Quantitative Factors and Construction Methods - **Factor Name**: TPS (Turn20 conformed by PLUS) **Factor Construction Idea**: The TPS factor is designed to improve the traditional turnover rate factor by incorporating price information, specifically the shadow difference (representing intraday market sentiment), to address the limitations of the traditional turnover rate factor[6][9] **Factor Construction Process**: 1. The traditional turnover rate factor (Turn20) is calculated as the average turnover rate over the past 20 trading days, followed by cross-sectional market capitalization neutralization[6] 2. The TPS factor integrates the shadow difference as a price factor to complement the Turn20 factor, leveraging intraday price movements (e.g., opening and closing prices) to better capture market sentiment[9] **Factor Evaluation**: The TPS factor significantly outperforms traditional turnover rate factors in terms of performance and maintains strong stock selection ability even after removing common style and industry effects[6][9] - **Factor Name**: SPS (STR conformed by PLUS) **Factor Construction Idea**: Similar to TPS, the SPS factor improves the STR (Stable Turnover Rate) factor by incorporating price information (shadow difference) to enhance its effectiveness in stock selection[9] **Factor Construction Process**: 1. The STR factor was initially developed to address the limitations of the Turn20 factor, focusing on turnover rate stability rather than magnitude[7] 2. The SPS factor further integrates the shadow difference as a price factor to complement the STR factor, using intraday price movements to better reflect market sentiment[9] **Factor Evaluation**: The SPS factor demonstrates superior performance compared to both the traditional Turn20 and STR factors, with strong stock selection capabilities even after removing style and industry biases[9] Factor Backtesting Results - **TPS Factor**: - Annualized Return: 39.30% - Annualized Volatility: 15.71% - IR: 2.50 - Monthly Win Rate: 77.64% - Maximum Drawdown: 18.19%[1][11] - **SPS Factor**: - Annualized Return: 42.98% - Annualized Volatility: 13.15% - IR: 3.27 - Monthly Win Rate: 83.54% - Maximum Drawdown: 11.58%[1][12][14]

Quantitative Models and Factor Construction Quantitative Models and Construction Methods Model Name: TPS (Turnover Price Stability) - **Model Construction Idea**: The TPS factor is constructed from the perspective of examining the stability of daily turnover rates, aiming to improve the traditional turnover rate factor by incorporating price factors[1][9]. - **Model Construction Process**: - Calculate the average turnover rate over the past 20 trading days (Turn20). - Neutralize the turnover rate by market capitalization. - Use the shadow difference as the price factor to pair with the Turn20 factor. - Construct the TPS factor by combining the turnover rate and the price factor[6][9]. - **Model Evaluation**: The TPS factor significantly outperforms traditional turnover rate factors and maintains good stock-picking ability even after removing market style and industry interference[1][9]. Model Name: SPS (Stable Price Stability) - **Model Construction Idea**: Similar to the TPS factor, the SPS factor is constructed from the perspective of examining the stability of daily turnover rates, aiming to improve the traditional turnover rate factor by incorporating price factors[1][9]. - **Model Construction Process**: - Calculate the average turnover rate over the past 20 trading days (Turn20). - Neutralize the turnover rate by market capitalization. - Use the shadow difference as the price factor to pair with the Turn20 factor. - Construct the SPS factor by combining the turnover rate and the price factor[6][9]. - **Model Evaluation**: The SPS factor significantly outperforms traditional turnover rate factors and maintains strong stock-picking ability even after removing market style and industry interference[1][9]. Model Backtesting Results TPS Model - **Annualized Return**: 39.34%[1][11] - **Annualized Volatility**: 15.74%[1][11] - **Information Ratio (IR)**: 2.50[1][11] - **Monthly Win Rate**: 77.54%[1][11] - **Maximum Drawdown**: 18.19%[1][11] SPS Model - **Annualized Return**: 43.18%[1][12] - **Annualized Volatility**: 13.16%[1][12] - **Information Ratio (IR)**: 3.28[1][12] - **Monthly Win Rate**: 83.47%[1][12] - **Maximum Drawdown**: 11.58%[1][12] Factor Backtesting Results TPS Factor - **10-Group Long Portfolio Return**: 4.09%[1][12] - **10-Group Short Portfolio Return**: -1.73%[1][12] - **10-Group Long-Short Portfolio Return**: 5.82%[1][12] SPS Factor - **10-Group Long Portfolio Return**: 4.22%[1][14] - **10-Group Short Portfolio Return**: -0.78%[1][14] - **10-Group Long-Short Portfolio Return**: 5.00%[1][14]

证券研究报告·金融工程·金工定期报告 金工定期报告 20250507 2025-04-03 TPS 与 SPS 选股因子绩效月报 20250430 2025 年 05 月 07 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 凌志杰 执业证书：S0600525040007 lingzhj@dwzq.com.cn 相关研究 《成交价改进换手率因子》 2022-08-16 《 TPS 与 SPS 选股因子绩效月报 20250331》 东吴证券研究所 1 / 9 请务必阅读正文之后的免责声明部分 [Table_Tag] [Table_Summary] ◼ TPS 因子多空对冲绩效（全市场）： 2006 年 1 月至 2025 年 4 月，TPS 因子在全体 A 股中，10 分组多空对冲的年化收益率为 39.50%，年化波 动为 15.79%，信息比率为 2.50，月度胜率为 77.39%，月度最大回撤为 18.19%。 ◼ SPS 因子多空对冲绩效（全市场）： 2006 年 1 月至 2025 年 4 月，SPS 因子在全体 ...