市场形态周报（20250714-20250718）：本周指数普遍上涨-20250721

Quantitative Models and Construction Methods 1. Model Name: Heston Model - Model Construction Idea: The Heston model is used to calculate the implied volatility of near-month at-the-money options, serving as a market fear index. It reflects market participants' expectations of future volatility [7] - Model Construction Process: The Heston model is a stochastic volatility model where the variance of the asset price follows a mean-reverting square-root process. The model is defined by the following equations: $dS_t = \mu S_t dt + \sqrt{v_t} S_t dW_t^S$ $dv_t = \kappa (\theta - v_t) dt + \sigma \sqrt{v_t} dW_t^v$ where: - $S_t$: Asset price - $v_t$: Variance of the asset price - $\mu$: Drift term - $\kappa$: Speed of mean reversion - $\theta$: Long-term variance - $\sigma$: Volatility of variance - $W_t^S, W_t^v$: Two Wiener processes with correlation $\rho$ [7] - Model Evaluation: The Heston model is widely recognized for its ability to capture the stochastic nature of volatility, making it suitable for modeling market fear indices [7] --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Industry Timing Factor (Scissors Difference) - Factor Construction Idea: This factor is based on the difference in the number of stocks with bullish and bearish signals within an industry. It aims to identify timing opportunities by analyzing the divergence between bullish and bearish signals [14] - Factor Construction Process: - Define the number of stocks with bullish signals ($N_{bullish}$) and bearish signals ($N_{bearish}$) in an industry on a given day - If no bullish or bearish signals are present, set the respective count to 0 - Calculate the scissors difference as: $\text{Scissors Difference} = N_{bullish} - N_{bearish}$ - Normalize the scissors difference to obtain a ratio: $\text{Scissors Ratio} = \frac{N_{bullish} - N_{bearish}}{N_{bullish} + N_{bearish}}$ - Use this ratio to construct an industry timing strategy [14] - Factor Evaluation: The backtesting results show that the scissors difference timing model outperforms the respective industry indices in all cases, demonstrating excellent historical performance [14] --- Model Backtesting Results 1. Heston Model - Implied volatility for major indices: - Shanghai 50: 13.5% (down 0.91% from last week) - Shanghai 500: 15.29% (down 0.11% from last week) - CSI 1000: 16.79% (down 1.3% from last week) - CSI 300: 13.65% (down 0.83% from last week) [9] --- Factor Backtesting Results 1. Multi-Industry Timing Factor (Scissors Difference) - Backtesting results for selected industries: - Real Estate: Strategy annualized return 13.18%, maximum drawdown -34.3%; Index annualized return -1.21%, maximum drawdown -75.09% - Light Manufacturing: Strategy annualized return 21.84%, maximum drawdown -37.91%; Index annualized return 2.76%, maximum drawdown -67.79% - Coal: Strategy annualized return 28.73%, maximum drawdown -24.76%; Index annualized return -0.1%, maximum drawdown -69.7% - Pharmaceuticals: Strategy annualized return 19.22%, maximum drawdown -42.71%; Index annualized return 6.69%, maximum drawdown -55.37% [15][16]