行业轮动研究之六：量价因子在行业轮动模型中的应用

TOC\o"1-2"\h\z\u综述 5量价因子分层回测 5RSI因子 5DDE因子 9BIAS指标 12成交金额波动率 16成交量波动率 19总结及未来研究方向 22图1：RSI_5分层回测统计 6图2：RSI_20日分层回统计 7图3：RSI_60分层回测计 8图4：DDE_5日分层回测统计 9图5：DDE_10日分层测统计 10图6：DDE_20分层回统计 图7：BIAS_5分层回统计 13图8：BIAS_20分层回测统计 14图9：BIAS_60分层回测统计 15图10：成交金额波动率5日分层回测统计 16图成交金额波动率20日分层回测统计 17图12：成交金额波动率60日分层回测统计 18图13：成交量波动率5日分层回测统计 19图14：成交量波动率20日分层回测统计 20图15：成交量波动率60日分层回测统计 21表1：RSI_5历史收益统计 6表2：RSI_5分年度收益统计 6表3：RSI_20历史收益计 7表4：RSI_20分年度收统计 7表5：RSI_60历史收益计 8表6：RSI_60分年度收统计 8表7：DDE_5历史收益统计 10表8：DDE_5分年度收益统计 10表9：DDE_10历史收统计 表10：DDE_10分年度益统计 表历史收统计 12表12：DDE_20分年度益统计 12表13：BIAS_5历史收益统计 13表14：BIAS_5分年度收益统计 13表15：BIAS_20历史收益统计 14表16：BIAS_20分年度收益统计 14表17：BIAS_60历史收益统计 15表18：BIAS_60分年度收益统计 15表19：成交金额波动率5日历史收益统计 16表20：成交金额波动率5日分年度收益统计 17表21：成交金额波动率20日历史收益统计 17表22：成交金额波动率20日分年度收益统计 18表23：成交金额波动率60日历史收益统计 18表24：成交金额波动率60日分年度收益统计 19表25：成交量波动率5日历史收益统计 20表26：成交量波动率5日分年度收益统计 20表27：成交量波动率20日历史收益统计 21表28：成交量波动率20日分年度收益统计 21表29：成交量波动率60日历史收益统计 22表30：成交量波动率60日分年度收益统计 22综述本篇报告中，我们尝试将几种常见的量价因子引入行业轮动模型，并进行了分层回测。行业选择最新标准的申万一级行业，提取各指数的周度收益率，并按因子分为5组，统计其历史上的分层收益情况。下文展示了较为有效的几种因子的回测结果。量价因子分层回测RSI因子RSI又名相对强弱指标，通过统计一定时期内标的上涨和下跌幅度之和的比率，反映出标的在一定时期内的景气程度。RSI因子的计算公式为：RSI_N=A/（A+B）×100；A=N日内收盘涨幅之和；B=N。我们取N=5,20,60，构建RSI因子，根据分层回测结果显示，RSI因子分层效果明显。通过分层回测，我们发现，RSI_20的分层效果最好，第5组分层回测超额年化收益7.3%，信息比率0.704。图1：RSI_5分层回测统计资料来源：iFind，研究所表1：RSI_5历史收益统计第一组第二组第三组第四组第五组等权累计收益-46.9%32.0%94.8%169.1%162.0%67.4%年化收益-6.5%3.0%7.4%11.1%10.8%5.6%波动率23.7%23.4%24.0%23.3%23.8%22.5%最大回撤75.4%56.8%59.3%43.2%52.5%57.5%夏普比率-0.2740.1280.3070.4760.4540.251信息比率-1.590-0.4400.2740.8380.531--胜率39.5%46.0%49.9%51.9%53.2%--资料来源：iFind，研究所表2：RSI_5分年度收益统计第1组第2组第3组第4组第5组等权201425.5%33.1%35.1%30.1%56.6%36.7%2015-13.0%39.3%11.6%53.0%34.8%23.2%2016-4.1%3.9%2.3%7.6%1.6%2.0%2017-3.6%-5.2%1.7%7.8%4.6%0.8%2018-44.1%-33.5%-30.6%-25.5%-26.9%-31.3%201922.0%30.7%28.0%30.1%20.2%27.1%20206.2%5.7%36.2%34.1%41.2%22.7%2021-9.9%-7.4%9.8%13.0%18.2%6.8%2022-14.4%-9.9%0.8%-9.7%-26.3%-12.1%2023-6.0%-5.8%-7.4%-12.0%8.0%-3.7%资料来源：iFind，研究所图2：RSI_20日分层回测统计资料来源：iFind，研究所表3：RSI_20历史收益统计第一组第二组第三组第四组第五组等权累计收益-2.4%-6.6%74.1%127.5%212.4%67.4%年化收益-0.3%-0.7%6.1%9.1%12.9%5.6%波动率22.9%23.5%23.9%23.5%24.8%22.5%最大回撤