Quantitative Factors and Construction Methods - **Factor Name**: TPS (Turn20 conformed by PLUS) **Factor Construction Idea**: The TPS factor is designed to improve the traditional turnover rate factor by incorporating price information, specifically the shadow difference (representing intraday market sentiment), to address the limitations of the traditional turnover rate factor[6][9] **Factor Construction Process**: 1. The traditional turnover rate factor (Turn20) is calculated as the average turnover rate over the past 20 trading days, followed by cross-sectional market capitalization neutralization[6] 2. The TPS factor integrates the shadow difference as a price factor to complement the Turn20 factor, leveraging intraday price movements (e.g., opening and closing prices) to better capture market sentiment[9] **Factor Evaluation**: The TPS factor significantly outperforms traditional turnover rate factors in terms of performance and maintains strong stock selection ability even after removing common style and industry effects[6][9] - **Factor Name**: SPS (STR conformed by PLUS) **Factor Construction Idea**: Similar to TPS, the SPS factor improves the STR (Stable Turnover Rate) factor by incorporating price information (shadow difference) to enhance its effectiveness in stock selection[9] **Factor Construction Process**: 1. The STR factor was initially developed to address the limitations of the Turn20 factor, focusing on turnover rate stability rather than magnitude[7] 2. The SPS factor further integrates the shadow difference as a price factor to complement the STR factor, using intraday price movements to better reflect market sentiment[9] **Factor Evaluation**: The SPS factor demonstrates superior performance compared to both the traditional Turn20 and STR factors, with strong stock selection capabilities even after removing style and industry biases[9] Factor Backtesting Results - **TPS Factor**: - Annualized Return: 39.30% - Annualized Volatility: 15.71% - IR: 2.50 - Monthly Win Rate: 77.64% - Maximum Drawdown: 18.19%[1][11] - **SPS Factor**: - Annualized Return: 42.98% - Annualized Volatility: 13.15% - IR: 3.27 - Monthly Win Rate: 83.54% - Maximum Drawdown: 11.58%[1][12][14]

Quantitative Models and Factor Construction Quantitative Models and Construction Methods Model Name: TPS (Turnover Price Stability) - **Model Construction Idea**: The TPS factor is constructed from the perspective of examining the stability of daily turnover rates, aiming to improve the traditional turnover rate factor by incorporating price factors[1][9]. - **Model Construction Process**: - Calculate the average turnover rate over the past 20 trading days (Turn20). - Neutralize the turnover rate by market capitalization. - Use the shadow difference as the price factor to pair with the Turn20 factor. - Construct the TPS factor by combining the turnover rate and the price factor[6][9]. - **Model Evaluation**: The TPS factor significantly outperforms traditional turnover rate factors and maintains good stock-picking ability even after removing market style and industry interference[1][9]. Model Name: SPS (Stable Price Stability) - **Model Construction Idea**: Similar to the TPS factor, the SPS factor is constructed from the perspective of examining the stability of daily turnover rates, aiming to improve the traditional turnover rate factor by incorporating price factors[1][9]. - **Model Construction Process**: - Calculate the average turnover rate over the past 20 trading days (Turn20). - Neutralize the turnover rate by market capitalization. - Use the shadow difference as the price factor to pair with the Turn20 factor. - Construct the SPS factor by combining the turnover rate and the price factor[6][9]. - **Model Evaluation**: The SPS factor significantly outperforms traditional turnover rate factors and maintains strong stock-picking ability even after removing market style and industry interference[1][9]. Model Backtesting Results TPS Model - **Annualized Return**: 39.34%[1][11] - **Annualized Volatility**: 15.74%[1][11] - **Information Ratio (IR)**: 2.50[1][11] - **Monthly Win Rate**: 77.54%[1][11] - **Maximum Drawdown**: 18.19%[1][11] SPS Model - **Annualized Return**: 43.18%[1][12] - **Annualized Volatility**: 13.16%[1][12] - **Information Ratio (IR)**: 3.28[1][12] - **Monthly Win Rate**: 83.47%[1][12] - **Maximum Drawdown**: 11.58%[1][12] Factor Backtesting Results TPS Factor - **10-Group Long Portfolio Return**: 4.09%[1][12] - **10-Group Short Portfolio Return**: -1.73%[1][12] - **10-Group Long-Short Portfolio Return**: 5.82%[1][12] SPS Factor - **10-Group Long Portfolio Return**: 4.22%[1][14] - **10-Group Short Portfolio Return**: -0.78%[1][14] - **10-Group Long-Short Portfolio Return**: 5.00%[1][14]

