择时雷达六面图：信用指标弱化，拥挤度分数下行

Quantitative Models and Construction Methods 1. Model Name: Timing Radar Hexagon Model - Model Construction Idea: The equity market's performance is influenced by multiple dimensions of factors. The model selects 21 indicators from six dimensions: liquidity, economic fundamentals, valuation, capital flow, technical trends, and crowding. These indicators are then categorized into four major dimensions: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," to generate a comprehensive timing score ranging between [-1, 1][1][6][8] - Model Construction Process: - The model aggregates the scores of 21 indicators into four major categories - Each indicator is normalized and scored based on its historical performance and deviation from the mean - The final comprehensive timing score is calculated as the weighted average of the four major categories, with the score ranging from -1 (bearish) to 1 (bullish)[1][6][8] - Model Evaluation: The model provides a multi-dimensional perspective on market timing, offering a comprehensive view of market conditions[1][6] --- Quantitative Factors and Construction Methods 1. Factor Name: Monetary Direction Factor - Factor Construction Idea: This factor aims to determine the current direction of monetary policy by analyzing changes in central bank policy rates and short-term market interest rates over the past 90 days[10] - Factor Construction Process: - Calculate the average change in central bank policy rates and short-term market interest rates over the past 90 days - If the factor value > 0, it indicates an expansionary monetary policy; if < 0, it indicates a tightening monetary policy[10] - Factor Evaluation: The factor effectively captures the direction of monetary policy and its implications for market sentiment[10] 2. Factor Name: Monetary Strength Factor - Factor Construction Idea: Based on the "interest rate corridor" concept, this factor measures the deviation of short-term market interest rates from policy rates to assess the monetary environment[14] - Factor Construction Process: - Calculate the deviation: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-year reverse repo rate}} - 1 $ - Smooth the deviation and apply z-score normalization to form the monetary strength factor - If the factor value is below -1.5 standard deviations, it indicates a loose monetary environment; if above 1.5 standard deviations, it indicates a tight monetary environment[14] - Factor Evaluation: The factor provides a quantitative measure of the monetary environment's tightness or looseness[14] 3. Factor Name: Credit Direction Factor - Factor Construction Idea: This factor reflects the tightness of credit transmission from commercial banks to the real economy, using long-term loan data[17] - Factor Construction Process: - Calculate the monthly value of long-term loans - Compute the 12-month incremental change and year-over-year growth - If the factor value rises compared to three months ago, it is bullish (score = 1); otherwise, it is bearish (score = -1)[17] - Factor Evaluation: The factor captures the credit environment's directional changes effectively[17] 4. Factor Name: Credit Strength Factor - Factor Construction Idea: This factor measures whether credit indicators significantly exceed or fall short of expectations[22] - Factor Construction Process: - Calculate the credit strength factor: $ \text{Credit Strength Factor} = \frac{\text{New RMB Loans (current month) - Expected Median}}{\text{Expected Standard Deviation}} $ - If the factor value > 1.5 standard deviations, it indicates a significantly above-expectation credit environment (score = 1); if < -1.5 standard deviations, it indicates a below-expectation environment (score = -1)[22] - Factor Evaluation: The factor provides insights into the magnitude of credit surprises[22] 5. Factor Name: Growth Direction Factor - Factor Construction Idea: This factor is based on PMI data to assess the direction of economic growth[26] - Factor Construction Process: - Use PMI data (e.g., manufacturing and non-manufacturing PMI) - Calculate the 12-month moving average and year-over-year growth - If the factor value rises compared to three months ago, it is bullish (score = 1); otherwise, it is bearish (score = -1)[26] - Factor Evaluation: The factor effectively captures the directional trend of economic growth[26] 6. Factor Name: Growth Strength Factor - Factor Construction Idea: This factor measures whether economic growth indicators significantly exceed or fall short of expectations[28] - Factor Construction Process: - Calculate the growth strength factor: $ \text{Growth Strength Factor} = \frac{\text{PMI - Expected Median}}{\text{Expected Standard Deviation}} $ - If the factor value > 1.5 standard deviations, it indicates a significantly above-expectation growth environment (score = 1); if < -1.5 standard deviations, it indicates a below-expectation environment (score = -1)[28] - Factor Evaluation: The factor captures the magnitude of economic growth surprises[28] 7. Factor Name: Inflation Direction Factor - Factor Construction Idea: This factor assesses the direction of inflation and its implications for monetary policy[31] - Factor Construction Process: - Calculate the inflation direction factor: $ \text{Inflation Direction Factor} = 0.5 \times \text{CPI (smoothed)} + 0.5 \times \text{PPI (raw)} $ - If the factor value decreases compared to three months ago, it indicates a deflationary environment (score = 1); otherwise, it indicates an inflationary environment (score = -1)[31] - Factor Evaluation: The factor provides a clear signal of inflation trends and their impact on monetary policy[31] 8. Factor Name: Inflation Strength Factor - Factor Construction Idea: This factor measures whether inflation indicators significantly exceed or fall short of expectations[32] - Factor Construction Process: - Calculate the inflation strength factor: $ \text{Inflation Strength Factor} = \frac{\text{CPI or PPI - Expected Median}}{\text{Expected Standard Deviation}} $ - If the factor value < -1.5, it indicates a significantly below-expectation inflation environment (score = 1); if > 1.5 standard deviations, it indicates an above-expectation environment (score = -1)[32] - Factor Evaluation: The factor captures the magnitude of inflation surprises[32] --- Backtesting Results of Factors 1. Monetary Direction Factor - Current score: 1 (bullish signal)[11] 2. Monetary Strength Factor - Current score: -1 (bearish signal)[14] 3. Credit Direction Factor - Current score: -1 (bearish signal)[18] 4. Credit Strength Factor - Current score: -1 (bearish signal)[22] 5. Growth Direction Factor - Current score: 1 (bullish signal)[26] 6. Growth Strength Factor - Current score: 0 (neutral signal)[28] 7. Inflation Direction Factor - Current score: 1 (bullish signal)[31] 8. Inflation Strength Factor - Current score: 1 (bullish signal)[33]