基于估值、技术、资金流、流动性构建风格指数量化择时策略

Group 1 - The report constructs a style index timing framework based on four dimensions: index valuation, technical indicators, fund flow/crowding, and liquidity, testing the effectiveness of signal models in style index timing [2][7]. - Single indicator timing is built and tested, with valuation signals indicating bullish conditions when the index valuation is extremely low and in an upward trend, while bearish signals occur when the valuation is extremely high and in a downward trend [13][18]. - Technical indicators are less stable, primarily capturing potential trend markets, with low win rates but high odds, performing better in trending markets than in volatile ones [29][32]. Group 2 - Multi-dimensional indicator timing combinations are employed, where bullish signals arise when two or more dimensions indicate a positive outlook, while a mandatory cash position is taken for 10 trading days after fund outflows and crowding signals [2][7]. - The report highlights that from May 10, 2013, to August 15, 2025, multi-dimensional timing for the CSI 300, National Growth, and National Value indices achieved annualized excess returns of 7.09%, 8.57%, and 5.04%, respectively [2][7]. - The report emphasizes that valuation reflects long-term investment philosophy, aligning better with large-cap and growth style timing, while technical and marginal fund flow indicators capture short-term speculative behavior, more suited for small-cap style timing [67]. Group 3 - Fund flow/crowding indicators are characterized by four factors: price deviation weighted by trading volume, the proportion of trading volume during price increases, leading stocks' trading volume, and turnover rate of circulating market value, which collectively depict the degree of crowding in trading funds [38][44]. - The report states that when crowding drops below 85%, it may signal the end of an upward trend, with initial high points allowing funds to continue pushing index returns without rapid pullbacks [44][48]. - Liquidity indicators assess the marginal impact of unit trading volume on price, with signals for liquidity improvement confirming bullish conditions and liquidity deterioration warning of bearish conditions [56][55].