金工周报南华指数版2025-01-27

• The report introduces a market homogenization index developed by Nanhua Futures, which is a risk indicator measuring the synchronized movement of different sectors over a specific period. When the index increases, the risk of sectors moving in the same direction rises, requiring investors to control overall leverage and avoid excessive exposure in one direction [23] - The trend strength is calculated using the Efficiency Ratio (ER) indicator, which standardizes trend intensity based on price changes over a period and the total price fluctuation during that time. The formula produces values between 0 and 100, with higher values indicating stronger trends [27] - Volatility is measured using the Yang-Zhang volatility method, which incorporates not only daily closing price changes but also opening gaps and intraday price ranges, providing a more accurate and comprehensive volatility estimation [47] - The volatility cone visualizes the volatility levels of different sectors across various timeframes, helping to identify whether current volatility levels are high or low in specific periods [50] - The report highlights that the black and industrial sectors currently exhibit high trend strength and low risk, making them favorable for timing strategies. Conversely, the non-ferrous sector shows low trend strength, suggesting a cautious approach [58][59]