择时雷达六面图：拥挤度、反转维度分数显著上升

Quantitative Models and Construction Methods - Model Name: Timing Radar Six-Dimensional Framework Model Construction Idea: The model evaluates equity market performance through a multi-dimensional perspective, incorporating liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding dimensions. These are aggregated into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a composite timing score within the range of [-1, 1][1][6][8] Model Construction Process: The model selects 21 indicators across the six dimensions and aggregates them into the four categories mentioned above. Each category is scored based on its respective indicators, and the final composite score is calculated as the weighted average of these categories[1][6][8] Model Evaluation: The model provides a comprehensive and systematic approach to market timing by integrating multiple dimensions, offering a balanced view of market conditions[1][6][8] Quantitative Factors and Construction Methods - Factor Name: Monetary Direction Factor Factor Construction Idea: This factor assesses the direction of monetary policy by analyzing changes in central bank policy rates and short-term market rates over the past 90 days[10] Factor Construction Process: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days - If the factor value > 0, monetary policy is deemed accommodative; if < 0, it is deemed restrictive[10] Factor Evaluation: Effectively captures the directional stance of monetary policy, providing insights into liquidity conditions[10] - Factor Name: Monetary Strength Factor Factor Construction Idea: Based on the "interest rate corridor" concept, this factor measures the deviation of short-term market rates from policy rates[13] Factor Construction Process: - Calculate the deviation as DR007/7-year reverse repo rate - 1 - Smooth and standardize the deviation using z-scores - Assign scores based on thresholds: <-1.5 SD indicates accommodative conditions (score = 1), >1.5 SD indicates restrictive conditions (score = -1)[13] Factor Evaluation: Provides a quantitative measure of short-term liquidity conditions relative to policy rates[13] - Factor Name: Credit Direction Factor Factor Construction Idea: Measures the transmission of credit from banks to the real economy using medium- and long-term loan data[14] Factor Construction Process: - Calculate the monthly value of medium- and long-term loans - Compute the 12-month incremental change and its year-over-year growth - Compare the factor value to its level three months ago: an increase indicates a positive signal (score = 1), while a decrease indicates a negative signal (score = -1)[14] Factor Evaluation: Captures the directional flow of credit, reflecting economic support from the banking sector[14] - Factor Name: Credit Strength Factor Factor Construction Idea: Measures whether credit data significantly exceeds or falls short of expectations[18] Factor Construction Process: - Calculate the deviation of new RMB loans from their median forecast, normalized by the forecast's standard deviation - Assign scores based on thresholds: >1.5 SD indicates a positive surprise (score = 1), <-1.5 SD indicates a negative surprise (score = -1)[18] Factor Evaluation: Quantifies the strength of credit data relative to expectations, offering insights into market surprises[18] - Factor Name: Growth Direction Factor Factor Construction Idea: Based on PMI data, this factor evaluates the trend in economic growth over the past 12 months[20] Factor Construction Process: - Compute the 12-month moving average of PMI data (including manufacturing and non-manufacturing indices) - Calculate the year-over-year change and compare it to its level three months ago: an upward trend indicates a positive signal (score = 1), while a downward trend indicates a negative signal (score = -1)[20] Factor Evaluation: Effectively captures the directional trend in economic growth, providing a macroeconomic perspective[20] - Factor Name: Growth Strength Factor Factor Construction Idea: Measures whether economic growth data significantly exceeds or falls short of expectations[22] Factor Construction Process: - Calculate the deviation of PMI data from its median forecast, normalized by the forecast's standard deviation - Assign scores based on thresholds: >1.5 SD indicates a positive surprise (score = 1), <-1.5 SD indicates a negative surprise (score = -1)[22] Factor Evaluation: Quantifies the strength of economic growth data relative to expectations, offering insights into market surprises[22] - Factor Name: Inflation Direction Factor Factor Construction Idea: Evaluates the trend in inflation levels, which influence monetary policy constraints[25] Factor Construction Process: - Calculate the weighted average of smoothed CPI and raw PPI year-over-year changes - Compare the factor value to its level three months ago: a downward trend indicates a positive signal (score = 1), while an upward trend indicates a negative signal (score = -1)[25] Factor Evaluation: Provides insights into inflationary trends and their potential impact on monetary policy[25] - Factor Name: Inflation Strength Factor Factor Construction Idea: Measures whether inflation data significantly exceeds or falls short of expectations[26] Factor Construction Process: - Calculate the deviation of CPI and PPI data from their median forecasts, normalized by the forecast's standard deviation - Compute the average of these deviations to form the factor value - Assign scores based on thresholds: <-1.5 indicates a positive signal (score = 1), >1.5 indicates a negative signal (score = -1)[26] Factor Evaluation: Quantifies the strength of inflation data relative to expectations, offering insights into market surprises[26] Factor Backtesting Results - Monetary Direction Factor: Current score = -1[10] - Monetary Strength Factor: Current score = -1[13] - Credit Direction Factor: Current score = -1[14] - Credit Strength Factor: Current score = 1[18] - Growth Direction Factor: Current score = 1[20] - Growth Strength Factor: Current score = 0[22] - Inflation Direction Factor: Current score = 1[25] - Inflation Strength Factor: Current score = 1[26]