国君金工团队的探索与实践：解码量化投资

解码量化投资 ——国君金工团队的探索与实践 请参阅附注免责声明1 请参阅附注免责声明2 请参阅附注免责声明3 请参阅附注免责声明4 ➪(𝑿𝒊,𝒒) 𝑿𝒊,� 𝑆𝑈𝐸𝑖,� 𝑋𝑖,�−➪ 𝑋𝑖,� = 𝜎𝑖,�   请参阅附注免责声明5  500 全市场内复合因子主要绩效指标与单因子对比 请参阅附注免责声明6  KDB+ DolphinDB  请参阅附注免责声明 7   节选自张雪杰报告《 300 沪深300 y2010 y2011 y2012 y2013 y2014 y2015 y2016 y2017 y2018 y2019 y2020 y2021 y2022 y2023 平均 1分钟ILLIQ 3.10% 0.88% -0.95% 12.14% 1.40% 26.17% 8.29% -15.66% 0.73% -7.43% -17.56% 23.74% 15.29% 18.41% 4.90% 5分钟收益率成交量领先相关性 13.78% -4.29% -2.06% 19.77% -13.66% 26.29% 10.21% -6.69% 6.56% 0.95% 1.72% 3.73% 2.51% 11.28% 5.01% 1分钟收益率峰度 11.07% 4.22% 4.56% 7.19% 28.43% 40.02% 4.72% -12.89% -1.14% -3.24% -16.26% 19.66% 11.63% 25.68% 8.83% 1分钟路径动量 22.77% -8.21% 1.25% 12.67% -5.34% 36.72% 8.44% -14.70% 0.44% 10.75% -5.73% 16.08% 6.01% 0.71% 5.85% 5分钟收益率偏度 22.58% -6.57% 0.49% 11.58% 4.16% 42.33% 5.04% -7.91% 8.56% 4.00% -3.95% 4.36% 7.91% 7.93% 7.18% 5分钟极端大收益率均值 10.64% -0.05% 6.59% 12.90% 12.40% 41.60% 2.77% -9.46% -0.24% -3.35% -11.48% 10.73% 8.11% 15.81% 6.93% 除去早盘30分钟后的涨跌幅 13.81% -3.17% 12.08% 16.92% -6.52% 37.30% 7.50% -9.30% -1.17% 13.82% -4.95% 21.94% 1.66% -3.02% 6.92% 1分钟下行波动率占比 23.25% -7.15% -0.98% 16.64% -1.30% 34.82% 5.30% -10.31% 3.19% 3.91% 0.28% 3.26% 6.15% 11.22% 6.31% 5分钟成交量偏度 7.28% -5.18% -4.20% 23.32% -4.96% 36.07% 9.15% -17.80% -1.96% -8.45% -13.86% 16.37% 19.71% 17.73% 5.23% 尾盘成交量波动率 13.32% -1.75% -9.79% 16.54% -4.89% 34.27% 4.69% -15.32% -5.27% -15.47% -19.83% 24.87% 11.82% 24.91% 4.15% 半小时成交量占比4 4.95% 3.21% -0.54% 13.26% 10.18% 27.47% 14.74% -5.70% 2.86% 1.98% -11.63% 23.43% 7.95% 9.29% 7.25% 半小时成交量占比8 6.25% 2.56% -0.27% 19.75% 5.57% 18.91% 1.15% 0.77% -0.14% 20.87% 6.10% 19.16% 2.10% -2.20% 7.18% 5分钟特质残差的峰度 24.20% 1.94% 1.32% 1.26% 12.29% 29.72% 12.89% -7.50% 11.53% -3.04% -9.57% 20.91% 17.88% 22.83% 9.76% 5分钟特质残差的偏度 23.18% -4.25% 3.53% 17.88% -3.15% 21.14% 10.71% -5.38% 10.11% 10.82% 2.10% -0.34% 4.46% 0.69% 6.54% 1分钟残差下行波动率占比 23.92% -0.73% -2.39% 16.60% 3.13% 25.45% 8.70% -5.36% 2.74% 8.09% -6.02% 6.22% -1.96% 2.48% 5.78% 成交量方差比率 7.09% 9.29% -2.23% 11.97% 3.60% 30.35% 9.40% -13.60% -1.24% -15.07% -21.36% 21.65% 13.09% 21.93% 5.35% 中证全指 y2010 y2011 y2012 y2013 y2014 y2015 y2016 y2017 y2018 y2019 y2020 y2021 y2022 y2023 平均 1分钟ILLIQ -2.12% 4.93% 23.68% 5.19% 73.85% 42.16% -17.76% 12.10% 3.03% -4.59% 41.08% 37.57% 18.35% 18.27% 5分钟收益率成交量领先相关性 -2.15% 2.44% 22.99% -5.13% 56.72% 24.30% -16.71% 10.03% 6.48% -6.83% 20.01% 16.45% 13.12% 10.90% 1分钟收益率峰度 -3.79% 1.11% 9.86% 22.68% 28.78% 26.44% -11.95% 9.66% 