This study introduces a sophisticated dual-denoising framework for high-frequency momentum strategies in China's ChiNext market, integrating wavelet-based temporal filtering with isolation forest cross-sectional anomaly detection. Utilizing a comprehensive dataset of over 2 million daily observations from January 2016 to November 2025, the results demonstrate that wavelet denoising achieves exceptional efficacy for turnover series with a mean Signal-to-Noise Ratio improvement of 10.7 dB, while isolation forest robustly identifies anomalous stocks characterized by excessive trading activity and distorted risk-return profiles. Empirical results reveal that linear models with wavelet denoising... More >

Momentum-based investment strategies face persistent challenges from noise contamination in financial time series, particularly within emerging markets such as China's ChiNext board. Traditional enhancement approaches typically address symptoms rather than underlying causes, resulting in continued vulnerability to market regime changes and performance deterioration. This study develops and evaluates a dual-denoising framework that integrates wavelet analysis for temporal noise reduction with isolation forest algorithms for cross-sectional anomaly detection. Our methodology employs comprehensive analysis of 1,200-1,300 ChiNext stocks spanning the 2015-2025 period, utilizing multiple machine l... More >