Quantitative Models and Construction Methods 1. Model Name: Timing System Model - Model Construction Idea: The model uses the distance between the short-term moving average (20-day) and the long-term moving average (120-day) of the WIND All A Index to determine the market trend[2][9] - Model Construction Process: - Calculate the 20-day moving average and the 120-day moving average of the WIND All A Index - Compute the percentage difference between the two moving averages: $ \text{Distance} = \frac{\text{20-day MA} - \text{120-day MA}}{\text{120-day MA}} \times 100% $ - If the absolute value of the distance is greater than 3% and the short-term moving average is above the long-term moving average, the market is in an upward trend[2][9] - Model Evaluation: The model effectively identifies upward market trends and provides actionable signals for investors[2][9] 2. Model Name: Industry Allocation Model - Model Construction Idea: This model identifies medium-term industry allocation opportunities by focusing on sectors with potential for recovery or growth[2][9] - Model Construction Process: - Analyze industry-specific factors such as valuation, growth potential, and market sentiment - Recommend sectors like "distressed reversal" industries, Hong Kong innovative pharmaceuticals, Hang Seng dividend low-volatility sectors, and securities for medium-term allocation[2][9] - Model Evaluation: The model provides clear guidance for sector rotation and captures medium-term opportunities in specific industries[2][9] 3. Model Name: TWO BETA Model - Model Construction Idea: This model focuses on identifying high-growth sectors in the technology domain[2][9] - Model Construction Process: - Analyze beta factors related to technology sectors - Recommend sectors such as solid-state batteries, robotics, and military industries based on their growth potential and market trends[2][9] - Model Evaluation: The model is effective in capturing high-growth opportunities in the technology sector[2][9] --- Model Backtesting Results 1. Timing System Model - Key Metrics: - Moving average distance: 6.06% (absolute value > 3%, indicating an upward trend)[2][9] - WIND All A Index trendline: 5480 points[2][9] - Profitability effect: 1.45% (positive, indicating sustained market inflows)[2][9] 2. Industry Allocation Model - Key Metrics: - Recommended sectors: distressed reversal industries, Hong Kong innovative pharmaceuticals, Hang Seng dividend low-volatility sectors, and securities[2][9] 3. TWO BETA Model - Key Metrics: - Recommended sectors: solid-state batteries, robotics, and military industries[2][9] --- Quantitative Factors and Construction Methods 1. Factor Name: Profitability Effect - Factor Construction Idea: Measures the market's ability to generate positive returns, serving as a key indicator for market sentiment and fund inflows[2][9] - Factor Construction Process: - Calculate the profitability effect as a percentage value - Positive values indicate favorable market conditions for sustained fund inflows[2][9] - Factor Evaluation: The factor is a reliable indicator of market sentiment and a useful tool for timing investment decisions[2][9] --- Factor Backtesting Results 1. Profitability Effect - Key Metrics: - Profitability effect value: 1.45% (positive, indicating favorable market conditions)[2][9]
量化择时周报:颠簸来临,如何应对?-20250803
Tianfeng Securities·2025-08-03 12:12