Quantitative Models and Construction Methods 1. Model Name: Stability of the Growth Rate of Turnover Rate (GTR) - **Model Construction Idea**: The model identifies stocks with high turnover rate volatility but stable growth or decline in turnover rate, which may indicate potential future price increases. The model introduces a new metric, "stability of the growth rate of turnover rate," to capture this trend[6][15]. - **Model Construction Process**: The GTR factor is constructed based on the acceleration property of turnover rate changes, combined with the stability of the new factor. The specific formula or mathematical representation of the GTR factor is not provided in the report[6][15]. - **Model Evaluation**: The GTR factor demonstrates low correlation (less than 0.1) with other turnover rate factors in the same series, indicating its uniqueness and potential to enhance the performance of related factors[6]. 2. Model Name: Purely Enhanced TPS_Turbo Factor - **Model Construction Idea**: The TPS_Turbo factor is derived by applying a "purely enhanced" method to combine the GTR factor with Turn20 and STR factors, aiming to improve stock selection capabilities[6]. - **Model Construction Process**: The TPS_Turbo factor is constructed by integrating the GTR factor with Turn20 and STR factors using a purely enhanced method. The exact mathematical formulation of the combination is not provided in the report[6]. - **Model Evaluation**: The TPS_Turbo factor demonstrates superior stock selection ability compared to its components, as evidenced by its performance metrics[6]. 3. Model Name: Purely Enhanced SPS_Turbo Factor - **Model Construction Idea**: Similar to TPS_Turbo, the SPS_Turbo factor is created by applying the "purely enhanced" method to combine the GTR factor with other turnover rate factors, aiming to achieve better performance in stock selection[6]. - **Model Construction Process**: The SPS_Turbo factor is constructed by combining the GTR factor with other turnover rate factors using the purely enhanced method. The specific formula or mathematical representation is not provided in the report[6]. - **Model Evaluation**: The SPS_Turbo factor exhibits excellent stock selection performance, surpassing the other factors in the series[6]. --- Model Backtesting Results 1. GTR Factor - **Annualized Return**: 13.11% - **Annualized Volatility**: 10.22% - **IR**: 1.28 - **Monthly Win Rate**: 66.53% - **Maximum Drawdown**: 10.81%[7][11] 2. TPS_Turbo Factor - **Annualized Return**: 36.11% - **Annualized Volatility**: 13.22% - **IR**: 2.73 - **Monthly Win Rate**: 78.39% - **Maximum Drawdown**: 9.86%[7][11] 3. SPS_Turbo Factor - **Annualized Return**: 37.21% - **Annualized Volatility**: 10.87% - **IR**: 3.42 - **Monthly Win Rate**: 81.36% - **Maximum Drawdown**: 7.22%[7][11] --- Factor Backtesting Results (October 2025) 1. GTR Factor - **Long Portfolio Return**: 2.27% - **Short Portfolio Return**: 0.96% - **Long-Short Portfolio Return**: 1.31%[15] 2. TPS_Turbo Factor - **Long Portfolio Return**: 3.19% - **Short Portfolio Return**: -0.33% - **Long-Short Portfolio Return**: 3.52%[16] 3. SPS_Turbo Factor - **Long Portfolio Return**: 3.65% - **Short Portfolio Return**: 0.09% - **Long-Short Portfolio Return**: 3.56%[19]

Quantitative Factors and Construction Methods 1. Factor Name: Stability of the Growth Rate of Turnover Rate (GTR) - **Factor Construction Idea**: The GTR factor identifies stocks with stable growth or decline in turnover rate, which may indicate potential for future price increases. The factor captures the "acceleration" of turnover rate changes and emphasizes stability in these changes[6][7]. - **Factor Construction Process**: The GTR factor is derived from turnover rate data, focusing on the stability of its growth rate. Specific details on the mathematical formula or calculation process are not provided in the report[6][7]. - **Factor Evaluation**: The GTR factor demonstrates low correlation (less than 0.1) with other turnover rate factors in the same series, enhancing its uniqueness and effectiveness in stock selection[6]. 2. Factor Name: Purely Enhanced TPS_Turbo - **Factor Construction Idea**: The TPS_Turbo factor is created by applying a "purely enhanced" method to combine the GTR factor with other turnover-related factors (Turn20 and STR), aiming to improve stock selection performance[6]. - **Factor Construction Process**: The TPS_Turbo factor is constructed by integrating the GTR factor with Turn20 and STR using a purely enhanced methodology. The exact mathematical process or formula is not detailed in the report[6]. - **Factor Evaluation**: The TPS_Turbo factor exhibits strong stock selection capabilities, as evidenced by its high performance metrics in backtesting[6]. 3. Factor Name: Purely Enhanced SPS_Turbo - **Factor Construction Idea**: Similar to TPS_Turbo, the SPS_Turbo factor is derived by combining the GTR factor with other turnover-related factors using the purely enhanced methodology, with a focus on further improving stock selection[6]. - **Factor Construction Process**: The SPS_Turbo factor is constructed by integrating the GTR factor with other turnover-related factors using the same purely enhanced methodology as TPS_Turbo. Specific details on the formula are not provided[6]. - **Factor Evaluation**: The SPS_Turbo factor demonstrates the highest stock selection performance among the factors discussed, with superior backtesting results[6]. --- Factor Backtesting Results 1. Stability of the Growth Rate of Turnover Rate (GTR) - **Annualized Return**: 13.29%[7][11] - **Annualized Volatility**: 10.24%[7][11] - **IR**: 1.30[7][11] - **Monthly Win Rate**: 67.09%[7][11] - **Maximum Drawdown**: 10.81%[7][11] 2. Purely Enhanced TPS_Turbo - **Annualized Return**: 36.31%[7][11] - **Annualized Volatility**: 13.21%[7][11] - **IR**: 2.75[7][11] - **Monthly Win Rate**: 78.63%[7][11] - **Maximum Drawdown**: 9.86%[7][11] 3. Purely Enhanced SPS_Turbo - **Annualized Return**: 37.33%[7][11] - **Annualized Volatility**: 10.88%[7][11] - **IR**: 3.43[7][11] - **Monthly Win Rate**: 81.62%[7][11] - **Maximum Drawdown**: 7.22%[7][11] --- Monthly Performance (July 2025) 1. Stability of the Growth Rate of Turnover Rate (GTR) - **Long Portfolio Return**: 0.96%[14] - **Short Portfolio Return**: 0.36%[14] - **Long-Short Portfolio Return**: 0.60%[14] 2. Purely Enhanced TPS_Turbo - **Long Portfolio Return**: 1.15%[15] - **Short Portfolio Return**: 0.03%[15] - **Long-Short Portfolio Return**: 1.12%[15] 3. Purely Enhanced SPS_Turbo - **Long Portfolio Return**: 1.17%[19] - **Short Portfolio Return**: 0.11%[19] - **Long-Short Portfolio Return**: 1.06%[19]