Quantitative Factors and Models Summary Quantitative Factors and Construction Process - **Factor Name**: Intraday Skewness Factor **Construction Idea**: This factor captures the skewness of intraday stock returns, reflecting the asymmetry in return distribution[13][16][18] **Construction Process**: The factor is calculated based on the third moment of intraday return distribution, normalized by the cube of standard deviation. The detailed methodology is referenced in the report "Stock Selection Factor Series Research (19) - High-Frequency Factors on Stock Return Distribution Characteristics"[13][16][18] - **Factor Name**: Downside Volatility Proportion Factor **Construction Idea**: This factor measures the proportion of downside volatility in the total realized volatility of a stock[18][19][20] **Construction Process**: The factor is derived by decomposing realized volatility into upside and downside components. The methodology is detailed in the report "Stock Selection Factor Series Research (25) - High-Frequency Factors on Realized Volatility Decomposition"[18][19][20] - **Factor Name**: Post-Open Buying Intention Proportion Factor **Construction Idea**: This factor quantifies the proportion of buying intention in the early trading period after market open[22][23][24] **Construction Process**: The factor is constructed using high-frequency data to identify and aggregate buying signals in the post-open period. The methodology is detailed in the report "Stock Selection Factor Series Research (64) - Low-Frequency Applications of High-Frequency Data Based on Intuitive Logic and Machine Learning"[22][23][24] - **Factor Name**: Post-Open Buying Intensity Factor **Construction Idea**: This factor measures the intensity of buying activity in the early trading period after market open[27][28][29] **Construction Process**: Similar to the proportion factor, this factor aggregates the magnitude of buying signals during the post-open period, normalized by trading volume[27][28][29] - **Factor Name**: Post-Open Large Order Net Buying Proportion Factor **Construction Idea**: This factor captures the proportion of large order net buying in the early trading period after market open[32][34][35] **Construction Process**: The factor is calculated by summing the net buying of large orders during the post-open period and dividing by total trading volume[32][34][35] - **Factor Name**: Post-Open Large Order Net Buying Intensity Factor **Construction Idea**: This factor measures the intensity of large order net buying in the early trading period after market open[37][39][40] **Construction Process**: The factor aggregates the net buying of large orders during the post-open period, normalized by the total number of large orders[37][39][40] - **Factor Name**: Improved Reversal Factor **Construction Idea**: This factor captures the reversal effect in stock returns, adjusted for high-frequency data characteristics[40][43][44] **Construction Process**: The factor is constructed by identifying stocks with extreme short-term returns and measuring their subsequent reversal performance[40][43][44] - **Factor Name**: Deep Learning Factor (Improved GRU(50,2)+NN(10)) **Construction Idea**: This factor leverages a deep learning model combining GRU and neural networks to predict stock returns[63][65][66] **Construction Process**: The model uses 50 GRU units and 10 neural network layers, trained on historical high-frequency data to predict short-term stock returns[63][65][66] - **Factor Name**: Deep Learning Factor (Residual Attention LSTM(48,2)+NN(10)) **Construction Idea**: This factor employs an LSTM model with residual attention mechanisms to enhance prediction accuracy[65][66][68] **Construction Process**: The model uses 48 LSTM units and 10 neural network layers, incorporating residual connections to capture long-term dependencies in high-frequency data[65][66][68] - **Factor Name**: Multi-Granularity Model Factor (5-Day Label) **Construction Idea**: This factor predicts stock returns over a 5-day horizon using a multi-granularity deep learning model[68][69][70] **Construction Process**: The model is trained using bidirectional AGRU (Attention-Gated Recurrent Unit) to capture multi-scale temporal patterns in stock data[68][69][70] - **Factor Name**: Multi-Granularity Model Factor (10-Day Label) **Construction Idea**: Similar to the 5-day label factor, this factor predicts stock returns over a 10-day horizon[69][70][71] **Construction Process**: The model uses the same AGRU architecture as the 5-day label factor but is trained with a 10-day prediction horizon[69][70][71] Factor Backtesting Results - **Intraday Skewness Factor**: - IC: 0.024 (2025), 0.019 (historical) - e^(-RankMAE): 0.327 (2025), 0.324 (historical) - Long-Short