Quantitative Factors and Construction Methods 1. Factor Name: TPS (Turn20 conformed by PLUS) - **Factor Construction Idea**: The TPS factor is designed to improve the traditional turnover rate factor by incorporating price-volume dynamics and addressing the stability of daily turnover rates. It uses shadow line differences as a price factor to complement the turnover rate factor, aiming to better capture market sentiment and improve stock selection performance[6][9]. - **Factor Construction Process**: 1. The traditional turnover rate factor (Turn20) is calculated as the average turnover rate over the past 20 trading days, followed by cross-sectional market capitalization neutralization[6]. 2. The TPS factor integrates the shadow line difference as a price factor to complement Turn20. The shadow line difference is used to represent intraday market sentiment, as it reflects the difference between the opening and closing prices[9]. 3. The final TPS factor is constructed by combining the Turn20 factor with the shadow line difference, using a double-group scoring method to optimize the results[9]. - **Factor Evaluation**: The TPS factor significantly outperforms traditional turnover rate factors in terms of stock selection ability. It remains effective even after removing the influence of common market styles and industry factors[1][9]. 2. Factor Name: SPS (STR conformed by PLUS) - **Factor Construction Idea**: Similar to the TPS factor, the SPS factor is designed to improve the traditional turnover rate factor by incorporating price-volume dynamics and addressing the stability of daily turnover rates. It also uses shadow line differences as a price factor to complement the STR (Stable Turnover Rate) factor[9]. - **Factor Construction Process**: 1. The STR factor was introduced to address the limitations of the traditional Turn20 factor, focusing on the stability of turnover rates. However, it still exhibited monotonicity issues in group standard deviations[7]. 2. The SPS factor integrates the shadow line difference as a price factor to complement the STR factor. The shadow line difference is used to better represent intraday market sentiment[9]. 3. The final SPS factor is constructed by combining the STR factor with the shadow line difference, using a double-group scoring method to optimize the results[9]. - **Factor Evaluation**: The SPS factor demonstrates strong stock selection ability, outperforming both the traditional turnover rate and STR factors. It remains effective after removing the influence of common market styles and industry factors[1][9]. --- Factor Backtesting Results 1. TPS Factor - **Annualized Return**: 39.56%[1][10] - **Annualized Volatility**: 15.70%[1][10] - **Information Ratio (IR)**: 2.52[1][10] - **Monthly Win Rate**: 77.78%[1][10] - **Maximum Drawdown**: 18.19%[1][10] - **July 2025 Performance**: - Long Portfolio Return: 0.96% - Short Portfolio Return: -0.04% - Long-Short Portfolio Return: 1.00%[1][12] 2. SPS Factor - **Annualized Return**: 43.26%[1][12] - **Annualized Volatility**: 13.15%[1][12] - **Information Ratio (IR)**: 3.29[1][12] - **Monthly Win Rate**: 83.76%[1][12] - **Maximum Drawdown**: 11.58%[1][12] - **July 2025 Performance**: - Long Portfolio Return: 1.22% - Short Portfolio Return: -0.14% - Long-Short Portfolio Return: 1.09%[1][14]

