择时雷达六面图：本周估值与拥挤度分数弱化

Quantitative Models and Construction Methods Model Name: Timing Radar Six-Factor Model - Model Construction Idea: The model aims to capture the performance of the equity market through multiple dimensions, including liquidity, economic conditions, valuation, capital flows, technical indicators, and crowding. It summarizes these into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score between [-1,1][1][6]. - Model Construction Process: - Liquidity: Includes indicators like monetary strength and credit strength. For example, the monetary direction factor is calculated based on the average change in central bank policy rates and short-term market rates over the past 90 days[12][15][18][21]. - Economic Conditions: Includes indicators like inflation direction and growth direction. For instance, the growth direction factor is based on PMI data, calculated as the 12-month moving average and year-over-year change[22][26][27][31]. - Valuation: Includes indicators like Shiller ERP, PB, and AIAE. For example, Shiller ERP is calculated as 1/Shiller PE minus the 10-year government bond yield, with a z-score over the past three years[32][36][39]. - Capital Flows: Includes indicators like margin trading increment and trading volume trend. For example, the margin trading increment is calculated as the difference between the 120-day and 240-day moving averages of financing balance minus short selling balance[41][44][47][49]. - Technical Indicators: Includes indicators like price trend and new highs and lows. For example, the price trend is measured using the distance between the 120-day and 240-day moving averages[51][54]. - Crowding: Includes indicators like implied premium/discount from derivatives and convertible bond pricing deviation. For example, the implied premium/discount is derived from the put-call parity relationship in options[57][62][65]. - Model Evaluation: The model provides a comprehensive view of market conditions by integrating multiple dimensions, making it a robust tool for market timing[1][6]. Model Backtesting Results - Current Comprehensive Score: -0.10, indicating a neutral view overall[1][6]. - Liquidity Score: 0.00, indicating a neutral signal[8]. - Economic Conditions Score: 0.00, indicating a neutral signal[8]. - Valuation Score: -0.11, indicating a slightly bearish signal[8]. - Capital Flows Score: 0.00, indicating a neutral signal[8]. - Technical Indicators Score: -0.50, indicating a bearish signal[8]. - Crowding Score: -0.13, indicating a slightly bearish signal[8]. Quantitative Factors and Construction Methods Factor Name: Monetary Direction Factor - Factor Construction Idea: To determine the direction of current monetary policy by comparing central bank policy rates and short-term market rates over the past 90 days[12]. - Factor Construction Process: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days. - If the factor is greater than 0, it indicates a loose monetary policy; if less than 0, it indicates a tight monetary policy[12]. - Factor Evaluation: Provides a clear indication of the monetary policy direction, which is crucial for market timing[12]. Factor Name: Credit Direction Factor - Factor Construction Idea: To measure the tightness of credit transmission from commercial banks to the real economy using long-term loan indicators[18]. - Factor Construction Process: - Calculate the monthly value of long-term loans. - Compute the year-over-year change over the past 12 months. - If the factor is rising compared to three months ago, it indicates a bullish signal; otherwise, it indicates a bearish signal[18]. - Factor Evaluation: Effectively captures the credit conditions in the economy, which is vital for assessing market liquidity[18]. Factor Backtesting Results - Monetary Direction Factor: Score of 1, indicating a bullish signal[12]. - Credit Direction Factor: Score of 1, indicating a bullish signal[18]. - Monetary Strength Factor: Score of -1, indicating a bearish signal[15]. - Credit Strength Factor: Score of -1, indicating a bearish signal[21]. - Growth Direction Factor: Score of -1, indicating a bearish signal[22]. - Growth Strength Factor: Score of -1, indicating a bearish signal[26]. - Inflation Direction Factor: Score of 1, indicating a bullish signal[27]. - Inflation Strength Factor: Score of 1, indicating a bullish signal[31]. - Shiller ERP: Score of 0.16, indicating a slightly bearish signal[32]. - PB: Score of -0.38, indicating a bearish signal[36]. - AIAE: Score of -0.11, indicating a slightly bearish signal[39]. - Margin Trading Increment: Score of -1, indicating a bearish signal[41]. - Trading Volume Trend: Score of -1, indicating a bearish signal[44]. - China Sovereign CDS Spread: Score of 1, indicating a bullish signal[47]. - Overseas Risk Aversion Index: Score of 1, indicating a bullish signal[49]. - Price Trend: Score of 0, indicating a neutral signal[51]. - New Highs and Lows: Score of -1, indicating a bearish signal[54]. - Implied Premium/Discount: Score of 1, indicating a bullish signal[57]. - Implied Volatility (VIX): Score of 0, indicating a neutral signal[58]. - Implied Skewness (SKEW): Score of -1, indicating a bearish signal[62]. - Convertible Bond Pricing Deviation: Score of -0.51, indicating a bearish signal[65].