Return: 16.90% (2025 YTD), -0.66% (last week) - Long-Only Excess Return: 1.84% (2025 YTD), -0.79% (last week)[9][10][13] - **Downside Volatility Proportion Factor**: - IC: 0.020 (2025), 0.016 (historical) - e^(-RankMAE): 0.325 (2025), 0.323 (historical) - Long-Short Return: 12.93% (2025 YTD), -1.19% (last week) - Long-Only Excess Return: -0.12% (2025 YTD), -1.07% (last week)[9][10][18] - **Post-Open Buying Intention Proportion Factor**: - IC: 0.026 (2025), 0.026 (historical) - e^(-RankMAE): 0.322 (2025), 0.321 (historical) - Long-Short Return: 13.98% (2025 YTD), 0.27% (last week) - Long-Only Excess Return: 7.20% (2025 YTD), 0.28% (last week)[9][10][22] - **Post-Open Buying Intensity Factor**: - IC: 0.029 (2025), 0.030 (historical) - e^(-RankMAE): 0.327 (2025), 0.326 (historical) - Long-Short Return: 18.53% (2025 YTD), 0.05% (last week) - Long-Only Excess Return: 7.09% (2025 YTD), 0.43% (last week)[9][10][27] - **Post-Open Large Order Net Buying Proportion Factor**: - IC: 0.027 (2025), 0.036 (historical) - e^(-RankMAE): 0.319 (2025), 0.322 (historical) - Long-Short Return: 18.25% (2025 YTD), 0.31% (last week) - Long-Only Excess Return: 9.48% (2025 YTD), 0.43% (last week)[9][10][32] - **Post-Open Large Order Net Buying Intensity Factor**: - IC: 0.019 (2025), 0.025 (historical) - e^(-RankMAE): 0.318 (2025), 0.321 (historical) - Long-Short Return: 10.50% (2025 YTD), 0.31% (last week) - Long-Only Excess Return: 7.08% (2025 YTD), 0.24% (last week)[9][10][37] - **Improved Reversal Factor**: - IC: 0.025 (2025), 0.031 (historical) - e^(-RankMAE): 0.331 (2025), 0.330 (historical) - Long-Short Return: 17.44% (2025 YTD), 0.12% (last week) - Long-Only Excess Return: 6.14% (2025 YTD), 0.33% (last week)[9][10][40] - **Deep Learning Factor (Improved GRU(50,2)+NN(10))**: - IC: 0.045 (2025), 0.066 (historical) - e^(-RankMAE): 0.335 (2025), 0.336 (historical) - Long-Short Return: 28.86% (2025 YTD), 1.36% (last week) - Long-Only Excess Return: 2.19% (2025 YTD), 0.06% (last week)[9][10][63] - **Deep Learning Factor (Residual

Quantitative Models and Construction Methods Quantitative Factors and Their Construction 1. **Factor Name**: Intraday Skewness Factor **Construction Idea**: Captures the skewness of intraday stock returns to identify potential return asymmetry[3][6] **Construction Process**: Referenced in the report "Stock Selection Factor Series Research (19) - High-Frequency Factors on Stock Return Distribution Characteristics"[11] **Evaluation**: Demonstrates mixed performance with positive returns in some periods but underperformance in others[3][6] 2. **Factor Name**: Downside Volatility Proportion Factor **Construction Idea**: Measures the proportion of downside volatility in intraday price movements to assess risk[3][6] **Construction Process**: Referenced in the report "Stock Selection Factor Series Research (25) - High-Frequency Factors on Realized Volatility Decomposition"[16] **Evaluation**: Shows consistent positive returns in certain periods but limited robustness in others[3][6] 3. **Factor Name**: Post-Open Buy Intention Proportion Factor **Construction Idea**: Quantifies the proportion of buy orders after market open to gauge investor sentiment[3][6] **Construction Process**: Referenced in the report "Stock Selection Factor Series Research (64) - Low-Frequency Applications of High-Frequency Data Using Intuitive Logic and Machine Learning"[20] **Evaluation**: Exhibits moderate performance with occasional strong returns[3][6] 4. **Factor Name**: Post-Open Buy Intention Intensity Factor **Construction Idea**: Measures the intensity of buy orders after market open to reflect market momentum[3][6] **Construction Process**: Referenced in the report "Stock Selection Factor Series Research (64) - Low-Frequency Applications of High-Frequency Data Using Intuitive Logic and Machine Learning"[24] **Evaluation**: Performance is inconsistent, with periods of underperformance[3][6] 5. **Factor Name**: Post-Open Large Order Net Buy Proportion Factor **Construction Idea**: Tracks the proportion of large net buy orders after market open to identify institutional activity[3][6] **Construction Process**: Derived from high-frequency trading data[30] **Evaluation**: Generally positive performance with strong returns in specific periods[3][6] 6. **Factor Name**: Post-Open Large Order Net Buy Intensity Factor **Construction Idea**: Measures the intensity of large net buy orders after market open to capture market trends[3][6] **Construction Process**: Derived from high-frequency trading data[35] **Evaluation**: Mixed results with moderate returns in some periods[3][6] 7. **Factor Name**: Improved Reversal Factor **Construction Idea**: Enhances traditional reversal factors by incorporating high-frequency data[3][6] **Construction