金融工程市场跟踪周报：短线仍以防御为主-20250621

• The report tracks quantitative sentiment indicators, including volume timing signals, which show cautious views across major broad-based indices as of June 20, 2025[22][23] - The "HS300 Upward Stock Count Ratio" sentiment indicator is calculated as the proportion of HS300 constituent stocks with positive returns over the past N days. This indicator captures market sentiment and is useful for identifying market bottoms and overheated conditions[23][24] - The "Momentum Sentiment Indicator" applies two smoothing windows (N1=50, N2=35) to the upward stock count ratio. When the short-term smoothed line exceeds the long-term smoothed line, it signals a bullish market sentiment. Conversely, when the short-term line falls below the long-term line, it indicates neutral sentiment[27][28][30] - The "Moving Average Sentiment Indicator" uses eight moving averages (parameters: 8, 13, 21, 34, 55, 89, 144, 233) to assess HS300 trends. When the number of closing prices above the moving averages exceeds five, it signals a bullish sentiment[30][32][33] - Cross-sectional volatility analysis shows that HS300 and CSI500 constituent stocks experienced declining volatility, indicating a weaker short-term alpha environment. CSI1000 stocks showed increased volatility, suggesting improved alpha conditions[36][39] - Time-series volatility analysis reveals declining volatility across HS300, CSI500, and CSI1000 indices, indicating a deteriorating alpha environment. Over the past quarter, HS300 time-series volatility was relatively favorable, while CSI500 and CSI1000 were average[39][42]