Core Insights - The article discusses the correlation between high-frequency factors and stock indices, highlighting that large buy/sell and small buy/large sell factors show strong positive correlation in the short term due to short-term capital effects [1] - It emphasizes the effectiveness of composite strategies over single-factor strategies, suggesting that aggressive composite strategies yield higher win rates in stable indices, while more conservative strategies are advisable in highly volatile indices [1] Summary by Sections High-Frequency Factors - Short-term large buy/sell and small buy/large sell factors exhibit strong positive correlation, driven by short-term capital movements [1] - The short-term negative correlation of large net buy factors may stem from pronounced short-term overbought conditions, leading to potential short-term declines in indices [1] Capital Flow Factor Processing - Short-term averages can quickly respond to changes in high-frequency factors, while medium-term averages serve as a reference benchmark, amplifying deviations from medium-term trends and effectively capturing short-term excess signals [1] Timing Effectiveness of High-Frequency Factors - The timing effectiveness of three high-frequency factors (small buy/large sell at open, small buy/large sell excluding close, and large buy/sell at open) is noted to be strong [1] - The annualized returns for constructed portfolios are as follows: over 15% for the CSI 300 long position (benchmark 5%), over 10% for the CSI 500 long position (benchmark 6.8%), and over 11% for the CSI 1000 long position (benchmark 5.1%) [1] - The Sharpe ratios for these combinations significantly exceed the benchmarks [1] Stability of Composite Strategies - Composite strategies demonstrate superior return stability compared to single-factor strategies [1] - In stable indices, aggressive composite strategies can achieve higher win rates, while in more volatile indices, a more conservative approach is recommended to mitigate uncertainty [1]