证券研究报告 跟踪经济、掘金市场 策略专题:指数趋势投资之高低轨转折策略 | 主要观点: | 报告日期:2025-07-22 | | --- | --- | | √ 判断趋势的一个有效方法,就是观察最高价和最低价的运行轨迹。 | 执业信息 | | 因为最低价不断抬高是上涨趋势的典型特征,最高价不断降低是下跌 | 林烽 策略分析师 | | | 执业编号:S1750522120001 | | 趋势的典型特征。 | 电话:18605980882 | | | 邮件: linfeng@jypscnet.com | | √ 高低轨转折策略的交易规则如下: | | | 1、用每日高低点的 SMA(N)做成双轨,记录为HSMA(N)和 LSMA(N); | | | | 免责声明 | | 2、每日收盘后计算当日的 HSMA(N)和 LSMA(N); | 报告观点基于逻辑分析、 | | 3、若当日 LSMA(N)>昨日 LSMA(N),则多头开仓/多头持仓;若当 | 数据规律推演,并不能预知不 | | | 同市场主体在复杂约束下的 | | 「「CHA (N) / 0/ / L T CHA / N / N / 0) / V T / ...

证券研究报告 跟踪经济、掘金市场 策略专题：指数趋势投资之价量策略 主要观点： √ 成交量取决于交易人群的规模以及多空双方的活跃水平。成交量 的变化体现出多空双方对价格波动的反应，并且蕴含着趋势是持续下 去还是发生反转的线索。 √ 价量策略 PVMA（多头）抓取两种典型的多头量价配合关系来生成 交易信号（顺势开仓信号和反转开仓信号）。 √ 20 年的回测数据显示：价量策略 PVMA（多头）的年复合收益率为 14.7196%，α值 6.5315%，β值(Rf≈3)1.7977，最大回撤幅度 13.36%， 夏普比率（Rf≈3）1.6028，策略绩效优秀。 √ 鉴于价格和成交量两个因素会相互影响并共同作用于后续走势， 本报告将价格和成交量两个因素合成为一个新的价量指标 REV，并采 用 REV 的双重移动平均线生成交易信号。 √ 20 年的回测数据显示：价量策略 REV 的年复合收益率为 14.7208%， α值 6.5328%，β值(Rf≈3)1.7978，最大回撤幅度 31.67%，夏普比 率（Rf≈3）4.3886，策略绩效优秀。 √ 比较价量策略 PVMA（多头）和价量策略 REV，前者的最大回撤幅 度大 ...

Group 1 - The risk premium percentile of the CSI All Share Index is 71.95%, indicating that the market has returned from a high return area to a normal return area [1][8] - The price-to-book ratio percentile of the CSI All Share Index is 21.54%, suggesting that the market has returned from an undervalued state to a normal but slightly undervalued state [12] - The Shanghai Composite Index and CSI 800 are still in an undervalued state, warranting close attention [13] Group 2 - The CSI All Share Index's deviation rate is -0.03%, indicating that the overall price level of the market is in a normal range [16] - The ChiNext 50 has returned to a basic normal range after two months of recovery from an oversold state [19] - Over the past six months, the performance of value and growth styles has varied, and the value vs. growth style has yet to be defined, with future trends still to be observed [23] Group 3 - The performance of low valuation styles has generally been superior over the past six months, but high valuation styles have shown strong performance in the past month, suggesting investors should closely monitor the potential transition between high and low valuation styles [27] - Small-cap styles have significantly outperformed over the past six months, indicating a need for future focus on small-cap style targets [29] Group 4 - There has been a certain degree of excess return for convertible bonds relative to the CSI All Share Index over the past six months, suggesting that investors should consider convertible bond varieties from an asset allocation perspective [2][44] - Different types of convertible bonds have shown varying performance over the past six months, with a recommendation to focus on equity-oriented targets [48] Group 5 - The report emphasizes the importance of market style rotation, highlighting the differences in performance between value vs. growth, low vs. high valuation, and large vs. small capitalization stocks [20][21] - The report identifies that the performance of small-cap stocks has been notably superior, suggesting a focus on small-cap style targets moving forward [29] Group 6 - The report discusses industry/theme index rotation, focusing on low valuation rotation and dual momentum rotation strategies [33][34] - A selection of reference targets based on valuation factors or momentum factors is provided for investors to consider [37]

