Quantitative Factors and Construction - **Factor Name**: LongBuy_1p0, LongBuy_1p5, LongBuy_2p0, LongSell_1p0, LongSell_1p5, LongSell_2p0, LongBuySell_1p0, LongBuySell_1p5, LongBuySell_2p0 **Construction Idea**: These factors are based on the completion time of buy or sell orders. Orders with completion times exceeding the mean plus N standard deviations are classified as "long orders," while others are classified as "short orders" [21][23][24] **Construction Process**: - Calculate the mean and standard deviation of order completion times - Define long orders as those exceeding the mean + N standard deviations (N = 1.0, 1.5, 2.0) - Compute the proportion of long buy orders (LongBuy), long sell orders (LongSell), and their combined proportion (LongBuySell) - Formula: $ LongBuy = \frac{\text{Volume of long buy orders}}{\text{Total buy order volume}} $ $ LongSell = \frac{\text{Volume of long sell orders}}{\text{Total sell order volume}} $ $ LongBuySell = LongBuy + LongSell $ **Evaluation**: These factors effectively capture the dynamics of order completion times and provide insights into market behavior [21][24][25] - **Factor Name**: LongBuy_ShortSell_1p0, ShortBuy_LongSell_1p0, ShortBuy_ShortSell_1p0 **Construction Idea**: These factors are derived by decoupling long and short orders into four distinct attributes: long buy-long sell, long buy-short sell, short buy-long sell, and short buy-short sell [33][34][36] **Construction Process**: - Use the same thresholding method (mean + N standard deviations) to classify long and short orders - Combine long/short buy and sell orders into distinct factor categories - Example formula for LongBuy_ShortSell: $ LongBuy\_ShortSell = \frac{\text{Volume of long buy orders and short sell orders}}{\text{Total order volume}} $ **Evaluation**: These factors provide a more granular view of order dynamics by considering both buy and sell directions [33][34][36] Factor Backtesting Results LongBuySell_1p0 Factor (5-day Rebalancing) - **RankIC Mean**: 7.4% - **Win Rate**: 72% - **Long Portfolio Annualized Return**: 22.63% - **Maximum Drawdown**: 15.91% - **Sharpe Ratio**: 1.27 - **Long-Short Portfolio Annualized Return**: 54.76% - **Maximum Drawdown**: 10.76% - **Sharpe Ratio**: 3.80 [24][28][29] LongBuySell_1p0 Factor (20-day Rebalancing) - **RankIC Mean**: 10.4% - **Win Rate**: 77% - **Long Portfolio Annualized Return**: 23.17% - **Maximum Drawdown**: 9.31% - **Sharpe Ratio**: 1.54 - **Long-Short Portfolio Annualized Return**: 37.74% - **Maximum Drawdown**: 9.03% - **Sharpe Ratio**: 2.34 [25][30][32] ShortBuy_ShortSell_1p0 Factor (5-day Rebalancing) - **RankIC Mean**: -7.4% - **Win Rate**: 28% - **Long Portfolio Annualized Return**: 22.53% - **Maximum Drawdown**: 15.73% - **Sharpe Ratio**: 1.27 - **Long-Short Portfolio Annualized Return**: 54.85% - **Maximum Drawdown**: 11.00% - **Sharpe Ratio**: 3.78 [34][37][38] ShortBuy_ShortSell_1p0 Factor (20-day Rebalancing) - **RankIC Mean**: -10.4% - **Win Rate**: 23% - **Long Portfolio Annualized Return**: 23.03% - **Maximum Drawdown**: 9.17% - **Sharpe Ratio**: 1.53 - **Long-Short Portfolio Annualized Return**: 37.73% - **Maximum Drawdown**: 9.19% - **Sharpe Ratio**: 2.31 [36][40][41] Selected Long-Short Factor Portfolio Performance All-Market Portfolio (2021-2023) - **RankIC Mean**: 13.2% - **Win Rate**: 80.5% - **Top-150 Portfolio Annualized Return**: 21.41% - **Maximum Drawdown**: 18.70% - **Sharpe Ratio**: 1.31 - **Benchmark (CSI All-Share Index) Annualized Return**: -8.50% [10][44][49] ChiNext Portfolio (2021-2023) - **RankIC Mean**: 13.2% - **Win Rate**: 80.3% - **Top-150 Portfolio Annualized Return**: 21.52% - **Maximum Drawdown**: 29.49% - **Sharpe Ratio**: 1.07 - **Benchmark (ChiNext Index) Annualized Return**: -7.46% [50][54][82] CSI 300 Portfolio (2021-2023) - **RankIC Mean**: 10.2% - **Win Rate**: 65.9% - **Top-50 Portfolio Annualized Return**: 6.61% - **Maximum Drawdown**: 14.87% - **Sharpe Ratio**: 0.35 - **Benchmark (CSI 300 Index) Annualized Return**: -13.79% [56][58][82] CSI 500 Portfolio (2021-2023) - **RankIC Mean**: 11.1% - **Win Rate**: 65.9% - **Top-50 Portfolio Annualized Return**: 8.18% - **Maximum Drawdown**: 17.63% - **Sharpe Ratio**: 0.44 - **Benchmark (CSI 500 Index) Annualized Return**: -5.98% [61][63][82] CSI 800 Portfolio (2021-2023) - **RankIC Mean**: 11.3% - **Win Rate**: 68.7% - **Top-50 Portfolio Annualized Return**: 7.93% - **Maximum Drawdown**: 16.76% - **Sharpe Ratio**: 0.44 - **Benchmark (CSI 800 Index) Annualized Return**: -12.01% [66][69][82] CSI 1000 Portfolio (2021-2023) - **RankIC Mean**: 10.0% - **Win Rate**: 67.4% - **Top-50 Portfolio Annualized Return**: 10.59% - **Maximum Drawdown**: 20.40% - **Sharpe Ratio**: 0.58 - **Benchmark (CSI 1000 Index) Annualized Return**: -4.70% [73][74][78]