海量Level2数据因子挖掘系列：从高频撤单信息中构建因子

图表索引图1：撤单分类示图 6图2：年度撤单量成交量变化 7图3：年度部分撤占比变化 7图4：rel_count_per_active_minute因子-RankIC 11图5：rel_count_per_active_minute因子-十分档收益 11图6：rel_count_per_active_minute因子十分档多头组合净值现 11图7：time_open_count_share因子-RankIC 12图8：time_open_count_share因子-十分档益 12图9：time_open_count_share因子十分档多头组净值表现 12图10：time_close_minus_open_count_share因子-RankIC 13图11：time_close_minus_open_count_share因子-十分档收益 13图12：time_close_minus_open_count_share因子十分档多头组合净值表现 13图13：time_afternoon_vol_share因子-RankIC 14图14：time_afternoon_vol_share因子-十分档收益 14图15：time_afternoon_vol_share因子十分档多头组净值现 14图16：spec_share_within_normal_count因子-RankIC 15图17：spec_share_within_normal_count因子-十分档收益 15图18：spec_share_within_normal_count因子十分档多头组净值表现 15图19：fast_normal_switch_rate_diff_vol因子-RankIC 16图20：fast_normal_switch_rate_diff_vol因子-十分档益 16图21：fast_normal_switch_rate_diff_vol因子十分档多头组净值表现 16图22：fast_normal_avg_run_length_diff_vol因子-RankIC 17图23：fast_normal_avg_run_length_diff_vol因子-十分档收益 17图24：fast_normal_avg_run_length_diff_vol因子十分档多头合净值表现 17表1：Level1与Level2主要行情数据对比 5表2：撤单类原始子20日现统计 8表3：撤单类平滑子20日现统计 9表4：rel_count_per_active_minute因子十分档多头组合分年表现统计 11表5：time_open_count_share因子十分档多头组分年度表统计 12表6：time_close_minus_open_count_share因子十分档多头合分年度表现统计 13表7：time_afternoon_vol_share因子十分档多头组分年度现统计 14表8：spec_share_within_normal_count因子十分档多头组合年度表现统计 15表9：fast_normal_switch_rate_diff_vol因子十分档多头组合年度表现统计 16表10：fast_normal_avg_run_length_diff_vol因子十分档多头合分年度表现统计 17表11：撤单类因子和Barra格因子之间的相关性 18表12：因子内部相关性析 18一、Level1与Level2行情数据介绍如何能在股票市场的博弈中胜出？关键在于对市场信息的掌握和对市场规律的理解。对于量化投资者来Level1Level2数据。如表113（Snapshot）55而相比l1el2（st）101050Level1（Tick）Level2Level2Level2表1：Level1与Level2主要行情数据对比快照数据申买量/申卖量5申买量/申卖量5档10档最优买/卖价前50笔委托申买/申卖委托笔数买入/卖出最大等待时间（仅上交所）买方/卖方委托价位数（仅上交所）买入/卖出撤单笔数（仅上交所）买入/卖出撤单数量（仅上交所）买入/卖出撤单金额（仅上交所）买入/卖出总笔数（仅上交所）时间（精确到毫秒）逐笔序号频道代码逐笔订单数据价格（Tick）数量金额买入订单号卖出订单号

委买量/委卖量 数据类别 数据名称Level1Level2时间最快3秒一笔最快3数据类别 数据名称Level1Level2时间最快3秒一笔最快3秒一笔最高价最低价开盘价收盘价成交数量成交金额成交笔数订单类别 （委托/成交/撤单）数据来源：通联数据、广发证券发展研究中心二、从撤单中构建因子图1：撤单分类示意图数据来源：广发证券发展研究中心撤单在交易中发生极为普遍。以2019年以来的全市场数据看，撤单量与成交量基本处于同一量级，撤单11从年度趋势看，2019–202190%，2022年起两者基本持平，2024年后撤单图2：年度撤单量与成交量变化日均撤单量（亿股） 日均成交量（亿股） 日均撤单量/日均成交量（右轴）1,600 110.00%