证券研究报告 √ 比较单一指标策略 M 和指标组合策略 ME 在股指期货标的指数上的 表现，前者的年复合收益率更高，后者的最大回撤幅度更小，投资者 可根据自身的投资偏好进行选择。 报告日期：2025-06-23 执业信息 跟踪经济、掘金市场 策略专题：指数趋势投资之指标策略 MACD 主要观点： √ MACD 指标是常用且重要的技术指标。在充分了解指标计算、参数 确定、指标优缺点、一般性运用原则等的基础上，可运用 MACD 指标 构建出行之有效的趋势投资策略。 √ 针对 MACD 指标反应比较滞后的缺点，可以通过调小 MACD 指标参 数达到提升 MACD 指标信号灵敏度的目标。此为单一指标策略 M 的策 略逻辑。 √ 20 年的回测数据显示：单一指标策略 M 的年复合收益率为 15.2192%，α值 7.1007%，β值(Rf≈3)1.8746，最大回撤幅度 29.91%， 夏普比率（Rf≈3）4.1627，策略绩效优秀。 √ 针对 MACD 指标在应对小级别趋势或盘整时的效果不佳的缺点，可 以通过增加开仓过滤器达到过滤一些不理想信号的目标，从而提升策 略的胜率、降低策略的最大回撤幅度。此为指标组合策略 M ...

证券研究报告 跟踪经济、掘金市场 策略专题:指数趋势投资之均线策略 | 主要观点: | 报告日期:2025-06-16 | | --- | --- | | √ 移动平均线最本质的思路是通过移动平均来消除价格随机波动的 | 执业信息 | | 影响,寻求价格波动的趋势。根据移动平均的计算方式的不同,均线 | 林烽 策略分析师 | | | 执业编号:S1750522120001 | | 可分为多种类型。移动平均线的有效性与选取的参数 N 密切相关。 | 电话:18605980882 | | √ 单一均线策略是选取一条重要的均线作为参照物,价格在均线上 | 邮件: linfeng@jypscnet.com | | 方可看多做多,价格在均线下方可看空做空。 | | | | 免责声明 | | √ 双重均线策略是利用短期均线和长期均线的位置关系来判断价格 | 报告观点基于逻辑分析、 | | | 数据规律推演,并不能预知不 | | 趋势。如果短期均线在长期均线上方,预期价格趋势向上。如果短期 | 同市场主体在复杂约束下的 | | 长代大区期货往下亡 范期公故地执白下 | タば生塚壮甲 | | 均线在长期均线下方,预期价格趋势 ...

Key Points - The report indicates that the risk premium percentile of the CSI All Share Index is 80.41%, suggesting that the market is in a high return zone [1][5] - The report highlights that the price-to-book ratio percentile of the CSI All Share Index is 8.98%, indicating that the market is in a state of severe undervaluation [1][10] - The report notes that the deviation rate of the CSI All Share Index is -4.03%, suggesting that the overall price level of the market is in a normal range [1][13] - The report suggests that the performance of the value style has been significantly superior over the past six months, recommending a focus on value style targets [1][21] - The report also indicates that the performance of the low valuation style has been notably superior over the past six months, advising attention to low valuation style targets [1][24] - The report states that the performance of the small-cap style has been significantly superior over the past six months, recommending a focus on small-cap style targets [1][26] - The report identifies that there has been a certain degree of excess return for convertible bonds relative to the CSI All Share Index over the past six months, suggesting investors pay attention to convertible bond varieties from an asset allocation perspective [1][40]

证券研究报告 跟踪经济、掘金市场 新闻发布会发布的各项措施，既着眼当下，也立足长远，旨在实现经 济和资本市场的双重稳定。中国人民银行侧重于流动性的"量"和 "价"，公布的政策均和"真金白银"相关，对于经济及市场稳定给予总 量和结构上的双重支持。金融监管总局侧重于从房地产、资本市场、小微 企业、外贸等多领域进行制度安排，促进相关领域稳定健康发展。证监会 发布了支持资本市场健康发展的若干措施，侧重于促进资本市场高质量发 展的制度建设和效率提升。 策略专题：估值夯实三千点，主动调控稳预期 ——5 月 7 日国新办会议解读暨解密三千点系列之二 主要观点： 5 月 7 日，国务院新闻办公室举行新闻发布会，中国人民银行、国家 金融监督管理总局、中国证券监督管理委员会负责人介绍"一揽子金融政 策支持稳市场稳预期"有关情况。 1、政策解读 本次新闻发布会，鲜明地贯彻了 4 月 25 日中央政治局会议"坚定不 移办好自己的事"的会议精神，"以自身高质量发展的确定性应对外部环 境急剧变化的不确定性"。 在经济层面，强化科技创新和提振消费的定向支持，帮扶小微、民营 和外贸企业，体现了鲜明的结构化特征。在资本市场层面，加强主动管理 ...

