SCS(SH:601555) Soochow Securities·2025-06-03 03:34Group 1 - The report focuses on adjusting index positions based on technical indicators to achieve excess returns, utilizing a variety of indicators derived from volume and price data [3][8]. - A total of 27 technical indicators were constructed and tested under specified backtesting conditions across three broad indices: CSI 300, CSI 500, and CSI 1000, as well as 31 Shenwan first-level industry indices [3][8]. - The average excess annualized return from the technical indicators designed based on the concept of volume-price divergence reached 3.75% across 34 indices [3][8]. Group 2 - The report outlines the latest performance statistics, indicating that the rolling momentum strategy achieved excess returns of -0.13% for CSI 300, -0.04% for CSI 500, and 0.00% for CSI 1000 in May [9][12]. - The rolling momentum strategy showed a strong performance in the CSI 1000 index, yielding an annualized return of 2.54% and an excess annualized return of 11.27% [3][10]. - The report distinguishes between two strategies: the rolling momentum strategy, which is suitable for investors with higher risk tolerance, and the rolling conservative strategy, which is more appropriate for those with lower risk tolerance [8][9]. Group 3 - As of early June, the model's position and signal judgments indicated that for CSI 300, 3 indicators signaled bullish, while 20 indicated a reduction in positions; similar trends were observed for CSI 500 and CSI 1000 [18][22]. - The report provides a detailed analysis of the number of bullish and bearish indicators across various sectors, highlighting the varying market conditions and potential investment opportunities [23][25]. - The report includes a comprehensive summary of the model's excess returns across different sectors, indicating performance variations and potential areas for investment focus [12][13].