量化择时周报：继续等待缩量-20250525

Quantitative Models and Construction Methods 1. Model Name: Industry Allocation Model - Model Construction Idea: This model aims to identify and recommend industries with potential for medium-term outperformance based on specific market conditions and sectoral dynamics [2][3][9] - Model Construction Process: The model evaluates industries based on their recovery potential ("distressed reversal sectors") and ongoing trends. It recommends sectors such as Hong Kong-listed innovative pharmaceuticals, automobiles, and new consumption industries. Additionally, it highlights sectors like technology (e.g., consumer electronics) and those with upward momentum, such as banking and gold stocks [2][3][9] - Model Evaluation: The model is effective in identifying sectors with medium-term growth potential and aligns with current market trends [2][3][9] 2. Model Name: TWO BETA Model - Model Construction Idea: This model focuses on identifying sectors with high beta characteristics, particularly in the technology domain, to capture growth opportunities [2][3][9] - Model Construction Process: The TWO BETA model emphasizes technology-related sectors, such as consumer electronics, as key areas of focus. It also considers sectors with strong upward momentum, like banking and gold stocks [2][3][9] - Model Evaluation: The model is suitable for identifying high-growth sectors in a market environment characterized by volatility and selective sectoral strength [2][3][9] 3. Model Name: Timing System Signal - Model Construction Idea: This model uses moving average distances to assess market conditions and provide timing signals for market entry or exit [2][3][8] - Model Construction Process: - The model calculates the distance between the short-term moving average (20-day) and the long-term moving average (120-day) of the Wind All A Index - Current data: - 20-day moving average: 5063 - 120-day moving average: 5079 - Distance: -0.32% (short-term moving average below long-term moving average) - The absolute value of the distance is less than 3%, indicating a market in a consolidation phase [2][3][8] - Model Evaluation: The model provides a clear and quantitative framework for assessing market trends and timing decisions [2][3][8] 4. Model Name: Position Management Model - Model Construction Idea: This model determines optimal portfolio allocation based on valuation metrics and market trends [3][9] - Model Construction Process: - The model evaluates the Wind All A Index's valuation levels: - PE ratio: 60th percentile (moderate level) - PB ratio: 10th percentile (low level) - Based on these metrics and short-term market trends, the model recommends a portfolio allocation of 50% for absolute return products [3][9] - Model Evaluation: The model effectively balances valuation considerations with market dynamics to guide portfolio allocation [3][9] --- Backtesting Results of Models 1. Industry Allocation Model - Recommended sectors: Hong Kong-listed innovative pharmaceuticals, automobiles, new consumption, technology (e.g., consumer electronics), banking, and gold stocks [2][3][9] 2. TWO BETA Model - Focus sectors: Technology (e.g., consumer electronics), banking, and gold stocks [2][3][9] 3. Timing System Signal - Moving average distance: -0.32% (absolute value < 3%, indicating a consolidation phase) [2][3][8] 4. Position Management Model - Recommended portfolio allocation: 50% for absolute return products [3][9]