Quantitative analyst intern

Xingyin Fund Management Co., Ltd — Index and Quantitative Investment Department

Highlights

• Implemented 18 factors across five major research directions using multi-frequency data (daily, Level-1 and Level-2 market data).
• Systematically backtested factors on the CSI 300, 500, and 1000 indices, as well as the full A share universe with signal regularization and industry contextualization and neutralization applied.
• Enhanced factors through capital-based stratification algorithms, conditional factor flipping based on volatility and turnover, and opening or closing auction filters, boosting Sharpe ratio to 2.1 and annual excess return to 37%.
• Optimized Level-2 high-frequency data processing with vectorized kernels, rolling window aggregations, and multiprocessing, cutting factor computation time from days to hours.
• Explored to seek ML‑driven alphas by prototyping random forest, XGBoost, and deep learning on engineered features such as price–volume, VWAP deviation, turnover, and order imbalance—yielding an out of sample Sharpe ratio of 2.