Process**: Derived from intraday price reversals[40] **Evaluation**: Limited performance improvement over traditional reversal factors[3][6] 8. **Factor Name**: Tail-End Trading Proportion Factor **Construction Idea**: Measures the proportion of trading activity near market close to capture end-of-day effects[3][6] **Construction Process**: Derived from high-frequency trading data[45] **Evaluation**: Underperformance in most periods[3][6] 9. **Factor Name**: Average Single Transaction Outflow Proportion Factor **Construction Idea**: Tracks the proportion of outflows in single transactions to assess liquidity[3][6] **Construction Process**: Derived from high-frequency trading data[50] **Evaluation**: Limited effectiveness in predicting returns[3][6] 10. **Factor Name**: Large Order Push-Up Factor **Construction Idea**: Measures the impact of large orders on price increases to identify market movers[3][6] **Construction Process**: Derived from high-frequency trading data[55] **Evaluation**: Moderate performance with occasional strong returns[3][6] 11. **Factor Name**: Deep Learning High-Frequency Factor (Improved GRU(50,2)+NN(10)) **Construction Idea**: Combines GRU and neural networks to capture complex patterns in high-frequency data[3][6] **Construction Process**: Utilizes GRU(50,2) and NN(10) architectures for feature extraction and prediction[59] **Evaluation**: Strong performance in certain periods but underperformance in others[3][6] 12. **Factor Name**: Deep Learning High-Frequency Factor (Residual Attention LSTM(48,2)+NN(10)) **Construction Idea**: Incorporates residual attention mechanisms with LSTM and neural networks for enhanced prediction[3][6] **Construction Process**: Utilizes LSTM(48,2) and NN(10) architectures with residual attention layers[61] **Evaluation**: Consistently strong performance across multiple periods[3][6] 13. **Factor Name**: Deep Learning Factor (Multi-Granularity Model - 5-Day Label) **Construction Idea**: Uses multi-granularity modeling with 5-day labels for short-term predictions[3][6] **Construction Process**: Trained using bidirectional AGRU[64] **Evaluation**: Strong performance with high returns in most periods[3][6] 14. **Factor Name**: Deep Learning Factor (Multi-Granularity Model - 10-Day Label) **Construction Idea**: Uses multi-granularity modeling with 10-day labels for medium-term predictions[3][6] **Construction Process**: Trained using bidirectional AGRU[65] **Evaluation**: Consistently strong performance across multiple periods[3][6] AI-Enhanced Portfolio Construction 1. **Portfolio Name**: CSI 500 AI Enhanced Wide Constraint Portfolio **Construction Idea**: Maximizes expected returns under wide constraints using deep learning factors[69][70] **Construction Process**: - Weekly rebalancing - Constraints on individual stocks, industries, market cap, and other factors - Objective function: $$ max\sum\mu_{i}w_{i} $$ where \( w_i \) is the weight of stock \( i \) and \( \mu_i \) is its expected excess return[71] **Evaluation**: Strong cumulative excess returns since 2017[72] 2. **Portfolio Name**: CSI 500 AI Enhanced Strict Constraint Portfolio **Construction Idea**: Similar to the wide constraint portfolio but with stricter constraints[69][70] **Construction Process**: Same as above with stricter constraints on market cap, ROE, SUE, and volatility[71] **Evaluation**: Moderate cumulative excess returns since 2017[73] 3. **Portfolio Name**: CSI 1000 AI Enhanced Wide Constraint Portfolio **Construction Idea**: Maximizes expected returns under wide constraints using deep learning factors for smaller-cap stocks[69][70] **Construction Process**: Same as CSI 500 portfolios but applied to CSI 1000 index[71] **Evaluation**: Strong cumulative excess returns since 2017[76] 4. **Portfolio Name**: CSI 1000 AI Enhanced Strict Constraint Portfolio **Construction Idea**: Similar to the wide constraint portfolio but with stricter constraints for smaller-cap stocks[69][70] **Construction Process**: Same as above with stricter constraints on market cap, ROE, SUE, and volatility[71] **Evaluation**: Strong cumulative excess returns since 2017[79] Backtest Results for Factors 1. **Intraday Skewness Factor**: IC (2025): 0.057, Multi-Period Returns: 14.35% (2025)[3][6] 2. **Downside Volatility Proportion Factor**: IC (2025): 0.055, Multi-Period Returns: 11.77% (2025)[3][6] 3. **Post-Open Buy Intention Proportion Factor**: IC (2025): 0.033, Multi-Period Returns: 10.32% (2025)[3][6] 4. **Post-Open Buy Intention Intensity Factor**: IC (2025): 0.026, Multi-Period Returns: 11.19% (2025)[3][6] 5. **Post-Open Large Order Net Buy Proportion Factor**: IC (2025): 0.039, Multi-Period Returns: 12.32% (2025)[3][6] 6. **Post-Open Large Order Net Buy Intensity Factor**: IC (2025): 0.028, Multi-Period Returns: 6.78% (2025)[3][6] 7. **Improved Reversal Factor**: IC (2025): 0.003, Multi-Period Returns: 9.34% (2025)[3][6] 8. **Tail-End Trading Proportion Factor**: IC (2025): 0.022, Multi-Period Returns: 5.43% (2025)[3][6] 9. **Average Single Transaction Outflow Proportion Factor**: IC (2025): 0.012, Multi-Period Returns: 0.82% (2025)[3][6] 10. **Large Order Push-Up Factor