61.8%65.5%55.6%52.7%54.7%57.5%夏普比率-0.011-0.0310.2550.3890.5190.251信息比率-0.740-1.0740.0660.4970.704--胜率44.8%42.7%48.7%51.3%51.7%--资料来源：iFind，研究所表4：RSI_20分年度收益统计第1组第2组第3组第4组第5组等权201424.3%26.8%39.4%35.2%53.7%36.7%201515.2%28.9%34.2%18.5%16.8%23.2%2016-1.7%4.0%-0.8%6.1%0.9%2.0%2017-3.5%-8.6%0.6%6.7%10.4%0.8%2018-34.8%-35.5%-32.9%-30.6%-21.9%-31.3%201924.7%20.9%19.8%44.8%19.6%27.1%20201.1%1.9%18.1%31.6%64.0%22.7%2021-1.0%-5.6%6.7%8.6%22.5%6.8%2022-10.3%-16.1%-0.3%-6.5%-20.1%-12.1%2023-1.6%-4.5%-7.6%-6.6%4.4%-3.7%资料来源：iFind，研究所图3：资料来源：iFind，研究所表5：RSI_60历史收益统计第一组第二组第三组第四组第五组等权累计收益18.1%44.6%80.9%58.9%103.7%67.4%年化收益1.8%4.0%6.5%5.1%7.9%5.6%波动率22.9%23.3%23.5%24.0%24.8%22.5%最大回撤60.1%60.9%52.8%59.9%60.4%57.5%夏普比率0.0780.1710.2770.2110.3170.251信息比率-0.465-0.2620.149-0.0840.216--胜率42.5%49.3%52.8%50.9%50.1%--资料来源：iFind，研究所表6：RSI_60分年度收益统计第1组第2组第3组第4组第5组等权201432.7%38.0%21.0%34.2%52.3%36.7%201527.3%31.2%32.0%20.5%2.4%23.2%2016-0.8%2.8%5.8%3.8%-1.3%2.0%2017-6.9%-5.9%0.2%-0.3%13.6%0.8%2018-33.7%-32.7%-30.1%-31.4%-30.8%-31.3%201916.7%23.8%18.0%37.7%30.2%27.1%2020-6.9%13.1%32.0%22.6%56.8%22.7%20218.9%1.8%5.8%18.9%5.4%6.8%2022-2.5%-10.5%-7.2%-24.6%-17.8%-12.1%2023-1.0%-3.8%-0.1%-8.4%-4.8%-3.7%资料来源：iFind，研究所DDE因子DDEDDE指标为正值,则代表买盘力量较强,相反,DDE,DDE当日DDE=（）×日DDEN=5,20,60DDEDDEDDE_1056.6%0.837。图4：DDE_5日分层回测统计资料来源：iFind，研究所表7：第一组第二组第三组第四组第五组等权累计收益42.2%30.6%42.5%86.2%143.5%67.4%年化收益3.8%2.9%3.8%6.8%9.9%5.6%波动率25.1%23.9%23.0%22.5%23.0%22.5%最大回撤60.8%65.5%58.3%54.3%49.3%57.5%夏普比率0.1520.1210.1670.3040.4320.251信息比率-0.229-0.489-0.2770.1850.521--胜率49.9%47.9%45.0%50.7%51.9%--资料来源：iFind，研究所表8：DDE_5分年度收益统计第1组第2组第3组第4组第5组等权201431.1%37.3%27.2%39.8%49.8%36.7%201513.2%15.1%28.2%17.6%39.3%23.2%2016-3.5%-0.7%7.9%-0.8%5.3%2.0%2017-2.2%-9.5%-3.9%6.6%8.1%0.8%2018-29.9%-33.3%-35.7%-30.8%-26.4%-31.3%201934.4%28.9%23.7%13.5%31.4%27.1%202038.1%17.4%11.1%14.7%29.1%22.7%20214.4%9.5%5.5%32.2%-5.1%6.8%2022-16.0%-17.1%-0.2%-5.1%-16.2%-12.1%2023-11.1%0.3%-9.5%-5.2%3.3%-3.7%资料来源：iFind，研究所图5：DDE_10日分层回测统计第一组第二组第三组第四组第五组等权累计收益-11.5%66.4%29.6%93.8%195.7%67.4%年化收益-1.3%5.6%2.8%7.3%12.2%5.6%波动率25.3%23.8%23.3%22.6%22.5%22.5%最大回撤64.6%62.4%57.7%51.3%51.8%57.5%夏普比率-0.0510.2340.1200.3220.5440