微盘股2025基金中报点评：微盘股中报资金大幅流入

Quantitative Models and Construction Methods 1. Model Name: Diffusion Index Timing - Initial Threshold Method (Left-Side Trading) - Model Construction Idea: The model uses the proportion of stocks in the "Wind Micro-Cap Index" that have been in an upward trend over the past 20 trading days as a diffusion index. It applies a threshold-based strategy to determine market timing[65][66] - Model Construction Process: - When the diffusion index exceeds 0.9, the strategy signals to exit positions (empty portfolio) - When the diffusion index falls below 0.1, the strategy signals to fully enter positions (full portfolio) - In other periods, the signal from the previous period is maintained - The model requires a full position before signaling an empty position, and vice versa[66] - Model Evaluation: - The model failed to outperform the "Wind Micro-Cap Index" in-sample - It struggled to identify major bear markets in 2024, leading to a "buy-the-dip" behavior - However, it captured the bottom well in 2025 and aligned with the upward trend[66] - Key Signal: Triggered an empty portfolio signal on May 8, 2025[66] 2. Model Name: Diffusion Index Timing - Delayed Threshold Method (Right-Side Trading) - Model Construction Idea: This model modifies the left-side trading approach by introducing momentum-based logic, aiming to avoid premature reversals[69] - Model Construction Process: - If the diffusion index was above 0.9 the previous day and falls below 0.9 today, the strategy signals to exit positions - If the diffusion index was below 0.1 the previous day and rises above 0.1 today, the strategy signals to fully enter positions - In other periods, the signal from the previous period is maintained[69] - Model Evaluation: - The model failed to outperform the "Wind Micro-Cap Index" in-sample - It avoided premature exits during the 2024 bull market, preserving gains - The strategy's net value reached a new high recently, but overall performance in 2025 was mediocre[69] - Key Signal: Triggered an empty portfolio signal on May 15, 2025[69] 3. Model Name: Diffusion Index Timing - Dual Moving Average Method (Adaptive Trading) - Model Construction Idea: This model introduces a dual moving average approach to adapt to market trends, reducing reliance on fixed thresholds[72] - Model Construction Process: - The short-term moving average is the 10-day moving average (MA) of the diffusion index - The long-term moving average is the 20-day MA of the short-term moving average - When the short-term MA crosses above the long-term MA, the strategy signals to fully enter positions - When the short-term MA crosses below the long-term MA, the strategy signals to exit positions[72] - Model Evaluation: - The model controlled drawdowns effectively in-sample - It avoided significant losses during the 2024 bear market and preserved gains during the bull market - However, the model showed some instability in trend recognition due to parameter smoothing issues[72] - Key Signal: Triggered an empty portfolio signal on August 4, 2025[72] --- Model Backtesting Results 1. Initial Threshold Method - Key Signal: Empty portfolio signal on May 8, 2025[66] 2. Delayed Threshold Method - Key Signal: Empty portfolio signal on May 15, 2025[69] 3. Dual Moving Average Method - Key Signal: Empty portfolio signal on August 4, 2025[72]