8.04% -3.94% 50.19% 36.45% 16.46% 14.61% 1分钟路径动量 -2.68% 1.71% 24.53% -5.55% 55.08% 20.15% -16.92% 10.86% 11.48% -11.73% 24.66% 16.04% 9.95% 10.58% 5分钟收益率偏度 -3.76% 3.20% 22.11% 7.19% 40.93% 26.56% -12.89% 19.16% 10.33% -6.26% 29.37% 23.02% 14.22% 13.32% 5分钟极端大收益率均值 -4.38% -0.64% 16.40% 1.01% 28.97% 21.06% -13.37% 3.70% 0.23% -10.78% 27.07% 17.65% 16.31% 7.94% 除去早盘30分钟后的涨跌幅 -1.20% 7.49% 34.34% 4.17% 70.36% 30.75% -13.97% 16.53% 8.15% -7.80% 27.58% 11.06% 11.04% 15.27% 1分钟下行波动率占比 -3.53% 5.10% 24.03% 4.79% 41.59% 27.10% -13.66% 17.18% 11.40% -6.59% 28.99% 21.63% 14.13% 13.24% 5分钟成交量偏度 -2.36% 5.38% 26.68% 4.36% 50.97% 31.87% -10.21% 5.35% 4.61% -5.16% 34.96% 17.64% 16.15% 14.86% 尾盘成交量波动率 -2.73% 4.09% 25.61% 3.30% 55.97% 31.18% -12.59% 4.91% -0.44% -9.23% 35.61% 25.55% 15.90% 13.62% 半小时成交量占比4 -2.12% 4.55% 27.35% 4.38% 40.04% 16.45% -11.69% 10.07% 0.40% -2.56% 28.64% 12.13% 9.32% 10.54% 半小时成交量占比8 -3.74% 0.40% 33.48% -4.13% 29.95% 10.77% -9.58% 5.45% -4.26% -3.56% 30.63% 3.74% -5.10% 6.46% 注免责 5分钟特质残差的峰度 5分钟特质残差的偏度 1分钟残差下行波动率占比 成交量方差比率 -1.15%13.20%18.60%13.24% -0.62%12.71%33.44%4.35% -1.86%9.63%26.80%3.53% -1.59%10.43%34.51%4.84% 55.38% 58.34% 46.23% 31.61% 30.78%-10.37%14.21% -10.67% -8.86% -12.78% 17.33% 16.36% 3.07% 5.06% 11.55% 10.05% -5.03% -5.07%39.17%29.16%16.45%16.8 30.21% 30.90% 29.02% -4.24% -7.34% -12.58% 27.50%21.43%12.62%16.46% 25.53%18.55%请参阅7.6附1%13.63声%明 34.24%19.38%13.84%11.46% 8   21.24% VWAP 节选自卢开庆报告《遗传规划解构与投资思考——解构机器学习系列之一》 60 1.2 1.1 1 0.9 0.8 0.7 0.6 20220104 20220124 20220218 20220310 综合模型-基准模型 20220330 20220421 20220516 20220606 20220624 20220714 20220803 20220823 20220913 20221010 20221028 基准模型 20221117 请参阅附注免责声明 20221207 20221227 20230117 20230213 20230303 20230323 综合模型 20230413 20230508 20230526 20230615 20230707 25% 20% 15% 10% 5% 0% 9 20230727    10 1.4 1.3 1.2 1.1 1 0.9 0.8 20220104 rank_icsharpe_ratioicir annual_return-max_drawdown 20220118 20220208 20220222 20220308 20220322 20220407 20220421 20220510 20220524 20220608 20220622 20220706 20220720 20220803 20220817 20220831 20220915 20220929 annual_returnwinrate 0.2rankic+0.8annual_return 20221020 20221103 20221117 20221201 20221215 20221229 20230113 样本外 20230203 20230217 20230303 20230317 10 1.4 1.35 1.3 1.25 1.2 1.15 1.1 1.05 1 20220104 sr sr_bs_sv 20220119 20220210 20220225 20220314 20220329 20220415 20220505 20220520 sr_bs sr_bs_fc_sp 20220607 20220622 20220707 20220722 20220808 20220823 20220907 sr_bs_fc sr_bs_fc_sv 20220923 20221017 20221101 请参阅附注免责声明 2022