% [7][14] --- Quantitative Factors and Construction Methods 1. Factor Name: "Day and Night Convergence" New Momentum Factor - **Factor Construction Idea**: The factor is based on the price-volume relationship during intraday and overnight trading periods. It leverages the distinct characteristics of these periods to refine momentum signals [7]. - **Factor Construction Process**: 1. Divide the trading session into intraday and overnight periods. 2. Analyze the price-volume relationship for each period. 3. Construct separate momentum factors for intraday and overnight periods. 4. Synthesize the two factors into a new momentum factor [7]. - **Factor Evaluation**: The factor shows superior performance compared to traditional momentum factors, with higher stability and stock selection capability [6][7]. --- Factor Backtesting Results 1. "Day and Night Convergence" New Momentum Factor - **Annualized Return**: 22.64% [6] - **Information Ratio (IR)**: 2.85 [6] - **Monthly Win Rate**: 83.33% [6] - **Maximum Drawdown**: 5.79% [6]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250604 "日与夜的殊途同归"新动量因子绩效月报 20250530 [Table_Tag] [Table_Summary] 报告要点 2025 年 06 月 04 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 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 20250430》 2025-05-06 《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 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 5 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 18.37%，年化波 动率为 8.79%，信息比率为 2.09，月度胜率为 77.94%，月度最大回撤率 为 9.07%。 ◼ 5 月份"日与 ...