800 95.00%

02019

2020

2021

2022

2023

2024

2025

2026

80.00%数据来源：Wind、通联数据、广发证券发展研究中心图3：年度部分撤单占比变化部分撤单笔数占比 部分撤单量占比9.00%8.00%7.00%6.00%5.00%4.00%3.00%2.00%1.00%0.00%2019 2020 2021 2022 2023 2024 2025 2026数据来源：通联数据、广发证券发展研究中心20190101~20260630RankICdiag_log_cancel_count-9.24%72.87%diag_log_cancel_vol-7.33%71.53%diag_log_cancel_count-9.24%72.87%diag_log_cancel_vol-7.33%71.53%diag_log_cancel_vol_tot-7.09%69.36%rel_active_minute_share-8.42%75.88%rel_avg_cancel_vol-0.53%53.13%rel_cancel_count_entropy-1.80%58.02%rel_cancel_vol_entropy-4.95%69.08%rel_vol_per_active_minute-7.18%71.09%buy_sell_fast_propensity_diff_count-0.68%58.38%buy_sell_fast_propensity_diff_vol-1.15%60.45%buy_sell_partial_propensity_diff_count0.54%55.65%buy_sell_partial_propensity_diff_vol-0.02%48.13%fast_count_imb_buy_sell-0.86%59.92%part_success_ratio_imb_buy_sell0.70%62.51%part_vol_imb_buy_sell-0.30%49.86%side_buy_avg_vol_vs_sell0.81%57.81%side_buy_count_share-0.24%52.99%side_buy_vol_share1.25%60.12%side_count_imb_buy_sell-0.18%52.53%side_vol_imb_buy_sell1.33%60.67%part_afternoon_vol_share0.29%51.63%part_avg_cancel_vol_vs_nonpart-3.99%72.87%part_avg_success_vol_vs_cancel_vol-0.47%57.07%part_buy_count_share0.52%53.67%part_buy_vol_share-0.22%49.73%part_close_count_share1.86%63.99%part_close_minus_open_count_share1.05%57.05%part_count_share0.41%54.21%part_minute_entropy7.46%77.83%part_open_count_share-0.58%53.31%part_success_to_cancel_vol-0.35%56.25%part_vol_share-1.33%53.04%time_open_count_share-3.55%71.36%time_close_minus_open_count_share3.80%72.76%time_afternoon_vol_share2.03%66.35%fast_afternoon_surprise_count-0.99%62.28%fast_afternoon_surprise_vol-0.45%56.99%fast_close_surprise_count-0.41%51.51%fast_close_surprise_vol0.63%58.53%fast_normal_intraday_shift_diff_count0.15%52.92%fast_normal_intraday_shift_diff_vol0.16%53.20%fast_normal_top5min_share_diff_count1.47%56.82%fast_normal_top5min_share_diff_vol-0.11%49.69%partial_afternoon_surprise_count-1.68%58.66%partial_afternoon_surprise_vol-0.85%55.93%partial_close_surprise_count0.18%53.85%partial_close_surprise_vol-0.98%54.46%time_close_count_share2.66%68.00%fast_normal_switch_rate_diff_vol-2.18%69.53%fast_normal_avg_run_length_diff_vol3.40%78.77%fast_normal_avg_cancel_vol_logratio-2.59%66.74%fast_normal_entropy_diff_count-0.10%50.53%fast_normal_entropy_diff_vol-1.59%64.85%fast_normal_fill_ratio_diff1.05%60.33%fast_normal_imb_diff_count-0.34%54.76%fast_normal_imb_diff_vol-0.35%54.09%fast_normal_partial_rate_diff_count-1.08%59.28%fast_normal_partial_rate_diff_vol-0.10%50.08%因子类型因子名IC均值IC胜率rel_count_per_active_minute-9.19%73.09%撤单活跃度与规模买卖撤单方向部分撤单特征日内时段与时间结构快速撤单与普通撤单对比fast_normal_partial_response_did_count0.82%60.22%fast_normal_partial_response_did_vol0.91%61.39%fast_normal_path_corr_count-0.36%52.70