.251信息比率-0.875-0.012-0.4100.2540.8370.000胜率43.4%47.9%45.4%50.3%54.4%0.0%资料来源：iFind，研究所表10：DDE_10分年度收益统计第1组第2组第3组第4组第5组等权201423.5%40.8%34.2%38.3%47.2%36.7%201514.1%18.8%34.1%21.9%22.4%23.2%2016-2.6%4.5%4.7%-1.3%6.3%2.0%2017-8.2%-3.9%-2.6%2.5%10.5%0.8%2018-36.8%-34.5%-34.9%-19.7%-28.7%-31.3%201924.4%29.8%26.1%19.7%38.3%27.1%202031.2%23.1%14.3%8.4%35.2%22.7%2021-3.8%10.9%-5.9%20.7%9.0%6.8%2022-20.0%-20.4%-8.5%-7.3%-1.9%-12.1%2023-11.4%7.2%-12.7%-2.4%-2.1%-3.7%资料来源：iFind，研究所图6：DDE_20分层回测统计表11：第一组第二组第三组第四组第五组等权累计收益-14.8%83.8%77.6%49.5%189.4%67.4%年化收益-1.7%6.7%6.3%4.4%12.0%5.6%波动率25.3%24.0%23.1%22.4%22.3%22.5%最大回撤66.4%59.3%58.7%50.0%50.6%57.5%夏普比率-0.0670.2790.2730.1950.5360.251信息比率-0.9160.1790.095-0.1960.860--胜率46.8%46.8%49.5%46.8%54.8%--资料来源：iFind，研究所表12：DDE_20分年度收益统计第1组第2组第3组第4组第5组等权201419.3%42.3%35.0%36.1%39.3%36.7%20153.2%33.8%18.7%28.0%31.2%23.2%2016-1.3%1.8%3.8%1.8%2.4%2.0%2017-5.1%-6.1%2.8%7.0%10.1%0.8%2018-37.9%-33.6%-33.2%-28.4%-22.7%-31.3%201932.1%27.7%30.2%18.2%23.9%27.1%202032.2%24.8%16.7%0.7%43.6%22.7%2021-6.3%14.4%12.1%7.5%13.0%6.8%2022-21.2%-15.1%-8.2%-10.4%-5.9%-12.1%2023-7.8%-1.8%-0.6%-4.1%-3.8%-3.7%资料来源：iFind，研究所BIAS指标乖离率（BSBIAS指数的计算公式为：BIAS_N=[(当日收盘价-N日平均价)/N日平均价]*100%BIAS58.1%0.776。图7：BIAS_5分层回测统计资料来源：iFind，研究所表13：BIAS_5历史收益统计第一组第二组第三组第四组第五组等权累计收益6.0%34.3%99.2%33.9%219.0%67.4%年化收益0.6%3.2%7.6%3.2%13.1%5.6%波动率24.7%23.2%23.7%23.4%23.5%22.5%最大回撤71.3%58.1%56.2%64.0%35.6%57.5%夏普比率0.0250.1370.3200.1350.5580.251信息比率-0.576-0.4170.306-0.3780.799--胜率44.4%44.4%51.1%46.8%54.4%--资料来源：iFind，研究所表14：BIAS_5分年度收益统计第1组第2组第3组第4组第5组等权201440.6%22.5%29.7%40.2%53.7%36.7%2015-1.7%18.5%31.3%19.5%56.5%23.2%2016-6.8%6.3%9.6%-4.5%3.2%2.0%2017-5.2%-9.8%-1.5%3.5%14.7%0.8%2018-32.4%-30.1%-31.7%-34.0%-28.7%-31.3%201936.7%25.0%38.8%12.2%24.9%27.1%202016.5%32.0%16.3%15.8%34.7%22.7%2021-5.2%3.5%15.2%14.9%7.2%6.8%2022-1.8%-15.2%-8.1%-13.6%-21.1%-12.1%2023-13.5%-4.8%-7.2%-5.0%10.6%-3.7%资料来源：iFind，研究所图8：BIAS_20分层回测统计资料来源：iFind，研究所表15：BIAS_20历史收益统计第一组第二组第三组第四组第五组等权累计收益-31.0%11.9%36.5%157.4%234.2%67.4%年化收益-3.9%1.2%3.4%10.6%13.7%5.6%波动率24.3%23.1%23.4%23.9%24.2%22.5%最大回撤71.7%55.7%58.2%55.1%49.4%57.5%夏普比率-0.1600.0520.1440.4430.5660.251信息比率-1.117-0.