技术择时信号：整体维持看多，结构继续看好红利和小盘风格

Quantitative Models and Construction Methods 1. Model Name: DTW Timing Model - Model Construction Idea: Based on the principle of similarity and the Dynamic Time Warping (DTW) algorithm, this model identifies timing signals by comparing current market trends with historical patterns[4][25] - Model Construction Process: - The model calculates the similarity between the current index trend and historical market trends using the DTW distance metric, which is more flexible than Euclidean distance for time-series data[27] - Historical segments with high similarity are selected as references - The weighted average future returns and standard deviations of these historical segments are calculated (weights are the inverse of the DTW distance) - Trading signals are generated based on the average future returns and standard deviations[25] - Improved DTW algorithms, such as those with Sakoe-Chiba and Itakura boundary constraints, are used to address issues like "over-warping" in traditional DTW[29] - Model Evaluation: The DTW algorithm is particularly suitable for time-series problems and outperforms other methods due to its flexibility in handling temporal misalignments[27] 2. Model Name: Foreign Capital Timing Model - Model Construction Idea: This model leverages the price movements of offshore assets related to A-shares to generate timing signals for the A-share market[32] - Model Construction Process: - Two offshore assets are used: FTSE China A50 Index Futures (Singapore market) and Southern A50 ETF (Hong Kong market) - For FTSE China A50 Index Futures, two indicators are constructed: basis and price deviation - For Southern A50 ETF, a price deviation indicator is constructed - Timing signals from these two assets are combined to form the overall foreign capital timing signal[32] --- Model Backtesting Results 1. DTW Timing Model - Out-of-Sample Performance (Since November 2022): - Absolute return: 25.38% - Excess return over CSI 300: 19.02% - Maximum drawdown: 20.07% - Weekly win rate: Over 60% - Weekly win rate in 2024: Over 70%[4][16] - Performance in 2024 (CSI 300): - Absolute return: 23.58% - Excess return: 5.27% - Maximum drawdown: 14.88% - Trading win rate: 63.64% - Profit-loss ratio: 2.64[16] 2. Foreign Capital Timing Model - Full-Sample Performance (2014-2024): - Annualized return: 18.96% (long-short), 14.19% (long-only) - Maximum drawdown: 25.69% (long-short), 17.27% (long-only) - Daily win rate: Nearly 55% - Profit-loss ratio: Above 2.5[18] - Out-of-Sample Performance in 2024: - Long-only strategy: - Absolute return: 28.05% - Maximum drawdown: 8.32% - Long-short strategy: - Absolute return: 21.66% - Maximum drawdown: 13.14%[21]