Group 1: ETF Rotation Strategy Tracking - The ETF rotation strategy, constructed using GBDT+NN machine learning factors, has shown excellent performance in out-of-sample testing, with an IC value of 20.91% and a long position excess return of 0.61% last week [2][12][13] - The strategy's annualized excess return is 11.91%, with a maximum drawdown of 17.31% and an information ratio of 0.68, indicating strong recent performance [2][18][16] - The strategy has recorded an excess return of 0.88% last week, 1.44% for the month, and 0.15% year-to-date, reflecting its recent success [2][18] Group 2: High-Frequency Factor Overview - Various high-frequency factors have demonstrated strong performance, with the price range factor achieving a long position excess return of 1.01% last week and 5.84% year-to-date [3][22] - The volume-price divergence factor has shown a long position excess return of 10.13% this year, while the regret avoidance factor has underperformed with a return of -0.30% [3][22] - The overall performance of high-frequency factors has been commendable, with the price range factor and volume-price divergence factor leading in returns [3][22] Group 3: High-Frequency Factor Performance Tracking - The price range factor measures the activity level of stocks within different price ranges, indicating investor expectations for future price movements, and has shown stable performance this year [4][25] - The volume-price divergence factor assesses the correlation between stock price and trading volume, with lower correlation suggesting higher future price increases, although its performance has been inconsistent in recent years [4][25] - The regret avoidance factor reflects investor behavior, showing stable excess returns, indicating that regret avoidance sentiment significantly impacts expected stock returns [4][25] Group 4: Combined Strategies Performance - The high-frequency "gold" combination strategy has an annualized excess return of 10.68% and a maximum drawdown of 6.04%, with recent excess returns of 0.14% last week and 5.98% year-to-date [5][54] - The high-frequency and fundamental resonance combination strategy has shown an annualized excess return of 14.98% and a maximum drawdown of 4.52%, with recent excess returns of 0.28% last week and 4.99% year-to-date [5][60]

Group 1: ETF Rotation Strategy Tracking - The ETF rotation strategy, constructed using GBDT+NN machine learning factors, has shown strong performance in out-of-sample testing, with an annualized excess return of 11.90% and a maximum drawdown of 17.31% [2][12][17] - Recent performance indicates a weekly excess return of 0.77% and a monthly excess return of 1.10%, while the year-to-date excess return stands at -0.19% [20][24] - The strategy's information ratio is 0.68, reflecting its effectiveness in generating excess returns relative to risk [24] Group 2: High-Frequency Factor Overview - High-frequency factors have demonstrated overall strong performance, with the price range factor yielding a year-to-date excess return of 4.79% and the price-volume divergence factor achieving 10.08% [3][20] - The regret avoidance factor has underperformed with a year-to-date excess return of -0.56%, while the slope convexity factor has shown a year-to-date excess return of -3.64% [3][20] - The high-frequency "gold" combination strategy has an annualized excess return of 10.69% and a maximum drawdown of 6.04% [5][60] Group 3: High-Frequency Factor Performance Tracking - The price range factor measures the activity level of stocks within different price ranges, showing strong predictive power and stable performance this year [4][28] - The price-volume divergence factor assesses the correlation between stock price and trading volume, with recent performance indicating a mixed stability [4][39] - The regret avoidance factor reflects investor behavior, showing stable out-of-sample excess returns, while the slope convexity factor illustrates the impact of order book elasticity on expected returns [4][51] Group 4: Combined Strategies Performance - The high-frequency and fundamental resonance combination strategy has an annualized excess return of 14.98% and a maximum drawdown of 4.52% [5][64] - Recent performance for this combined strategy includes a weekly excess return of 0.63% and a monthly excess return of 2.00%, with a year-to-date excess return of 4.69% [67]