SCS(SH:601555) Soochow Securities·2025-08-01 06:04Core 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 a specific technical indicator based on volume-price divergence [3][8] - The report highlights two main strategies: the "Rolling Steady Strategy" suitable for low-risk investors, and the "Rolling Momentum Strategy" for high-risk investors, with the latter showing stronger momentum capabilities [3][8] Latest Index Positioning - As of early August 2025, the CSI 300 has 16 indicators signaling bullish trends and 8 indicating a reduction in positions, while the CSI 500 has 15 bullish and 8 bearish signals. The CSI 1000 also shows 15 bullish signals and 8 bearish signals, with the optimal single indicator maintaining a bullish signal across all indices [2][16][18] Performance Statistics - The Rolling Momentum Strategy recorded an excess return of -0.32% for the CSI 300 and 0.00% for the CSI 1000 in July 2025, indicating varied performance across different indices [9][12] - The report provides detailed performance statistics for various sectors, with notable excess returns and losses across different strategies, highlighting the performance of the Rolling Steady and Rolling Momentum strategies [10][12][13] Signal Analysis - The report includes a comprehensive analysis of the signals for various sectors, indicating the number of bullish and bearish indicators, which can guide investment decisions [18][20][22] - For instance, the Basic Chemical sector has 18 bullish signals and 6 bearish signals, while the Public Utilities sector shows 5 bullish and 19 bearish signals, reflecting differing market sentiments across sectors [18][20]