%fast_normal_path_corr_vol-0.87%57.72%fast_normal_switch_rate_diff_count-1.74%66.91%fastpartial_normalpartial_entropy_diff_count-1.53%59.61%fastpartial_normalpartial_entropy_diff_vol1.28%57.77%fast_normal_avg_run_length_diff_count3.29%74.15%fast_normal_change_corr_count-0.39%53.37%fast_normal_change_corr_vol-0.76%56.73%spec_share_within_normal_count5.44%67.63%spec_norm_entropy_diff_count-0.54%52.31%spec_norm_imb_diff_count1.22%61.62%spec_norm_imb_diff_vol0.29%53.26%spec_norm_partial_rate_diff_count-3.23%67.86%spec_norm_partial_rate_diff_vol-1.98%64.35%spec_share_within_normal_vol2.71%61.06%6.撤单时长分类特征spec_norm_change_corr_count-2.95%56.94%spec_norm_change_corr_vol-3.94%60.72%spec_norm_partial_response_did_count-0.43%55.60%spec_norm_partial_response_did_vol0.25%53.04%spec_norm_path_corr_count-2.52%55.77%spec_norm_path_corr_vol-4.05%60.95%spec_norm_persistence_diff_count0.62%57.88%spec_norm_persistence_diff_vol1.56%65.24%数据来源：通联数据、Wind、广发证券发展研究中心表3：撤单类平滑因子20日表现统计因子类型因子名IC均值5日平滑IC胜率20IC均值日平滑IC胜率rel_count_per_active_minute-9.21%72.48%-8.65%72.20%diag_log_cancel_count-9.08%72.03%diag_log_cancel_count-9.08%72.03%-8.27%71.53%diag_log_cancel_vol-7.07%71.14%-6.19%68.80%diag_log_cancel_vol_tot-6.81%68.75%-5.94%66.30%rel_active_minute_share-8.16%75.10%-7.12%72.31%rel_avg_cancel_vol-0.61%52.92%-0.44%53.06%rel_cancel_count_entropy-1.52%55.77%-1.33%54.89%rel_cancel_vol_entropy-4.14%65.24%-3.63%62.34%rel_vol_per_active_minute-7.15%71.20%-6.54%69.30%buy_sell_fast_propensity_diff_count-0.87%58.83%-0.56%55.26%buy_sell_fast_propensity_diff_vol-0.99%56.10%-0.30%51.92%buy_sell_partial_propensity_diff_count1.19%58.55%1.49%59.39%buy_sell_partial_propensity_diff_vol0.14%51.75%-0.06%50.36%fast_count_imb_buy_sell-1.77%62.84%-2.44%63.93%part_success_ratio_imb_buy_sell1.08%68.02%1.25%65.68%part_vol_imb_buy_sell-0.37%51.59%-0.34%51.64%side_buy_avg_vol_vs_sell1.30%60.05%1.83%61.48%side_buy_count_share-1.22%57.34%-2.50%63.79%side_buy_vol_share0.96%55.23%0.67%55.10%side_count_imb_buy_sell-1.11%56.77%-2.52%63.06%side_vol_imb_buy_sell0.98%55.93%0.78%55.99%part_afternoon_vol_share0.88%54.96%1.20%58.76%part_avg_cancel_vol_vs_nonpart-4.23%69.69%-4.08%67.74%part_avg_success_vol_vs_cancel_vol-0.18%53.26%-0.22%53.67%part_buy_count_share0.86%56.59%0.81%54.35%part_buy_vol_share-0.17%51.56%0.03%50.54%part_close_count_share3.20%66.24%3.83%68.19%part_close_minus_open_count_share2.00%59.94%2.55%61.28%part_count_share0.36%54.48%0.12%54.48%part_minute_entropy8.70%77.05%8.34%75.77%part_open_count_share-1.16%54.37%-1.55%54.43%part_success_to_cancel_vol0.03%47.62%0.03%47.42%part_vol_share-1.13%52.03%-0.97%51.48%买卖撤单方向部分撤单特征time_open_count_share-5.20%73.04%time_open_count_share-5.20%73.04%-5.79%70.08%time_close_minus_open_count_share5.43%73.98%6.08%71.03%time_afternoon_vol_share2.91%71.59%3.89%69.97%fast_afternoon_surprise_count-0.44%55.93%-0.41%54.54%fast_afternoon_surprise_vol0.69%50.92%1.08%50.03%fast_close_surprise_count0.70%59.67%2.11%63.62%fast_close_surprise_vol1.23%63.62%2.36%66.85%fast_normal_intraday_shift_diff_count0.20%52.42%0.30%53.22%fast_normal_intraday_shift_diff_vol0.19%52.14%0.28%52.77%fast_normal_top5min_share_diff_count2.31%59.72%2.55%59.94%fast_normal_top5min_share_diff_vol0.86%56.60%1.53%60.61%partial_afternoon_surprise_count-2.42%57.38%-2.51%55.60%partial_afternoon_surprise_vol-0.93%54.71%-1.12%51.92%partial_close_surprise_count0.62%54.65%0.85%54.37%partial_close_surprise_vol0.05%51.87%0.65%54.15%time_close_count_share4.00%69.03%4.75%67.13%fast_normal_switch_rate_diff_vol-3.24%69.36%-4.33%68.97%fast_normal_avg_run_length_diff_vol4.99%80.56%6.59%78.77%fast_normal_avg_cancel_vol_logratio-3.34%65.18%-3.52%63.23%fast_normal_entropy_diff_count-2.66%66.91%-2.93%64.96%fast_normal_entropy_diff_vol-3.39%68.25%-3.58%66.57%fast_normal_fill_ratio_diff1.55%61.95%1.87%56.99%fast_normal_imb_diff_count-0.85%59.33%-0.94%59.44%fast_normal_imb_diff_vol-1.06%58.83%-1.47%60.17%fast_normal_partial_rate_diff_count-0.71%57.16%0.04%48.86%fast_normal_partial_rate_diff_vol-0.26%52.31%-0.06%52.53%fast_normal_partial_response_did_count1.43%67.13%2.14%65.68%fast_normal_partial_response_did_vol1.59%64.51%2.48%65.68%fast_normal_path_corr_count-0.45%52.42%-0.79%54.43%fast_normal_path_corr_vol-1.18%59.61%-1.45%59.78%fast_normal_switch_rate_diff_count-2.47%67.08%-3.47%66.30%fastpartial_normalpartial_entropy_diff_count-1.36%57.16%-1.88%57.88%fastpartial_normalpartial_entropy_diff_vol0.79%52.09%0.47%49.64%fast_normal_avg_run_length_diff_count4.70%77.99%6.25%77.88%fast_normal_change_corr_count-0.60%54.35%-0.88%55.29%fast_normal_change_corr_vol-1.17%58.50%-1.45%57.71%spec_share_within_normal_count5.31%66.24%4.39%62.95%spec_norm_entropy_diff_count-0.84%55.15%-0.59%53.37%spec_norm_imb_diff_count1.73%65.63%1.41%61.00%spec_norm_imb_diff_vol0.09%52.31%-0.93%57.55%spec_norm_partial_rate_diff_count-3.61%66.85%-3.16%63.73%spec_norm_partial_rate_diff_vol-2.66%62.84%-2.73%61.06%spec_share_within_normal_vol2.99%61.39%2.48%58.89%spec_norm_change_corr_count-3.97%56.43%-3.82%54.99%spec_norm_change_corr_vol-5.11%59.67%-4.83%57.88%spec_norm_partial_response_did_count-0.74%58.66%-0.65%56.38%spec_norm_partial_response_did_vol0.40%54.99%0.92%57.05%spec_norm_path_corr_count-3.42%55.54%-3.31%54.26%spec_norm_path_corr_vol-5.14%59.89%-4.80%58.22%spec_norm_persistence_diff_count0.81%56.32%0.54%51.59%spec_norm_persistence_diff_vol2.82%64.29%3.44%62.51%通撤单对比特征数据来源：通联数据、Wind、广发证券发展研究中心（一）rel_count_per_active_minute因子-原始图4：rel_count_per_active_minute因子-RankIC 图5：rel_count_per_active_minute因子-十分收益RankIC RankIC累计值（右轴

