金融工程市场跟踪周报：小市值风格仍占优-20250519

• The report discusses the "Momentum/Reversal Effect" factor, which has shown rapid switching in the past three weeks. This factor is used to capture short-term market trends and reversals[12] - The "Dividend + Small Cap" barbell combination is suggested as the optimal choice for achieving relative returns in the current market environment, characterized by continued liquidity[12] - The "Volume Timing" model indicates a cautious view for major broad-based indices as of May 16, 2025[24] - The "Upward Count Ratio" sentiment indicator for the CSI 300 index measures the proportion of constituent stocks with positive returns over a specified period. This indicator helps capture market sentiment and potential opportunities[25] - The "Moving Average Sentiment Indicator" uses an eight-moving average system to assess the trend status of the CSI 300 index. The indicator assigns values based on the position of the index relative to the moving averages[32] Model and Factor Construction Process - Volume Timing Model: The model uses trading volume data to generate timing signals for broad-based indices. As of May 16, 2025, the signals for all indices are cautious[24] - Upward Count Ratio: - Formula: CSI 300 Index N-day Upward Count Ratio = Number of constituent stocks with positive returns over the past N days / Total number of constituent stocks[25] - The indicator is smoothed using two different window periods (N1=50, N2=35) to capture changes in sentiment. When the short-term smoothed line is above the long-term smoothed line, it indicates an upward trend and a positive market outlook[26][28] - Moving Average Sentiment Indicator: - Calculate the eight moving averages for the CSI 300 index with parameters 8, 13, 21, 34, 55, 89, 144, and 233[32] - Assign values based on the position of the index relative to the moving averages. If the current price is above the moving averages for more than five periods, it indicates a positive market outlook[36] Model and Factor Evaluation - Volume Timing Model: The model is effective in capturing cautious market sentiment during periods of reduced trading volume[24] - Upward Count Ratio: The indicator is useful for quickly identifying upward market opportunities but may miss out on gains during sustained market exuberance. It also has limitations in predicting market downturns[25] - Moving Average Sentiment Indicator: The indicator provides a clear correlation between the sentiment index and the CSI 300 index's price movements, making it effective for trend analysis[32] Backtest Results - Volume Timing Model: All indices show a cautious signal as of May 16, 2025[24] - Upward Count Ratio: The indicator shows a recent increase, with the upward count ratio above 50%, indicating high market sentiment[25] - Moving Average Sentiment Indicator: The CSI 300 index is currently in the sentiment boom zone, suggesting a positive market outlook[32]