728-0.3600.7140.776--胜率41.7%44.8%46.0%54.4%52.8%--资料来源：iFind，研究所表16：BIAS_20分年度收益统计第1组第2组第3组第4组第5组等权201421.7%22.9%31.6%51.0%56.0%36.7%20151.2%28.4%33.5%22.4%31.8%23.2%20164.9%2.0%0.8%2.9%3.5%2.0%2017-6.0%-3.7%2.5%5.8%7.1%0.8%2018-42.5%-28.1%-31.8%-29.9%-27.7%-31.3%201921.1%22.7%13.8%37.4%28.2%27.1%20203.7%6.2%15.6%28.5%58.2%22.7%2021-6.4%-4.9%2.7%30.9%13.8%6.8%2022-16.6%-11.8%-10.1%-8.8%-18.5%-12.1%20230.8%-8.1%-9.3%-13.4%8.0%-3.7%资料来源：iFind，研究所图9：BIAS_60分层回测统计资料来源：iFind，研究所表17：BIAS_60历史收益统计第一组第二组第三组第四组第五组等权累计收益47.9%2.2%79.7%111.2%127.1%67.4%年化收益4.3%0.2%6.4%8.3%9.1%5.6%波动率23.8%23.4%23.1%23.7%24.8%22.5%最大回撤55.6%66.3%54.8%52.2%57.0%57.5%夏普比率0.1780.0100.2780.3490.3680.251信息比率-0.156-0.9160.1290.3820.316--胜率49.9%45.0%51.5%51.3%50.5%--资料来源：iFind，研究所表18：BIAS_60分年度收益统计第1组第2组第3组第4组第5组等权201428.3%35.0%33.6%25.2%55.7%36.7%201529.2%19.7%35.8%33.4%0.5%23.2%20162.5%-2.0%8.9%6.4%-0.7%2.0%2017-2.3%-8.0%-5.6%4.6%11.9%0.8%2018-30.0%-34.9%-36.4%-31.0%-24.5%-31.3%201930.9%17.4%24.0%39.9%28.1%27.1%20200.0%5.2%27.4%24.4%68.3%22.7%20214.1%4.2%0.3%19.4%6.0%6.8%2022-6.3%-14.9%-5.4%-9.0%-22.2%-12.1%2023-0.3%-1.5%1.0%-13.0%-2.7%-3.7%资料来源：iFind，研究所成交金额波动率成交金额波动率是过去N我们取N=5,20,60，构建成交金额波动率指标，根据分层回测结果显示，成交金额波动率指标分层效果明显。53.7%0.557。图10：成交金额波动率5日分层回测统计资料来源：iFind，研究所表19：成交金额波动率5日历史收益统计第一组第二组第三组第四组第五组等权累计收益-11.8%62.5%30.4%100.7%124.9%54.4%年化收益-0.9%3.7%2.0%5.3%6.2%3.3%波动率24.3%23.4%23.0%22.5%22.2%22.1%最大回撤65.2%55.8%56.3%49.9%55.1%57.2%夏普比率-0.0380.1580.0870.2370.2800.148信息比率-0.5000.067-0.2030.3300.433--胜率45.5%49.8%47.2%51.8%53.1%--资料来源：iFind，研究所第1组第2组第3组第4组第5组等权201460.3%42.8%53.7%41.2%19.4%36.7%2015-2.7%27.1%31.5%39.7%34.4%23.2%2016-1.3%3.2%-5.3%13.9%2.7%2.0%2017-5.5%-0.8%8.9%2.6%-2.6%0.8%2018-32.4%-32.7%-28.3%-33.6%-27.9%-31.3%201939.8%29.3%19.1%22.1%23.6%27.1%202023.3%35.1%20.8%15.4%30.8%22.7%20213.7%2.6%-6.1%17.3%13.9%6.8%2022-22.1%-17.6%-15.2%-4.6%0.4%-12.1%2023-7.3%2.4%-7.2%-1.9%-4.7%-3.7%资料来源：iFind，研究所图11：成交金额波动率20日分层回测统计资料来源：iFind，研究所表21：成交金额波动率20日历史收益统计第一组第二组第三组第四组第五组等权累计收益5.1%70.1%16.7%86.5%161.1%61.9%年化收益0.4%4.1%1.2%4.8%7.4%3.7%波动率24.3%23.1%23.0%23.0%22.2%22.1%最大回撤62.5%60.5%63.6%49.6%51.9%57.2%夏普比率0.0150.1760.0500.2070.3360.166信息比率-0.3990.069-0.3990