20.00%1.090-

2021-06-

0-20-40-602026-02-80

15.00%10.00%5.00%-20.00%30

09

25-100

-5.00%数据来源：通联数据、Wind、广发证券发展究中心 数据来源：通联数据Wind、广发证券发展究中心图6：rel_count_per_active_minute因子十分档多头组合净值表现Q1 中证全指 Q1-中证全指超额4.54.03.53.02.52.01.51.00.50.02019-01-30 2020-11-13 2022-08-23 2024-06-07 2026-03-23数据来源：通联数据、Wind、广发证券发展研究中心表4：rel_count_per_active_minute因子十分档多头组合分年度表现统计年份总收益率年化收益率最大回撤平均换手（单边）年化波动率夏普比率（rf=2%）全样本232.83%17.40%34.38%53.52%22.64%0.682019年28.01%30.73%16.85%57.18%20.63%1.392020年17.85%17.77%14.41%53.23%20.54%0.772021年27.39%27.26%12.11%54.32%13.97%1.812022年0.58%0.58%26.52%52.59%23.54%-0.062023年19.57%19.57%10.07%53.72%14.74%1.192024年1.78%1.78%32.63%49.18%36.87%-0.012025年52.88%52.62%14.70%54.44%20.81%2.432026YTD-7.46%-12.89%19.54%54.02%22.08%-0.67数据来源：通联数据、Wind、广发证券发展研究中心（二）time_open_count_share因子-滚动20日图7：time_open_count_share子-RankIC 图8：time_open_count_share子-十分档益

RankIC RankIC累计值（右轴

0-20-40

16.00%Q1Q2Q3Q4Q5Q6Q7Q8Q9Q1Q2Q3Q4Q5Q6Q7Q8Q9Q1012.00%10.00%8.00%6.00%1.090-

2021-06-

2026-02-60

4.00%30

09

25-80-100

2.00%0.00%-2.00%-4.00%数据来源：通联数据、Wind、广发证券发展究中心 数据来源：通联数据Wind、广发证券发展究中心图9：time_open_count_share因子十分档多头组合净值表现Q1 中证全指 Q1-中证全指超额3.53.02.52.01.51.00.50.02019-01-30 2020-11-13 2022-08-23 2024-06-07 2026-03-23数据来源：通联数据、Wind、广发证券发展研究中心表5：time_open_count_share因子十分档多头组合分年度表现统计年份总收益率年化收益率最大回撤平均换手（单边）年化波动率夏普比率（rf=2%）全样本171.80%14.27%25.98%54.26%19.82%0.622019年22.18%24.28%17.94%62.42%21.11%1.062020年17.99%17.91%15.14%63.46%22.61%0.702021年31.85%31.70%8.76%59.98%14.06%2.112022年2.24%2.24%19.53%55.37%20.77%0.012023年6.85%6.85%10.97%46.67%11.64%0.422024年4.77%4.77%21.99%47.89%27.97%0.102025年29.31%29.17%12.18%45.76%16.55%1.642026YTD-3.39%-5.95%15.69%51.93%19.13%-0.42数据来源：通联数据、Wind、广发证券发展研究中心（三）time_close_minus_open_count_share因子-滚动5日图10：time_close_minus_open_count_share因子-RankIC

