量化择时周报：重大事件落地前维持中性仓位-20250511

Quantitative Models and Construction Methods - Model Name: Industry Allocation Model Model Construction Idea: This model aims to recommend industry sectors based on medium-term perspectives, focusing on sectors with potential for recovery or growth trends[2][3][10] Model Construction Process: The model identifies sectors with recovery potential ("困境反转型板块") and growth opportunities. It recommends sectors such as healthcare (恒生医疗), export-related consumer sectors (e.g., light industry and home appliances), and technology sectors (信创, communication, solid-state batteries). Additionally, it highlights sectors with ongoing upward trends, such as banking and gold[2][3][10] Model Evaluation: The model provides actionable insights for medium-term industry allocation, emphasizing sectors with recovery potential and growth trends[2][3][10] - Model Name: TWO BETA Model Model Construction Idea: This model focuses on identifying technology-related sectors with growth potential[2][3][10] Model Construction Process: The TWO BETA model recommends technology sectors, including 信创, communication, and solid-state batteries, based on their growth potential and market trends[2][3][10] Model Evaluation: The model effectively identifies technology sectors with strong growth potential, aligning with market trends[2][3][10] - Model Name: Timing System Model Model Construction Idea: This model evaluates market conditions by analyzing the distance between short-term and long-term moving averages to determine market trends[2][9][14] Model Construction Process: 1. Define the short-term moving average (20-day) and long-term moving average (120-day) for the Wind All A Index 2. Calculate the difference between the two moving averages: $ \text{Difference} = \text{20-day MA} - \text{120-day MA} $ - Latest values: 20-day MA = 4946, 120-day MA = 5088 - Difference = -2.80% (previous week: -3.63%) 3. Monitor the absolute value of the difference; when it falls below 3%, the market is considered to be in a consolidation phase[2][9][14] Model Evaluation: The model provides a clear signal for market consolidation, aiding in timing decisions[2][9][14] - Model Name: Position Management Model Model Construction Idea: This model determines the recommended equity allocation based on valuation levels and short-term market trends[3][10] Model Construction Process: 1. Assess valuation levels of the Wind All A Index: - PE ratio: 50th percentile (medium level) - PB ratio: 10th percentile (low level) 2. Combine valuation levels with short-term market trends to recommend a 60% equity allocation for absolute return products[3][10] Model Evaluation: The model provides a systematic approach to position management, balancing valuation and market trends[3][10] Backtesting Results of Models - Industry Allocation Model: No specific numerical backtesting results provided[2][3][10] - TWO BETA Model: No specific numerical backtesting results provided[2][3][10] - Timing System Model: - Latest moving average difference: -2.80% - Previous week difference: -3.63% - Absolute difference < 3%, indicating a consolidation phase[2][9][14] - Position Management Model: - Recommended equity allocation: 60%[3][10]