基于技术指标的指数仓位调整月报

Market Positioning Signals - CSI 300: 3 indicators signal bullish, 20 indicators signal reduction; optimal single indicator signals reduction; both rolling momentum and rolling conservative strategies signal reduction[2] - CSI 500: 4 indicators signal bullish, 19 indicators signal reduction; optimal single indicator signals reduction; both rolling momentum and rolling conservative strategies signal reduction[2] - CSI 1000: 5 indicators signal bullish, 18 indicators signal reduction; optimal single indicator signals reduction; both rolling momentum and rolling conservative strategies signal reduction[2] Performance Metrics - The average excess annualized return from a single technical indicator based on volume-price divergence across 34 indices is 3.75%[3] - The 5-signal strategy achieved an annualized return of 2.54% on the CSI 1000, with an excess annualized return of 11.27%[3] - The rolling conservative strategy, with a rebalancing frequency of T+10, yields an average excess annualized return of 3.99%[3] Strategy Outcomes - In May, the rolling momentum strategy recorded excess returns of -0.13% for CSI 300, -0.04% for CSI 500, and 0.00% for CSI 1000[9] - The rolling conservative strategy showed a return of 0.17% for CSI 300, -0.04% for CSI 500, and -0.36% for CSI 1000[12] Risk Considerations - All statistical results are based on historical data, and future market conditions may change significantly[26] - Single-factor returns may exhibit substantial volatility, necessitating the integration of risk management methods[26] - Model calculations may contain relative errors and do not constitute actual investment advice[26]