Quantitative Factors and Construction - **Factor Name**: Renewed Correlation of Price and Volume (RPV) **Construction Idea**: The RPV factor integrates intraday and overnight price-volume correlation information, leveraging the reversal and momentum effects of price-volume relationships. It incorporates "volume" information into correlation metrics to enhance factor effectiveness [6][1][7] **Construction Process**: 1. Identify the best representatives for intraday and overnight price-volume correlations: CCOIV (intraday) and COV (overnight) [6] 2. Enhance reversal effects using turnover rate sequences for intraday price-volume correlation [6] 3. Strengthen overnight momentum effects by incorporating "yesterday's volume" into overnight price-volume relationships [6] 4. Combine intraday and overnight correlation information into a unified factor, RPV, to serve a single objective [6] **Evaluation**: The RPV factor is described as "novel and effective," capable of capturing both reversal and momentum effects in price-volume relationships [1][6] - **Factor Name**: Smart Renewed Correlation of Price and Volume (SRV) **Construction Idea**: The SRV factor refines intraday price-volume correlation by splitting daily price movements into morning and afternoon segments, and incorporates "smart" turnover metrics to identify informed trading periods. It combines improved intraday and overnight correlation metrics for enhanced performance [1][6][7] **Construction Process**: 1. Split daily price movements into morning and afternoon segments [1][6] 2. Calculate "smart" metrics for afternoon trading, identifying the top 20% (24 minutes) of informed trading periods [1][6] 3. Use "smart turnover rate" and afternoon price movements to compute intraday correlation [1][6] 4. Replace turnover rate with the last 30-minute turnover rate of the previous day for overnight correlation [1][6] 5. Combine the refined intraday and overnight correlation metrics into the SRV factor [1][6] **Evaluation**: The SRV factor is considered superior to RPV, with better performance metrics and lower drawdowns [1][6] Factor Backtesting Results - **RPV Factor**: - Annualized Return: 14.17% [7][10] - Annualized Volatility: 7.73% [7][10] - IR: 1.83 [7][10] - Monthly Win Rate: 71.94% [7][10] - Maximum Drawdown: 10.63% [7][10] - **SRV Factor**: - Annualized Return: 16.89% [7][10] - Annualized Volatility: 6.51% [7][10] - IR: 2.59 [7][10] - Monthly Win Rate: 74.10% [7][10] - Maximum Drawdown: 3.87% [7][10] August Performance Results - **RPV Factor**: - Long Portfolio Return: 7.29% [10][11] - Short Portfolio Return: 8.88% [10][11] - Long-Short Portfolio Return: -1.59% [10][11] - **SRV Factor**: - Long Portfolio Return: 7.55% [10][11] - Short Portfolio Return: 8.78% [10][11] - Long-Short Portfolio Return: -1.23% [10][11]

- The **RPV factor** (Renewed Correlation of Price and Volume) is constructed by integrating intraday and overnight price-volume correlation information. It identifies the reversal and momentum effects of price-volume correlation through monthly IC averages. The factor incorporates "volume" information in the form of correlation, finding optimal representatives for intraday and overnight price-volume correlations, and combines them to create the RPV factor[6][7][10] - The **SRV factor** (Smart Renewed Volume) refines the RPV factor by splitting intraday price changes into morning and afternoon segments. It calculates a "smart" indicator for the afternoon, identifying the 20% of time intervals with the highest informed trading activity. The factor uses the correlation between the afternoon "smart" turnover rate and price changes. For overnight correlations, it replaces the turnover rate with the turnover rate of the last 30 minutes of the previous day, which has a higher proportion of informed trading. The SRV factor combines the improved intraday and overnight correlations into a single factor[6][7][10] - The **RPV factor** achieved an annualized return of 14.57%, annualized volatility of 7.73%, IR of 1.89, a monthly win rate of 72.99%, and a maximum drawdown of 10.63% during the backtest period from January 2014 to June 2025[7][10] - The **SRV factor** outperformed the RPV factor with an annualized return of 17.28%, annualized volatility of 6.50%, IR of 2.66, a monthly win rate of 75.18%, and a maximum drawdown of 3.74% during the same backtest period[7][10]