市场形态周报（20250519-20250523）：本周指数普遍下跌-20250525

Quantitative Models and Construction Methods 1. Model Name: Heston Model - Model Construction Idea: The Heston model is used to calculate the implied volatility of near-month at-the-money options, serving as a market fear index. Implied volatility reflects market participants' expectations of future volatility [7]. - Model Construction Process: The Heston model is a stochastic volatility model where the variance of the asset price follows a mean-reverting square-root process. The model is defined by the following equations: $ dS_t = \mu S_t dt + \sqrt{v_t} S_t dW_t^1 $ $ dv_t = \kappa (\theta - v_t) dt + \sigma \sqrt{v_t} dW_t^2 $ Here: - $S_t$: Asset price - $v_t$: Variance process - $\mu$: Drift rate of the asset price - $\kappa$: Rate of mean reversion - $\theta$: Long-term variance - $\sigma$: Volatility of volatility - $W_t^1, W_t^2$: Two Wiener processes with correlation $\rho$ [7]. --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Long-Short Ratio Scissor Difference - Factor Construction Idea: This factor is based on the number of stocks with bullish and bearish signals within an industry index. The scissor difference ratio is used to construct an industry timing strategy [15]. - Factor Construction Process: - Define the number of stocks with bullish signals as $N_{bull}$ and bearish signals as $N_{bear}$. - If $N_{bull} = 0$, set the bullish count to 0. Similarly, if $N_{bear} = 0$, set the bearish count to 0. - The scissor difference is calculated as $N_{bull} - N_{bear}$, and the ratio is $\frac{N_{bull} - N_{bear}}{N_{bull} + N_{bear}}$ [15]. - Factor Evaluation: The backtesting results show that this factor outperforms the respective industry indices in all cases, indicating excellent historical performance [15]. --- Backtesting Results of Models and Factors 1. Heston Model - Implied Volatility Results: - SSE 50: 13.48% (+1.11% WoW) - SSE 500: 16.97% (+0.72% WoW) - CSI 1000: 21.37% (+1.76% WoW) - CSI 300: 13.25% (-0.12% WoW) [9]. 2. Multi-Long-Short Ratio Scissor Difference - Industry Timing Strategy Results: - The timing model outperformed the respective industry indices in 100% of cases [15]. - Specific Industry Examples: - Retail Trade: Strategy Annualized Return 19.5%, Max Drawdown -43.39%, Index Annualized Return -1.49%, Max Drawdown -77.37% - Home Appliances: Strategy Annualized Return 16.27%, Max Drawdown -38.25%, Index Annualized Return 11.06%, Max Drawdown -48.96% - Comprehensive: Strategy Annualized Return 24.05%, Max Drawdown -40.81%, Index Annualized Return 0.11%, Max Drawdown -81.18% [16][18].