.1680.557--胜率46.6%49.1%47.1%47.8%51.7%--资料来源：iFind，研究所表22：成交金额波动率第1组第2组第3组第4组第5组等权201458.1%42.5%47.9%35.0%26.6%36.7%2015-1.6%30.8%25.7%19.4%42.1%23.2%2016-3.7%2.9%-1.7%11.3%6.5%2.0%20172.2%-9.1%4.4%14.2%-2.8%0.8%2018-35.0%-29.1%-36.7%-29.3%-24.5%-31.3%201933.0%25.2%29.5%29.1%24.6%27.1%202028.6%35.8%6.1%12.1%24.7%22.7%2021-2.4%18.2%0.0%13.3%9.5%6.8%2022-17.4%-20.0%-17.7%-5.4%-1.9%-12.1%2023-1.0%-0.9%-0.8%-9.0%-3.6%-3.7%资料来源：iFind，研究所图12：成交金额波动率60日分层回测统计资料来源：iFind，研究所表23：成交金额波动率60日历史收益统计第一组第二组第三组第四组第五组等权累计收益-6.2%56.5%37.9%63.4%67.5%48.3%年化收益-0.5%3.4%2.5%3.8%4.0%3.0%波动率24.6%23.3%22.9%22.6%22.5%22.2%最大回撤63.0%55.0%63.3%49.4%59.5%57.2%夏普比率-0.020.1480.1070.1680.1770.137信息比率-0.4170.074-0.0840.1180.134--胜率45.9%50.3%51.5%49.6%51.3%--资料来源：iFind，研究所表24：成交金额波动率60日分年度收益统计第1组第2组第3组第4组第5组等权201444.8%56.5%38.9%36.9%31.0%36.7%20155.1%28.3%6.1%38.6%35.1%23.2%2016-2.4%-0.9%1.7%9.1%2.8%2.0%2017-3.1%6.3%-1.8%8.2%-3.9%0.8%2018-35.9%-29.3%-34.5%-33.0%-29.2%-31.3%201942.3%18.3%37.0%23.9%27.0%27.1%202022.1%37.6%16.3%7.3%31.4%22.7%2021-2.7%20.3%-5.3%17.4%2.5%6.8%2022-19.3%-21.0%-1.3%-16.6%-5.6%-12.1%20230.2%-3.6%-4.8%-6.9%-3.4%-3.7%资料来源：iFind，研究所成交量波动率成交量波动率是过去N日成交金量标准差的相反数，波动率最小组为值最大组，波动率最大组为值最小组。我们取N=5,20,60，构建成交量波动率指标，根据分层回测结果显示，成交量波动率指标分层效果明显。56.7%0.893。图13：成交量波动率5日分层回测统计表25：成交量波动率5日历史收益统计第一组第二组第三组第四组第五组等权累计收益-0.8%18.0%14.1%80.8%145.4%48.3%年化收益-0.1%1.3%1.0%4.6%7.0%3.0%波动率23.8%23.1%23.0%23.1%23.1%22.2%最大回撤54.2%62.6%62.7%53.2%49.7%57.2%夏普比率-0.0020.0540.0440.1990.3040.137信息比率-0.364-0.308-0.3320.2480.519--胜率46.1%46.1%48.0%52.8%53.6%--资料来源：iFind，研究所表26：成交量波动率5日分年度收益统计第1组第2组第3组第4组第5组等权201472.1%46.0%47.2%29.4%22.6%36.7%20158.1%21.8%13.7%44.0%36.6%23.2%20162.8%-0.6%-1.7%3.2%4.5%2.0%20171.7%-2.6%-3.2%7.7%-0.5%0.8%2018-29.5%-34.5%-30.4%-31.3%-25.4%-31.3%201925.9%22.1%26.1%28.9%32.5%27.1%202015.0%21.6%21.5%16.5%41.0%22.7%20215.7%11.5%1.6%11.2%0.6%6.8%2022-30.5%-10.7%-13.6%-3.8%0.0%-12.1%2023-6.3%-0.2%-5.1%-6.6%-2.4%-3.7%资料来源：iFind，研究所图14：成交量波动率20日分层回测统计表27：成交量波动率20日历史收益统计第一组第二组第三组第四组第五组等权累计收益10.3%5.5%42.7%75.7%180.3%48.3%年化收益0.7%0.4%2.7%4.4%8.1%3.0%波动率23.4%22.9%23.3%23.2%23.0%22.2%最大回撤60.3%59.7%58.2%57.7%49.0%57.2%夏普比率0.0320.0180.1170.1880.3530.137信息