报告概述本报告从股票市场的“日历效应”出发,通过选取接近5年的历史数据观察得到在股指期货市场上存在比较明显的正开盘效应、负收盘效应和正隔夜效应,且在充分考虑期货交易手续费后,正隔夜效应仍然较为显著,故我们在此基础上,结合每个交易日收盘前量价等信息设计了“隔夜收益增强”因子。选取2020年3月19日至2025年3月19日共五年的历史数据进行回测。结果显示,该因子在回测期内的年化收益率为22.23%,...
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