图tmclsminstse因子十分档收益30.00%10030.00%10020.00%8010.00%600.00%

RankIC RankIC累计值（右轴

120

16.00%Q1Q2Q3Q4Q5Q6Q7Q8Q9Q1Q2Q3Q4Q5Q6Q7Q8Q9Q1012.00%10.00%8.00%6.00%4.00%1.090-30

2021-06-09

2023-10-17

250

2.00%0.00%-2.00%-4.00%数据来源：通联数据、Wind、广发证券发展究中心 数据来源：通联数据Wind、广发证券发展究中心图12：time_close_minus_open_count_share因子十分档多头组合净值表现Q1 中证全指 Q1-中证全指超额3.53.02.52.01.51.00.50.02019-01-30 2020-11-13 2022-08-23 2024-06-07 2026-03-23数据来源：通联数据、Wind、广发证券发展研究中心表6：time_close_minus_open_count_share因子十分档多头组合分年度表现统计年份总收益率年化收益率最大回撤平均换手（单边）年化波动率夏普比率（rf=2%）全样本175.87%14.50%28.04%71.93%20.75%0.602019年24.66%27.02%19.37%78.02%22.04%1.132020年15.47%15.40%14.89%77.98%22.79%0.592021年33.34%33.19%8.82%76.70%14.28%2.182022年0.86%0.86%21.58%74.01%21.38%-0.052023年8.38%8.38%10.71%63.86%11.95%0.532024年3.17%3.17%24.44%66.81%30.07%0.042025年34.97%34.80%13.33%66.31%17.87%1.842026YTD-5.56%-9.68%18.02%72.44%20.50%-0.57数据来源：通联数据、Wind、广发证券发展研究中心（四）time_afternoon_vol_share因子-滚动20日图13：time_afternoon_vol_share因子-RankIC 图14：time_afternoon_vol_share因子-十分收益

RankIC RankIC累计值（右轴）

14.00%12.00%10.00%8.00%6.00%2019-01-

2021-06-

2026-02-

4.00%-10.00%30-20.00%-30.00%

09

250

2.00%0.00%Q1Q2Q3Q4Q5Q6Q7Q8Q9Q10数据来源：通联数据、Wind、广发证券发展究中心 数据来源：通联数据Wind、广发证券发展究中心图15：time_afternoon_vol_share因子十分档多头组合净值表现Q1 中证全指 Q1-中证全指超额3.02.52.01.51.00.50.02019-01-30 2020-11-13 2022-08-23 2024-06-07 2026-03-23数据来源：通联数据、Wind、广发证券发展研究中心表7：time_afternoon_vol_share因子十分档多头组合分年度表现统计年份总收益率年化收益率最大回撤平均换手（单边）年化波动率夏普比率（rf=2%）全样本138.66%12.30%32.42%66.23%21.80%0.472019年20.99%22.97%19.88%74.91%22.20%0.942020年12.20%12.15%15.23%72.68%23.04%0.442021年31.53%31.38%9.08%74.91%13.88%2.122022年-3.59%-3.59%28.88%72.32%21.81%-0.262023年8.13%8.13%12.13%61.58%13.13%0.472024年-2.50%-2.50%28.84%54.76%32.95%-0.142025年36.60%36.43%15.99%55.19%20.40%1.692026YTD-3.73%-6.54%17.56%61.79%20.66%-0.41数据来源：通联数据、Wind、广发证券发展研究中心（五）spec_share_within_normal_count因子-原始图16：spec_share_within_normal_count因子-RankIC

