向上突破仍待资金面支持——金融工程市场跟踪周报 20250607

Quantitative Models and Construction Methods 1. Model Name: Volume Timing Model - Model Construction Idea: The model uses volume signals to time the market, indicating cautious signals when the volume is low. - Model Construction Process: The model calculates the volume timing signals for major broad-based indices. The specific process involves assessing the volume levels and determining the market stance based on these levels. - Model Evaluation: The model currently maintains a cautious signal for all major broad-based indices.[2][23][24] 2. Model Name: Momentum Sentiment Indicator - Model Construction Idea: This model captures market sentiment by calculating the proportion of stocks with positive returns within a given period. - Model Construction Process: - Calculate the proportion of stocks in the CSI 300 index with positive returns over the past N days. - Use the formula: $\text{Proportion of stocks with positive returns} = \frac{\text{Number of stocks with positive returns in past N days}}{\text{Total number of stocks in CSI 300 index}}$ - Apply smoothing with different window periods to capture the trend changes. - Model Evaluation: The indicator can quickly capture upward opportunities but may miss out on gains during sustained market exuberance. It also has limitations in predicting downturns.[24][25][28] 3. Model Name: Moving Average Sentiment Indicator - Model Construction Idea: This model uses the eight moving average system to judge the trend state of the index. - Model Construction Process: - Calculate the eight moving averages for the closing price of the CSI 300 index with parameters 8, 13, 21, 34, 55, 89, 144, and 233. - Assign values to the indicator based on the number of moving averages the current price exceeds. - Use the formula: $\text{Indicator Value} = \begin{cases} 1 & \text{if price > 5 moving averages} \\ 0 & \text{if price between 3-5 moving averages} \\ -1 & \text{if price < 3 moving averages} \end{cases}$ - Model Evaluation: The model indicates that the CSI 300 index is currently in a sentiment boom area.[33][34][36] Model Backtesting Results 1. Volume Timing Model - Indicator Value: Cautious signal for all major broad-based indices[24] 2. Momentum Sentiment Indicator - Indicator Value: Proportion of stocks with positive returns in CSI 300 index around 64%[25] 3. Moving Average Sentiment Indicator - Indicator Value: CSI 300 index is in a sentiment boom area[36] Quantitative Factors and Construction Methods 1. Factor Name: Cross-sectional Volatility - Factor Construction Idea: This factor measures the dispersion of returns among index constituents to gauge the alpha environment. - Factor Construction Process: - Calculate the cross-sectional volatility for the constituents of the CSI 300, CSI 500, and CSI 1000 indices. - Use the formula: $\text{Cross-sectional Volatility} = \sqrt{\frac{1}{N-1} \sum_{i=1}^{N} (R_i - \bar{R})^2}$ where $R_i$ is the return of stock $i$ and $\bar{R}$ is the average return. - Factor Evaluation: The recent cross-sectional volatility has increased, indicating a better short-term alpha environment for the CSI 300 and CSI 1000 indices.[38][41] 2. Factor Name: Time-series Volatility - Factor Construction Idea: This factor measures the volatility of returns over time for index constituents to assess the alpha environment. - Factor Construction Process: - Calculate the time-series volatility for the constituents of the CSI 300, CSI 500, and CSI 1000 indices. - Use the formula: $\text{Time-series Volatility} = \sqrt{\frac{1}{T-1} \sum_{t=1}^{T} (R_t - \bar{R})^2}$ where $R_t$ is the return at time $t$ and $\bar{R}$ is the average return. - Factor Evaluation: The recent time-series volatility has increased for the CSI 300 and CSI 500 indices, indicating a better alpha environment.[42][44] Factor Backtesting Results 1. Cross-sectional Volatility - CSI 300: Recent quarterly average 1.66%, 66.11% of the past half-year[41] - CSI 500: Recent quarterly average 1.94%, 39.68% of the past half-year[41] - CSI 1000: Recent quarterly average 2.32%, 54.58% of the past half-year[41] 2. Time-series Volatility - CSI 300: Recent quarterly average 0.53%, 65.49% of the past half-year[44] - CSI 500: Recent quarterly average 0.41%, 57.14% of the past half-year[44] - CSI 1000: Recent quarterly average 0.25%, 54.98% of the past half-year[44]