Quantitative Models and Construction Methods - **Model Name**: Comprehensive Volume-Price Factor **Model Construction Idea**: This factor integrates 11 sub-factors derived from high-frequency data to capture volume and price dynamics in the market. The aim is to smooth high-frequency data into monthly frequency to reduce turnover while maintaining strong stock selection capabilities[6][41] **Model Construction Process**: 1. The 11 sub-factors include "Moderate Adventure," "Complete Tide," "Climbing Peaks," "Team Coin," "Clouds Disperse," "Moth to Flame," "Grass in the Wind," "Sailing in Water," "Hidden in the Forest," "Wait and Rescue," and "Long-Short Game"[6][41] 2. Each sub-factor is calculated using high-frequency data (minute-level), except for "Team Coin," which uses daily data[41] 3. The high-frequency data is smoothed to monthly frequency to reduce turnover[41] 4. The 11 sub-factors are orthogonalized and equally weighted to form the comprehensive volume-price factor[45] **Model Evaluation**: The comprehensive factor significantly outperforms individual sub-factors, demonstrating enhanced performance metrics such as higher information ratios and lower maximum drawdowns[45] - **Model Name**: Expectation Inertia Factor **Model Construction Idea**: This factor analyzes the relationship between analyst expectations, momentum, and valuation, aiming to capture the persistence of expectations in the market[51] **Model Construction Process**: 1. The factor is derived from the analysis of analyst forecast revisions and their impact on stock prices[51] 2. It incorporates momentum and valuation metrics to identify stocks with consistent upward or downward revisions in expectations[51] **Model Evaluation**: The factor maintains stable upward trends in both long-short and long-only portfolios, with no significant drawdowns observed[51] Model Backtesting Results - **Comprehensive Volume-Price Factor**: - Rank IC: -12.64% - Rank ICIR: -5.48 - Annualized Return: 49.23% - Annualized Volatility: 10.66% - Information Ratio (IR): 4.62 - Monthly Win Rate: 91.94% - Maximum Drawdown: -4.84%[45] - **Expectation Inertia Factor**: - Long-Short Portfolio Net Value: Stable upward trend with no significant drawdowns[51][53] - Long-Only Portfolio Net Value: Stable upward trend with no significant drawdowns[51][55] Quantitative Factors and Construction Methods - **Factor Name**: Moderate Adventure **Factor Construction Idea**: Captures alpha information during moments of significant volume surges[41] **Factor Construction Process**: Derived from high-frequency volume data, smoothed to monthly frequency[41] **Factor Evaluation**: Demonstrates strong stock selection ability with a Rank ICIR of -4.87[43] - **Factor Name**: Complete Tide **Factor Construction Idea**: Analyzes tidal changes in individual stock trading volumes[41] **Factor Construction Process**: Derived from high-frequency volume data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of -4.15, indicating robust performance[43] - **Factor Name**: Climbing Peaks **Factor Construction Idea**: Focuses on changes in individual stock volatility[41] **Factor Construction Process**: Derived from high-frequency volatility data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of 4.89, showcasing strong predictive power[43] - **Factor Name**: Team Coin **Factor Construction Idea**: Identifies momentum effects in individual stocks[41] **Factor Construction Process**: Derived from daily momentum data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of -4.62, indicating effective stock selection[43] - **Factor Name**: Clouds Disperse **Factor Construction Idea**: Explores the volatility of volatility and investor ambiguity aversion[41] **Factor Construction Process**: Derived from high-frequency volatility data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of -4.72, demonstrating strong performance[43] - **Factor Name**: Moth to Flame **Factor Construction Idea**: Improves amplitude factors by analyzing stock price jumps[41] **Factor Construction Process**: Derived from high-frequency price jump data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of -4.69, indicating robust predictive ability[43] - **Factor Name**: Grass in the Wind **Factor Construction Idea**: Examines extreme return distortions and decision-making weights[41] **Factor Construction Process**: Derived from high-frequency return data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of -4.49, showcasing strong stock selection ability[43] - **Factor Name**: Sailing in Water **Factor Construction Idea**: Analyzes market-following behavior in individual stock turnover[41] **Factor Construction Process**: Derived from high-frequency turnover data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of -5.00, indicating strong performance[43] - **Factor Name**: Hidden in the Forest **Factor Construction Idea**: Decomposes factors driving individual stock price changes[41] **Factor Construction Process**: Derived from high-frequency price data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of -5.67, demonstrating robust predictive power[43] - **Factor Name**: Wait and Rescue **Factor Construction Idea**: Analyzes follow-up effects after large trades[41] **Factor Construction Process**: Derived from high-frequency trade data, smoothed to monthly frequency[41] **Factor Evaluation**: Rank ICIR of -4.23, showcasing effective stock selection[43] Factor Backtesting Results - **Moderate Adventure Factor**: - Rank IC: -9.42% - Rank ICIR: -4.87 - Annualized Return: 39.04% - Annualized Volatility: 9.21% - IR: 4.24 - Monthly Win Rate: 90.32% - Maximum Drawdown: -5.58%[43] - **Complete Tide Factor**: - Rank IC: -7.70% - Rank ICIR: -4.15 - Annualized Return: 25.63% - Annualized Volatility: 8.74% - IR: 2.93 - Monthly Win Rate: 81.45% - Maximum Drawdown: -8.19%[43] - **Climbing Peaks Factor**: - Rank IC: 6.07% - Rank ICIR: 4.89 - Annualized Return: 21.03% - Annualized Volatility: 5.75% - IR: 3.65 - Monthly Win Rate: 87.90% - Maximum Drawdown: -2.55%[43] - **Team Coin Factor**: - Rank IC: -9.73% - Rank ICIR: -4.62 - Annualized Return: 39.63% - Annualized Volatility: 10.93% - IR: 3.63 - Monthly Win Rate: 82.26% - Maximum Drawdown: -8.63%[43] - **Clouds Disperse Factor**: - Rank IC: -10.27% - Rank ICIR: -4.72 - Annualized Return: 30.76% - Annualized Volatility: 9.17% - IR: 3.35 - Monthly Win Rate: 83.87% - Maximum Drawdown: -6.86%[43] - **Moth to Flame Factor**: - Rank IC: -9.36% - Rank ICIR: -4.69 - Annualized Return: 38.15% - Annualized Volatility: 10.10% - IR: 3.78 - Monthly Win Rate: 90.32% - Maximum Drawdown: -6.19%[43] - **Grass in the Wind Factor**: - Rank IC: -8.92% - Rank ICIR: -4.49 - Annualized Return: 32.37% - Annualized Volatility: 8.21% - IR: 3.94 - Monthly Win Rate: 85.48% - Maximum Drawdown: -4.05%[43] - **Sailing in Water Factor**: - Rank IC: -9.13% - Rank ICIR: -5.00 - Annualized Return: 34.76% - Annualized Volatility