图scsitinmct因子十分档收益

RankIC RankIC累计值（右轴

1201008060

25.00%20.00%15.00%10.00%5.00%2019-01-

2021-06-

2023-10-

2026-02--10.00%30

09

25400

-5.00%数据来源：通联数据、Wind、广发证券发展究中心 数据来源：通联数据Wind、广发证券发展究中心图18：spec_share_within_normal_count因子十分档多头组合净值表现Q1 中证全指 Q1-中证全指超额6.05.04.03.02.01.00.02019-01-30 2020-11-13 2022-08-23 2024-06-07 2026-03-23数据来源：通联数据、Wind、广发证券发展研究中心年份总收益率年化收益率最大回撤平均换手（单边）年化波动率年份总收益率年化收益率最大回撤平均换手（单边）年化波动率夏普比率（rf=2%）全样本293.06%20.03%36.79%64.96%26.02%0.692019年44.09%48.64%15.86%61.52%23.30%2.002020年43.47%43.26%12.77%64.01%26.62%1.552021年32.66%32.51%10.89%63.19%18.62%1.642022年-10.97%-10.97%32.47%64.57%26.29%-0.492023年10.89%10.89%14.23%61.52%17.09%0.522024年1.40%1.40%32.61%66.91%38.01%-0.022025年52.28%52.02%19.21%70.23%25.14%1.992026YTD-5.98%-10.39%23.61%70.12%28.57%-0.43（六）fast_normal_switch_rate_diff_vol因子-滚动20日图19：fast_normal_switch_rate_diff_vol因子-RankIC

图20：fast_normal_switch_rate_diff_vol因子-十分档收益

RankIC RankIC累计值（右轴

0-10-20-30-40-50

20.00%Q1Q2Q3Q4Q5Q6Q7Q8Q9Q1Q2Q3Q4Q5Q6Q7Q8Q9Q1010.00%5.00%1.090-

2021-06-

2026-02-6030

09

25-70-80-90

0.00%-5.00%数据来源：通联数据、Wind、广发证券发展究中心 数据来源：通联数据Wind、广发证券发展究中心图21：fast_normal_switch_rate_diff_vol因子十分档多头组合净值表现Q1 中证全指 Q1-中证全指超额4.54.03.53.02.52.01.51.00.50.02019-01-30 2020-11-13 2022-08-23 2024-06-07 2026-03-23数据来源：通联数据、Wind、广发证券发展研究中心年份总收益率年化收益率最大回撤平均换手（单边）年化波动率年份总收益率年化收益率最大回撤平均换手（单边）年化波动率夏普比率（rf=2%）全样本207.81%16.18%36.31%75.35%24.89%0.572019年22.56%24.70%25.09%82.23%26.55%0.862020年31.74%31.59%16.78%85.06%27.21%1.092021年28.71%28.58%13.33%75.42%18.02%1.482022年2.72%2.72%24.14%67.14%24.64%0.032023年14.90%14.90%10.58%65.47%14.41%0.902024年0.19%0.19%35.32%67.94%36.66%-0.052025年33.91%33.75%14.17%79.93%19.02%1.672026YTD-6.46%-11.21%24.09%85.25%27.24%-0.49（七）fast_normal_avg_run_length_diff_vol因子-滚动20日图22：fast_normal_avg_run_length_diff_vol因子-RankIC

图23：fast_normal_avg_run_length_diff_vol因子-十分档收益

RankIC RankIC累计值（右轴

20.00%15.00%10.00%5.00%0.00%2019-01--10.00%30

2021-06-09

2023-10-17

250

-5.00%-10.00%-15.00%数据来源：通联数据、Wind、广发证券发展究中心 数据来源：通联数据Wind、广发证券发展究中心图24：fast_normal_avg_run_length_diff_vol因子十分档多头组合净值表现Q1 中证全指 Q1-中证全指超额4.03.53.02.52.01.51.00.50.02019-01-30 2020-11-13 2022-08-23 2024-06-07 2026-03-23数据来源：通联数据、Wind、广发证券发展研究中心年份总收益率年化收益率最大回撤平均换手（单边）年化波动率夏普比率（rf=2%年份总收益率年化收益率最大回撤平均换手（单边）年化波动率夏普比率（rf=2%）全样本167.95%14.05%36.20%74.39%24.62%0.492019年20.44%22.36%22.97%80.82%26.25%0.782020年26.81%26.68%17.27%84.56%27.41%0.902021年25.59%25.47%13.16%74.01%17.75%1.322022年-0.01%-0.01%25.21%67.46%24.71%-0.082023年14.47%14.47%10.58%67.14%14.52%0.862024年1.84%1.84%34.82%66.56%35.95%0.002025年30.44%30.30%13.25%75.17%17.62%1.612026YTD-8