Quantitative Factors and Construction Methods 1. Factor Name: Original ACT Factor - **Construction Idea**: The ACT factor measures the "active net buying intensity" by comparing the active buying amount with the active selling amount, reflecting the future price movement expectations of different types of traders [13][14] - **Construction Process**: - The ACT factor is calculated as follows: $$ \mathrm{ACT} = \frac{\text{Active Buy Amount} - \text{Active Sell Amount}}{\text{Active Buy Amount} + \text{Active Sell Amount}} $$ where "Active Buy Amount" and "Active Sell Amount" represent the total amounts of active buying and selling transactions, respectively [13] - The factor value for each stock is computed as the average ACT value over the past 20 trading days at the end of each month [14] - Stocks with insufficient trading days, suspension, or ST status are excluded from the sample [14] - **Evaluation**: The IC values of the original ACT factor are low, and its stock selection ability does not meet expectations, which has led to reduced research interest in this factor in recent years [14] 2. Factor Name: ACT Factor with Segmentation - **Construction Idea**: The segmentation method divides the ACT factor based on different market conditions (e.g., high-return and low-return days) to better capture the nuanced behavior of different trader groups [6][15] - **Construction Process**: - Calculate the daily ACT value over the past 20 trading days [20] - Identify the highest-return days as "high-return days" and the lowest-return days as "low-return days" [20] - Compute the average ACT value for high-return days (ACT_high) and low-return days (ACT_low) [20] - **Evaluation**: - Large and medium-sized orders show strong positive stock selection effects on high-return days, while small orders exhibit strong negative stock selection effects on low-return days [6][20] - The segmentation approach aligns with intuition, as institutional investors dominate large and medium orders, while retail investors dominate small orders [21] 3. Factor Name: ACT Positive and ACT Negative Factors - **Construction Idea**: Based on the segmentation analysis, ACT Positive focuses on large and medium orders with positive stock selection effects, while ACT Negative focuses on small orders with negative stock selection effects [7][24] - **Construction Process**: - ACT Positive: $$ \mathrm{ACT\ Positive} = \frac{\text{Active Buy Amount (Large + Medium Orders)} - \text{Active Sell Amount (Large + Medium Orders)}}{\text{Active Buy Amount (Large + Medium Orders)} + \text{Active Sell Amount (Large + Medium Orders)}} $$ - ACT Negative: $$ \mathrm{ACT\ Negative} = \frac{\text{Active Buy Amount (Small Orders)} - \text{Active Sell Amount (Small Orders)}}{\text{Active Buy Amount (Small Orders)} + \text{Active Sell Amount (Small Orders)}} $$ - The factor values are averaged over the past 20 trading days [26] - **Evaluation**: - ACT Positive demonstrates superior stock selection ability, particularly in smaller segmentation ratios (e.g., λ=10%), with a high return-to-volatility ratio [7][26] - ACT Negative shows stable return-to-volatility ratios but declining returns in recent years, reflecting the increasing dominance of large funds [7][31] --- Factor Backtesting Results 1. Original ACT Factor - **IC Values**: Gradually increase from negative to positive as the order size increases (small → medium → large → extra-large) [14] - **Stock Selection Ability**: Poor, as evidenced by the unsatisfactory multi-long-short net value curve [14] 2. ACT Positive Factor - **λ=10%**: - Multi-long-short return-to-volatility ratio: 3.06 - Multi-long return-to-volatility ratio: 0.87 [26][28] - **Performance in Neutralized Conditions**: - Multi-long-short return-to-volatility ratio: 2.40 - Multi-long return-to-volatility ratio: 0.66 [38] 3. ACT Negative Factor - **λ=10%**: - Multi-long-short return-to-volatility ratio: 0.82 - Multi-long return-to-volatility ratio: 0.73 [33] 4. ACT Positive Factor in Different Sample Spaces - **CSI 300**: - λ=20%: Multi-long-short return-to-volatility ratio: 1.32; Multi-long return-to-volatility ratio: 0.63 [44] - **CSI 500**: - λ=20%: Multi-long-short return-to-volatility ratio: 1.78; Multi-long return-to-volatility ratio: 0.80 [44]