Capital Flow Factor IC — HK Universe¶
Generated: 2026-04-25
Universe: 114 HK tickers (Futu OpenD capital flow + clawtrading qfq OHLCV)
Date range: 2016-04-22 → 2026-04-24
Trading days evaluated (1d horizon): 244
Factor definitions¶
| Factor | Definition |
|---|---|
| MAIN_FLOW_5D | Σ(main_in_flow, 5d) / mean(dollar_volume, 20d) |
| MAIN_FLOW_20D | Σ(main_in_flow, 20d) / mean(dollar_volume, 20d) |
| MAIN_RETAIL_DIV | (main_in_flow − in_flow) / mean(dollar_volume, 20d) |
| ACCUM_20D | fraction of last 20 days where main_in_flow > 0 |
| FLOW_MOM | MAIN_FLOW_5D − MAIN_FLOW_20D |
All factors observed at EOD T; downstream backtest applies T+1 lag.
Per-factor IC — forward 1d return¶
| Factor | mean IC | std IC | ICIR | t-stat | win rate | N days |
|---|---|---|---|---|---|---|
| MAIN_FLOW_5D | -0.0020 | 0.1230 | -0.016 | -0.25 | 48.0% | 244 |
| MAIN_FLOW_20D | -0.0005 | 0.1153 | -0.004 | -0.06 | 50.2% | 239 |
| MAIN_RETAIL_DIV | 0.0102 | 0.1299 | 0.078 | 1.23 | 56.1% | 244 |
| ACCUM_20D | 0.0074 | 0.1127 | 0.065 | 1.01 | 50.6% | 239 |
| FLOW_MOM | -0.0022 | 0.1116 | -0.020 | -0.30 | 48.5% | 237 |
Per-factor IC — forward 5d return¶
| Factor | mean IC | std IC | ICIR | t-stat | win rate | N days |
|---|---|---|---|---|---|---|
| MAIN_FLOW_5D | 0.0133 | 0.1301 | 0.102 | 1.59 | 50.4% | 242 |
| MAIN_FLOW_20D | 0.0062 | 0.1216 | 0.051 | 0.78 | 48.1% | 235 |
| MAIN_RETAIL_DIV | -0.0132 | 0.1295 | -0.102 | -1.60 | 45.1% | 244 |
| ACCUM_20D | 0.0129 | 0.1148 | 0.113 | 1.73 | 47.2% | 235 |
| FLOW_MOM | -0.0013 | 0.1199 | -0.011 | -0.17 | 52.8% | 235 |
Per-factor IC — forward 20d return¶
| Factor | mean IC | std IC | ICIR | t-stat | win rate | N days |
|---|---|---|---|---|---|---|
| MAIN_FLOW_5D | 0.0143 | 0.1370 | 0.104 | 1.57 | 50.7% | 227 |
| MAIN_FLOW_20D | 0.0097 | 0.1227 | 0.079 | 1.17 | 49.1% | 220 |
| MAIN_RETAIL_DIV | -0.0031 | 0.1194 | -0.026 | -0.40 | 47.2% | 229 |
| ACCUM_20D | 0.0040 | 0.1309 | 0.031 | 0.45 | 38.2% | 220 |
| FLOW_MOM | -0.0039 | 0.1242 | -0.031 | -0.46 | 57.7% | 220 |
Composite IC¶
Equal-weight: mean of (CS-rank−0.5) × sign per factor (sign fixed by 5d-IC mean).
IC-weighted: weight per factor = rolling 60d 5d-IC, shifted by 6 days (>5d label → strict OOS).
| Composite | Horizon | mean IC | ICIR | t-stat | win rate | N days |
|---|---|---|---|---|---|---|
| EQ | 1d | -0.0019 | -0.016 | -0.25 | 49.2% | 248 |
| EQ | 5d | 0.0098 | 0.080 | 1.25 | 50.0% | 244 |
| EQ | 20d | 0.0050 | 0.039 | 0.58 | 45.9% | 229 |
| ICW | 1d | -0.0062 | -0.054 | -0.80 | 52.9% | 223 |
| ICW | 5d | -0.0128 | -0.112 | -1.66 | 46.6% | 219 |
| ICW | 20d | -0.0289 | -0.218 | -3.11 | 48.5% | 204 |
Per-factor IC sign (chosen by 5d horizon — strategy's native rebalance window)¶
| Factor | sign |
|---|---|
| MAIN_FLOW_5D | +1 |
| MAIN_FLOW_20D | +1 |
| MAIN_RETAIL_DIV | -1 |
| ACCUM_20D | +1 |
| FLOW_MOM | -1 |
Decision¶
Single best factor (5d): - ACCUM_20D: ICIR=0.113 | t-stat=1.73
Composite (5d): - Equal-weight: ICIR=0.080 | t-stat=1.25 - IC-weighted: ICIR=-0.112 | t-stat=-1.66
Best single factor verdict (ACCUM_20D): 辅助使用（小权重 5–10%） Equal-weight composite verdict: 砍掉 IC-weighted composite verdict (advisory): 辅助使用（小权重 5–10%）
Final call: 辅助使用（小权重 5–10%）
(driven by max(|ICIR|) of best single factor and EQ composite at 5d)