- Factor Name: EPD (Valuation Deviation Factor) - Construction Idea: Combining the Bollinger Bands mean reversion strategy commonly used in the CTA field with the logic of fundamental valuation repair, utilizing the mean reversion characteristic of the PE valuation indicator[7] - Construction Process: The EPD factor is constructed by using the mean reversion characteristic of the PE valuation indicator[7] - Evaluation: The EPD factor aims to capture valuation deviations and mean reversion in stock prices[7] - Factor Name: EPDS (Slow Deviation Factor) - Construction Idea: To eliminate the impact of changes in individual stock valuation logic, the EPD factor is used to remove the probability of individual stock valuation logic being altered (represented by the individual stock information ratio)[7] - Construction Process: The EPDS factor is constructed by using the EPD factor to remove the probability of individual stock valuation logic being altered[7] - Evaluation: The EPDS factor aims to provide a more stable measure of valuation deviations by accounting for changes in individual stock valuation logic[7] - Factor Name: EPA (Valuation Anomaly Factor) - Construction Idea: Removing the influence of Beta, growth, and value styles that affect the "valuation anomaly" logic[7] - Construction Process: The EPA factor is constructed by removing the influence of Beta, growth, and value styles from the EPD factor[7] - Evaluation: The EPA factor aims to capture valuation anomalies by eliminating the influence of common market factors[7] Factor Backtesting Results - EPD Factor - Annualized Return: 17.46%[2][8][12] - Annualized Volatility: 9.92%[2][8][12] - Information Ratio (IR): 1.76[2][8][12] - Monthly Win Rate: 70.37%[2][8][12] - Maximum Drawdown: 8.93%[2][8][12] - EPDS Factor - Annualized Return: 16.03%[2][8][12] - Annualized Volatility: 5.74%[2][8][12] - Information Ratio (IR): 2.79[2][8][12] - Monthly Win Rate: 78.31%[2][8][12] - Maximum Drawdown: 3.10%[2][8][12] - EPA Factor - Annualized Return: 17.15%[2][8][12] - Annualized Volatility: 5.16%[2][8][12] - Information Ratio (IR): 3.33[2][8][12] - Monthly Win Rate: 80.42%[2][8][12] - Maximum Drawdown: 3.12%[2][8][12]