证券研究报告 跟踪经济、掘金市场 策略专题：指数增强投资之综合评估投资策略 主要观点： √ 三维综合评估体系是基于质量、估值和交易特征三个维度建立起 来的一个综合评估体系，用以筛选股票和构建指数增强投资策略。 √ 质量、估值和交易特征三个维度均可进一步细分，并对应有不同 的指标。三个维度以及指标的不同侧重和搭配，就可以构建出丰富的、 √ 本报告策略使用的综合评估体系见表 2。 √ 构建综合评估投资策略的主要步骤：1）确定样本空间；2）确定 选样方法；3）确定样本数量；4）个股权重配置；5）设定交易计划。 √ 在回测数据的基础上，对"综合评估投资策略"进行全面评估。 评估结果显示：策略年复合收益率 25.6534%，α值 18.7955%，β值(Rf ≈3)3.7407，最大回撤幅度 20.95%，夏普比率（Rf≈3）0.8156，策 略绩效优秀。而且随着策略应用的时间拉长，盈利的概率和盈利的水 平都得以大幅提升，策略体验感更佳。 报告日期：2025-04-21 执业信息 林烽 策略分析师 执业编号：S1750522120001 电话：18605980882 邮件：linfeng@jypscnet.com 免责 ...

Core Insights - Empirical research indicates the existence of low volatility anomalies across various securities markets globally [1] - The low volatility investment strategy focuses on volatility as the core factor, supplemented by small-cap and low-price factors to construct a low volatility portfolio [1] - The strategy's backtesting results show an annual compound return of 37.3798%, an alpha of 28.5336, a beta of 4.2255, a maximum drawdown of 26.84%, and a Sharpe ratio of 1.0542, indicating excellent performance [1] Volatility - Volatility is a key indicator measuring the extent to which a set of data deviates from its average, typically calculated using standard deviation [4] - Stock price volatility is defined as the standard deviation of stock returns, reflecting the magnitude of price fluctuations and is widely recognized as a primary measure of stock risk [4] Low Volatility Anomaly - The capital asset pricing model suggests that stock returns are derived from risk premiums, leading to the belief that "high risk equals high return" and "low risk equals low return" [6] - However, extensive empirical studies reveal that low volatility stocks often yield higher returns than high volatility stocks, contradicting traditional risk-return assumptions [6] - Explanations for the low volatility anomaly include lottery effect, representativeness bias, overconfidence, and institutional effects [6][7] Low Volatility Investment Strategy - The strategy is built around the premise that low volatility anomalies are prevalent, using volatility as the core factor [8] - It emphasizes the importance of investor psychology and market performance of investment targets, suggesting the use of trading characteristic factors as auxiliary factors [8] Strategy Construction - The sample space for the strategy is based on the CSI All Share Index constituent stocks [9] - The selection method involves sorting stocks by volatility, market capitalization, and closing price to retain those meeting low volatility, small-cap, and low-price criteria [10][11][12][13] - The strategy employs equal weight allocation for stock positions [15] - Trading is designed to occur during the auction phase, with a stop-loss threshold set at -10% for each period [16][17][18] Strategy Evaluation - The performance benchmark for the low volatility investment strategy is the CSI All Share Index [19] - Over a 19-year period from May 2005 to April 2024, the CSI All Share Index increased by 395.78%, while the strategy achieved a remarkable increase of 41638.09% [25] - The strategy recorded positive excess returns in 47 out of 57 trading periods, resulting in a success rate of 82.46% [30] - The strategy's net value curve and annual performance evaluations indicate consistent outperformance against the benchmark [23][33] Rolling Period Evaluations - The rolling 3-year and 5-year evaluations show that the strategy consistently achieved positive excess returns across all periods, with success rates of 94.12% and 100% respectively [40][47] - The average excess return for the rolling 5-year periods was 595.89%, demonstrating the strategy's effectiveness over extended time frames [47]

跟踪经济、掘金市场 策略专题:指数增强投资之小市值投资策略 | 主要观点: | 报告日期:2025-04-09 | | --- | --- | | √ 股票投资中的规模效应始终存在,但在不同的考察周期中,大小 | 执业信息 | | 市值股票的表现各有千秋。 | 林烽 策略分析师 | | | 执业编号:S1750522120001 | | √ 小市值效应的本质原因是投资者看好小市值企业的成长性。所以, | 电话:18605980882 | | 投资小市值公司的核心,就是判断公司的成长性。这也是小市值投资 | 邮件:linfeng@jypscnet.com | | 策略的核心要素。 | 免责声明 | | √ 投资小市值公司时必须重点考虑标的的估值水平。本报告同时选 | 报告观点基于逻辑分析、 | | 用了市盈率指标和市净率指标作为估值的筛选指标。 | 数据规律推演,并不能预知不 同市场主体在复杂约束下的 | | √ 低价股和小市值股既有联系也有区别,这两个因子的结合,有时 | 多样选择结果。 | | 能产生意想不到的效果。 | | | | 相关报告 | | √ 小市值公司也存在着一些天然的劣势。为克服这些劣势,投 ...