SCS(SH:601555) Soochow Securities·2025-07-01 05:02Core Insights - 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 across three major indices: CSI 300, CSI 500, and CSI 1000, as well as 31 industry indices, with an average excess annualized return of 3.75% achieved through indicators based on the concept of volume-price divergence [3][8] - The report highlights the performance of single and multiple signal strategies, with the 5-signal strategy yielding an annualized return of 2.54% on the CSI 1000 index and an excess annualized return of 11.27% [3][8] - The rolling synthesis of signals showed that a T+10 adjustment frequency could achieve an average excess annualized return of 3.99%, suitable for low-risk investors, termed the rolling steady strategy, while the rolling chasing strategy, which has higher volatility, is more suitable for high-risk investors [3][8] Latest Index Positioning - As of early July, the CSI 300 has 20 indicators signaling bullish, 3 signaling reduction; the optimal single indicator maintains its signal, and both rolling chasing and rolling steady strategies indicate bullish [19][22] - The CSI 500 has 18 bullish signals and 5 reduction signals, with the optimal single indicator also signaling bullish, and both strategies maintaining their signals [19][22] - The CSI 1000 shows 17 bullish signals and 7 reduction signals, with the optimal single indicator signaling bullish, and both strategies also indicating bullish [19][22] Model Performance Statistics - The rolling chasing strategy recorded excess returns of -0.92% for CSI 300, -4.45% for CSI 500, and 0.00% for CSI 1000 in June [9][12] - The report provides a detailed summary of excess returns across various indices, indicating that the rolling steady strategy performed better in certain sectors, while the rolling chasing strategy showed stronger performance in others [10][12][13] Signal Analysis - The report includes a comprehensive analysis of the number of bullish and reduction signals across various sectors, indicating a mixed outlook with some sectors showing more bullish indicators than others [23][24] - The analysis of positions and signals for both non-rolling and rolling strategies reveals varying levels of exposure and signal strength across different indices and sectors [24][25]