金融工程市场跟踪周报 20250927：量能再度收缩，市场波动或加剧-20250928

• Quantitative Timing Model: Volume Timing Signal - Model Name: Volume Timing Signal - Construction Idea: The model uses volume indicators to assess market sentiment and provide timing signals for broad-based indices[23] - Construction Process: The model evaluates the trading volume of major indices (e.g., Shanghai Composite Index, CSI 300, etc.) and assigns a cautious view when volume contracts significantly[23][24] - Evaluation: The model provides a cautious perspective on market timing, especially during periods of volume contraction[23] - Quantitative Sentiment Indicator: HS300 Upward Stock Count Ratio - Indicator Name: HS300 Upward Stock Count Ratio - Construction Idea: The indicator measures the proportion of stocks within the CSI 300 index that have positive returns over a given period to gauge market sentiment[24] - Construction Process: - Formula: $ HS300\ Upward\ Stock\ Count\ Ratio = \frac{\text{Number of CSI 300 stocks with positive returns over N days}}{\text{Total number of CSI 300 stocks}} $ - The indicator is smoothed using two different window periods (N1=50, N2=35) to capture short-term and long-term trends[24][28] - Evaluation: The indicator effectively captures upward opportunities but struggles to predict downward risks. It is prone to missing gains during sustained market exuberance[25] - Quantitative Sentiment Indicator: Moving Average Sentiment Indicator - Indicator Name: Moving Average Sentiment Indicator - Construction Idea: The indicator uses an eight-moving-average system to assess the sentiment and trend of the CSI 300 index[31] - Construction Process: - Calculate the eight moving averages (parameters: 8, 13, 21, 34, 55, 89, 144, 233) for the CSI 300 index closing price[31] - Assign values based on the number of moving averages above or below the current price: - If the current price exceeds five moving averages, signal a bullish sentiment[32] - Smooth the sentiment indicator using two moving average windows (N1>N2) to generate buy/sell signals[31][32] - Evaluation: The indicator provides clear sentiment signals and aligns well with CSI 300 index trends[34] - Market Alpha Environment Indicator: Cross-Sectional Volatility - Indicator Name: Cross-Sectional Volatility - Construction Idea: Measures the dispersion of returns among index constituents to evaluate the alpha generation environment[36] - Construction Process: - Calculate the standard deviation of returns for index constituents (e.g., CSI 300, CSI 500, CSI 1000) over different time periods (quarterly, semi-annual, annual)[38] - Compare the volatility levels to historical percentiles to assess the alpha environment[38] - Evaluation: The indicator shows improved short-term alpha opportunities for CSI 300 and CSI 500, while CSI 1000 remains average[36] - Market Alpha Environment Indicator: Time-Series Volatility - Indicator Name: Time-Series Volatility - Construction Idea: Measures the volatility of index constituent returns over time to assess alpha generation potential[38] - Construction Process: - Calculate the weighted time-series volatility for index constituents (e.g., CSI 300, CSI 500, CSI 1000) over different time periods (quarterly, semi-annual, annual)[41] - Compare the volatility levels to historical percentiles to evaluate the alpha environment[41] - Evaluation: CSI 500 shows favorable alpha conditions, while CSI 300 and CSI 1000 remain average or below average[38] Backtesting Results for Models and Indicators - Volume Timing Signal: - Signal: Cautious for all major indices (Shanghai Composite, CSI 300, CSI 500, CSI 1000, etc.)[24] - HS300 Upward Stock Count Ratio: - Recent Value: Approximately 60%[25] - Moving Average Sentiment Indicator: - Current Sentiment: CSI 300 index is in a bullish sentiment zone[34] - Cross-Sectional Volatility: - CSI 300: Quarterly average volatility = 2.04%, percentile = 73.50% - CSI 500: Quarterly average volatility = 2.19%, percentile = 67.46% - CSI 1000: Quarterly average volatility = 2.40%, percentile = 66.14%[38] - Time-Series Volatility: - CSI 300: Quarterly average volatility = 0.63%, percentile = 61.70% - CSI 500: Quarterly average volatility = 0.45%, percentile = 74.60% - CSI 1000: Quarterly average volatility = 0.24%, percentile = 59.76%[41]