SWHY(SZ:000166) Shenwan Hongyuan Securities·2025-05-11 10:15Quantitative Models and Construction Methods 1. Model Name: Market Sentiment Timing Model - Model Construction Idea: This model is designed to quantify market sentiment using a structured approach, incorporating multiple sub-indicators to assess the overall sentiment direction [7][8] - Model Construction Process: 1. Sub-indicators used include: industry trading volatility, industry trading congestion, price-volume consistency, Sci-Tech 50 trading proportion, industry trend, RSI, main buying force, PCR combined with VIX, and financing balance proportion [8] 2. Each sub-indicator is scored based on its sentiment direction and position within Bollinger Bands, with scores categorized as (-1, 0, 1) [8] 3. The final sentiment structure indicator is calculated as the 20-day moving average of the summed scores, oscillating around the zero axis within the range of [-6, 6] [8] - Formula: $ \text{Sentiment Indicator} = \text{20-day MA of (Sum of Sub-indicator Scores)} $ - Model Evaluation: The model effectively captures market sentiment fluctuations, with significant sentiment recovery observed since April 2024 [8][9] 2. Model Name: Moving Average Sequence Scoring (MASS) Model - Model Construction Idea: This model evaluates the long-term and short-term trends of indices by analyzing the relative positions of moving averages over different time horizons [20] - Model Construction Process: 1. For a given period (e.g., for long-term, for short-term), calculate scores for moving averages [20] 2. If a shorter moving average is above the longer moving average , assign a score of 1; otherwise, assign 0 [20] 3. Normalize the scores to a range of 0-100 and compute the average score for the index at a specific time point [20] 4. Calculate the 100-day and 20-day moving averages of the trend scores to generate buy/sell signals [20] - Formula: $ \text{Trend Score} = \frac{\text{Sum of Scores}}{N} \times 100 $ - Model Evaluation: The model provides clear signals for trend reversals, with recent results indicating a shift towards growth-oriented sectors [20][21] 3. Model Name: RSI Style Timing Model - Model Construction Idea: This model uses the Relative Strength Index (RSI) to evaluate the relative strength of different market styles (e.g., growth vs. value, small-cap vs. large-cap) [24] - Model Construction Process: 1. Calculate the net value ratio of two style indices (e.g., growth/value) over a fixed period [24] 2. Compute the RSI using the formula: $ \text{RSI} = 100 - \frac{100}{1 + \frac{\text{Average Gain}}{\text{Average Loss}}} $ - Where "Gain" represents average positive changes, and "Loss" represents average negative changes over days [24] 3. Compare the 20-day RSI with the 60-day RSI to determine the dominant style [24] - Model Evaluation: The model indicates a clear shift from large-cap value to small-cap growth styles, with strong confirmation from recent RSI trends [24][27] --- Model Backtesting Results 1. Market Sentiment Timing Model - Sentiment Indicator Value: 1.5 as of May 9, 2025, indicating a positive sentiment recovery [9] 2. Moving Average Sequence Scoring (MASS) Model - Short-term signals: Positive for indices such as CSI 300, CSI A500, and ChiNext, with short-term scores ranging from 33.90 to 40.68 [36] - Long-term signals: Positive for most indices, with long-term scores exceeding 66.57 for indices like ChiNext [36] 3. RSI Style Timing Model - Growth/Value RSI: Growth-dominant with RSI values of 57.91 (short-term) and 55.24 (long-term) for the CSI Growth/Value index [27] - Small/Large Cap RSI: Small-cap dominant with RSI values of 59.84 (short-term) and 60.16 (long-term) for the Small/Large Cap index [27] --- Quantitative Factors and Construction Methods 1. Factor Name: Price-Volume Consistency - Factor Construction Idea: Measures the stability of market sentiment based on the alignment of price and volume movements [8] - Factor Construction Process: 1. Calculate the correlation between price changes and trading volume over a fixed period [8] 2. Assign scores based on the strength of the correlation, with higher scores indicating stronger consistency [8] - Factor Evaluation: The factor showed significant improvement in recent weeks, contributing to the overall sentiment recovery [11][16] 2. Factor Name: RSI - Factor Construction Idea: Reflects the relative strength of buying vs. selling pressure over a specific period [24] - Factor Construction Process: 1. Compute average gains and losses over days [24] 2. Use the RSI formula to calculate the index value [24] - Factor Evaluation: RSI values above 50 indicate strong buying pressure, with recent results favoring growth and small-cap styles [24][27] --- Factor Backtesting Results 1. Price-Volume Consistency - Recent Score: Increased to 1 as of May 9, 2025, indicating improved alignment between price and volume [12] 2. RSI - Growth/Value RSI: Growth-dominant with short-term RSI of 57.91 [27] - Small/Large Cap RSI: Small-cap dominant with short-term RSI of 59.84 [27]