- Model Name: Diffusion Index Model; Model Construction Idea: The model monitors the critical points of future diffusion index changes; Model Construction Process: The model uses a table to monitor the future diffusion index change points. The horizontal axis represents the percentage change in stock prices from the current week, ranging from 1.1 to 0.9, indicating a 10% rise to a 10% fall. The vertical axis represents the length of the review period from the current week, with T ranging from 20 to 10, indicating the number of trading days from the current week, i.e., N from 0 to 10, N=20-T. For example, a horizontal axis value of 0.95 and a vertical axis value of 15 days is 0.21, indicating that if all stocks in the micro-cap index fall by 5% after N=5 days, the value of the micro-cap diffusion index is 0.21. The current value of the diffusion index is 0.76 (horizontal axis 20, vertical axis 1.00) [40][41][42] - Model Name: Initial Threshold Method (Left-Side Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The initial threshold method triggered a short position signal at the close of May 8, 2025, with a value of 0.9850 [45][46] - Model Name: Delayed Threshold Method (Right-Side Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The delayed threshold method triggered a short position signal at the close of May 15, 2025, with a value of 0.8975 [47][49] - Model Name: Double Moving Average Method (Adaptive Trading); Model Construction Idea: The model triggers a short position signal when the diffusion index reaches a certain threshold; Model Construction Process: The double moving average method triggered a short position signal at the close of August 4, 2025 [50][51] - Factor Name: Logarithmic Market Value Factor; Factor Construction Idea: The factor ranks stocks based on their logarithmic market value; Factor Construction Process: The factor is calculated by taking the logarithm of the market value of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.206, compared to a historical average of -0.033 [4][18][35] - Factor Name: Nonlinear Market Value Factor; Factor Construction Idea: The factor ranks stocks based on their nonlinear market value; Factor Construction Process: The factor is calculated by taking the nonlinear transformation of the market value of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.206, compared to a historical average of -0.033 [4][18][35] - Factor Name: Unadjusted Stock Price Factor; Factor Construction Idea: The factor ranks stocks based on their unadjusted stock price; Factor Construction Process: The factor is calculated by taking the unadjusted stock price of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.15, compared to a historical average of -0.014 [4][18][35] - Factor Name: Profitability Factor; Factor Construction Idea: The factor ranks stocks based on their profitability; Factor Construction Process: The factor is calculated by taking the profitability metrics of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.141, compared to a historical average of 0.022 [4][18][35] - Factor Name: Single Quarter ROE Factor; Factor Construction Idea: The factor ranks stocks based on their single quarter return on equity (ROE); Factor Construction Process: The factor is calculated by taking the single quarter ROE of stocks and ranking them accordingly; Factor Evaluation: The factor performed well this week with a rank IC of 0.137, compared to a historical average of 0.022 [4][18][35] - Diffusion Index Model, Rank IC: 0.76 [40][41][42] - Initial Threshold Method, Rank IC: 0.9850 [45][46] - Delayed Threshold Method, Rank IC: 0.8975 [47][49] - Double Moving Average Method, Rank IC: 0.76 [50][51] - Logarithmic Market Value Factor, Rank IC: 0.206 [4][18][35] - Nonlinear Market Value Factor, Rank IC: 0.206 [4][18][35] - Unadjusted Stock Price Factor, Rank IC: 0.15 [4][18][35] - Profitability Factor, Rank IC: 0.141 [4][18][35] - Single Quarter ROE Factor, Rank IC: 0.137 [4][18][35]