技术择时信号：静待底部信号

Quantitative Models and Construction Methods 1. Model Name: DTW Timing Model - Model Construction Idea: The DTW Timing Model is based on the similarity principle and the Dynamic Time Warping (DTW) algorithm. It evaluates the similarity between current index trends and historical trends to generate timing signals[2][6][12] - Model Construction Process: 1. Identify historical market segments with high similarity to the current market trend using the DTW distance metric, which is a flexible measure for time series data[12][14] 2. Calculate the weighted average future returns and standard deviations of the selected historical segments, where the weights are the inverse of the DTW distance[12] 3. Generate trading signals based on the average future returns and standard deviations of the historical segments[12] 4. The DTW distance is preferred over Euclidean distance as it avoids misalignment issues in time series data, making it more suitable for this application[14] - Model Evaluation: The DTW Timing Model demonstrates superior performance compared to traditional methods, particularly in time-series-based problems[14] 2. Model Name: Foreign Capital Timing Model - Model Construction Idea: This model is built using four indicators that reflect foreign capital movements to generate timing signals for the A-share market[6] - Model Construction Process: Details of the specific indicators and their integration into the model are referenced in a prior report titled "What Other Foreign Capital Signals Can Be Used for Timing Reference?"[6] 3. Model Name: Alligator Line Timing Model - Model Construction Idea: This model is based on the classic Alligator Line indicator from overseas markets to generate timing signals[6] - Model Construction Process: The specific methodology for constructing the Alligator Line Timing Model is detailed in a prior report titled "Index Timing and Rotation Strategy Based on Alligator Line"[6] --- Model Backtesting Results 1. DTW Timing Model - Absolute Return: 11.49% since November 2022[6][11] - Excess Return Relative to CSI 300: 23.05% since November 2022[6][11] - Maximum Drawdown: 20.07% since November 2022[6][11] - Win Rate: Over 60% in out-of-sample testing since November 2022; nearly 80% in 2023 year-to-date[6] 2. Foreign Capital Timing Model - No specific backtesting results provided in the report 3. Alligator Line Timing Model - No specific backtesting results provided in the report --- Latest Model Signals 1. DTW Timing Model - Latest Signal: "Short" across all major indices, including CSI 300, SSE 50, CSI 500, CSI 1000, CSI 2000, SSE Composite, Wind All A, CSI All Share, ChiNext, and STAR 50[3][9] - Predicted Returns and Variance: - CSI 300: -0.29%, variance 0.09%[9] - SSE 50: -0.21%, variance 0.09%[9] - CSI 500: -0.0227% (below threshold), variance 0.09%[9] - CSI 1000: -0.09%, variance 0.09%[9] - CSI 2000: -0.0776% (below threshold), variance 0.09%[9] - SSE Composite: -0.18%, variance 0.08%[9] - Wind All A: -0.08%, variance 0.08%[9] - CSI All Share: -0.10%, variance 0.08%[9] - ChiNext: -0.26%, variance 0.09%[9] - STAR 50: -0.16%, variance 0.12%[9] 2. Foreign Capital Timing Model - No specific latest signals provided in the report 3. Alligator Line Timing Model - No specific latest signals provided in the report