择时雷达六面图：本周资金面分数上升，拥挤度弱化

• The report introduces a timing radar model based on six dimensions, including liquidity, economic conditions, valuation, capital flow, technical signals, and crowding metrics, to generate a comprehensive timing score ranging from [-1,1][2][7][9] - Liquidity factors include "monetary direction" and "monetary strength" indicators. The monetary direction factor is calculated using central bank policy rates and short-term market rates, comparing their average changes over the past 90 days. If the factor > 0, it indicates monetary easing. The monetary strength factor is derived from the deviation of DR007 relative to the 7-year reverse repo rate, smoothed and standardized using z-score. If the factor < -1.5 standard deviations, it signals a future easing environment[11][15][16] - Credit factors include "credit direction" and "credit strength" indicators. The credit direction factor is calculated using monthly long-term loan data, analyzing the past 12-month increment and year-over-year changes. If the factor rises compared to three months ago, it signals a positive trend. The credit strength factor measures deviations in new RMB loans relative to expectations, standardized using z-score. If the factor > 1.5 standard deviations, it indicates a significant credit surprise[18][22][24] - Economic factors include "growth direction" and "growth strength" indicators. The growth direction factor is based on PMI data, calculating the 12-month average and year-over-year changes. If the factor rises compared to three months ago, it signals a positive trend. The growth strength factor measures deviations in PMI relative to expectations, standardized using z-score. If the factor > 1.5 standard deviations, it indicates significant growth surprises[25][28][30] - Inflation factors include "inflation direction" and "inflation strength" indicators. The inflation direction factor combines CPI and PPI data, calculating a weighted average and comparing changes over three months. If the factor decreases, it signals a favorable environment for monetary easing. The inflation strength factor measures deviations in CPI and PPI relative to expectations, standardized using z-score. If the factor < -1.5 standard deviations, it indicates significant inflation surprises[32][35][36] - Valuation factors include "Shiller ERP," "PB," and "AIAE" indicators. Shiller ERP is calculated using inflation-adjusted earnings over six years, subtracting the 10-year government bond yield, and standardized using z-score. PB is processed similarly, with a 1.5 standard deviation truncation. AIAE measures equity allocation proportion, calculated as total market capitalization divided by the sum of market capitalization and total debt, standardized using z-score[38][40][44] - Capital flow factors include "margin financing increment" and "trading volume trend" for domestic capital, and "China sovereign CDS spread" and "overseas risk aversion index" for foreign capital. Margin financing increment compares the 120-day average increment to the 240-day average increment. CDS spread measures the 20-day difference in smoothed CDS levels, while the risk aversion index uses Citi RAI data to assess overseas sentiment[47][53][56] - Technical factors include "price trend" and "new highs and lows." Price trend uses moving average distances (ma120/ma240-1) to assess market direction and strength. New highs and lows measure the difference between the number of new highs and lows among index constituents, smoothed over 20 days[60][63][64] - Crowding metrics include "option implied premium," "VIX," "SKEW," and "convertible bond pricing deviation." Option implied premium and VIX assess market sentiment based on recent returns and percentile rankings. SKEW measures the implied skewness of options, while convertible bond pricing deviation calculates the deviation of bond prices from model estimates, standardized using z-score[66][72][74] - Current scores for key factors: monetary direction (1), monetary strength (-1), credit direction (1), credit strength (0), growth direction (1), growth strength (-1), inflation direction (-1), inflation strength (0), Shiller ERP (0.07), PB (-0.46), AIAE (-0.77), margin financing increment (1), trading volume trend (0), CDS spread (1), risk aversion index (-1), price trend (0), new highs and lows (-1), option implied premium (-1), VIX (-1), SKEW (-1), convertible bond pricing deviation (-1)[12][19][26][29][42][43][45][48][50][54][57][62][65][68][72][75]