Investment Rating - The industry investment rating is "增持" (Overweight), indicating an expectation that the industry index will outperform the benchmark by more than 5% in the next six months [22]. Core Insights - The TPS factor has an annualized return of 39.50% with a volatility of 15.79%, an information ratio of 2.50, a monthly win rate of 77.39%, and a maximum drawdown of 18.19% from January 2006 to April 2025 [11][12]. - The SPS factor has an annualized return of 43.08% with a volatility of 13.17%, an information ratio of 3.27, a monthly win rate of 83.48%, and a maximum drawdown of 11.58% during the same period [11][12]. - In April 2025, the TPS factor's long portfolio yielded a return of 0.48%, while the short portfolio had a return of -4.59%, resulting in a total long-short return of 5.07% [14][15]. - For the SPS factor in April 2025, the long portfolio returned 0.55%, the short portfolio returned -4.81%, leading to a total long-short return of 5.36% [14][15]. Summary by Sections TPS Factor Performance - The TPS factor was constructed to improve the traditional turnover rate factor by focusing on the stability of daily turnover rates. It significantly outperformed traditional turnover rate factors during the backtesting period [9][10]. - The TPS factor's performance metrics from January 2006 to April 2025 include an annualized return of 39.50%, annualized volatility of 15.79%, and a monthly win rate of 77.39% [11][12]. SPS Factor Performance - The SPS factor was also designed to enhance the traditional turnover rate factor, focusing on daily turnover rate stability. It has shown superior performance compared to traditional factors [9][10]. - The SPS factor's performance metrics from January 2006 to April 2025 include an annualized return of 43.08%, annualized volatility of 13.17%, and a monthly win rate of 83.48% [11][12].

Quantitative Factors and Construction Methods - **Factor Name**: TPS (Turn20 conformed by PLUS) **Factor Construction Idea**: The TPS factor is designed to improve the traditional turnover rate factor by incorporating price-volume dynamics and focusing on the stability of daily turnover rates. It aims to address the deficiencies of traditional turnover rate factors, such as misjudging stocks with high turnover rates but large intra-group return variances [6][7][9] **Factor Construction Process**: 1. The traditional turnover rate factor (Turn20) is calculated as the average turnover rate over the past 20 trading days, followed by cross-sectional market capitalization neutralization [6] 2. The TPS factor integrates the shadow line difference (representing intraday market sentiment) as a price factor to complement the turnover rate factor [9] 3. The final TPS factor is constructed using a dual-group scoring method based on daily frequency data [9] **Factor Evaluation**: The TPS factor demonstrates significantly better performance than traditional turnover rate factors, even after removing the influence of common market styles and industry effects. It shows strong stock selection capabilities [6][9] - **Factor Name**: SPS (STR conformed by PLUS) **Factor Construction Idea**: Similar to TPS, the SPS factor improves the traditional turnover rate factor by incorporating price-volume dynamics and focusing on the stability of daily turnover rates. It also uses the shadow line difference as a price factor to enhance the turnover rate factor [9] **Factor Construction Process**: 1. The traditional STR (Stable Turnover Rate) factor was developed to address the deficiencies of Turn20 by focusing on turnover rate stability. However, it still failed to eliminate the monotonicity issue in intra-group standard deviations [7] 2. The SPS factor integrates the shadow line difference as a price factor to complement the STR factor, using a dual-group scoring method based on daily frequency data [9] **Factor Evaluation**: The SPS factor outperforms both the traditional Turn20 and STR factors, demonstrating strong stock selection capabilities even after removing market style and industry effects [9] Factor Backtesting Results - **TPS Factor**: - Annualized Return: 39.50% - Annualized Volatility: 15.79% - IR: 2.50 - Monthly Win Rate: 77.39% - Maximum Drawdown: 18.19% [1][11] - **SPS Factor**: - Annualized Return: 43.08% - Annualized Volatility: 13.17% - IR: 3.27 - Monthly Win Rate: 83.48% - Maximum Drawdown: 11.58% [1][12][14] - **April 2025 Performance**: - TPS Factor: - Long Portfolio Return: 0.48% - Short Portfolio Return: -4.59% - Long-Short Portfolio Return: 5.07% [1][14] - SPS Factor: - Long Portfolio Return: 0.55% - Short Portfolio Return: -4.81% - Long-Short Portfolio Return: 5.36% [1][15]