择时雷达六面图：本周综合分数仍维持较低水平

• The report introduces a timing radar framework based on six dimensions: liquidity, economic fundamentals, valuation, capital flow, technical signals, and crowding. It selects 21 indicators to generate a comprehensive timing score ranging from [-1,1][2][7][9] - Liquidity Factors: - Monetary Direction Factor: Measures the direction of monetary policy using central bank policy rates and short-term market rates. Formula: average change over 90 days. If >0, monetary policy is considered loose, scoring 1[12][14] - Monetary Strength Factor: Based on the "interest rate corridor" concept, calculated as deviation = DR007/7-year repo rate - 1, smoothed and z-scored. If <-1.5 standard deviations, predicts a loose environment for 120 trading days, scoring 1; if >1.5, scores -1[15][16] - Credit Direction Factor: Uses long-term loan data to measure credit transmission. Formula: monthly long-term loans -> 12-month increment -> YoY comparison. If upward trend compared to 3 months ago, scores 1; otherwise -1[18][20] - Credit Strength Factor: Captures unexpected credit changes using formula: (new RMB loans - median forecast)/forecast standard deviation. If >1.5 standard deviations, scores 1; if <-1.5, scores -1[21][22] - Economic Factors: - Growth Direction Factor: Based on PMI data (manufacturing, non-manufacturing, Caixin manufacturing). Formula: PMI -> 12-month average -> YoY comparison. If upward trend compared to 3 months ago, scores 1; otherwise -1[23][25] - Growth Strength Factor: Measures unexpected growth using formula: (PMI - median forecast)/forecast standard deviation. If >1.5 standard deviations, scores 1; if <-1.5, scores -1[26][28] - Inflation Direction Factor: Combines CPI and PPI data. Formula: 0.5 × CPI YoY smoothed + 0.5 × PPI YoY raw. If downward trend compared to 3 months ago, scores 1; otherwise -1[30][34] - Inflation Strength Factor: Measures unexpected inflation changes using formula: (CPI/PPI disclosed value - median forecast)/forecast standard deviation. If <-1.5 standard deviations, scores 1; if >1.5, scores -1[31][33] - Valuation Factors: - Shiller ERP: Uses inflation-adjusted average earnings over 6 years to calculate Shiller PE, then Shiller ERP = 1/Shiller PE - 10-year government bond yield. Scores are z-scored over the past 6 years[35][36][39] - PB Factor: PB is multiplied by -1 and z-scored over the past 6 years, with 1.5 standard deviation truncation normalized to [-1,1][37][38] - AIAE Factor: Measures aggregate investor allocation to equities. Formula: AIAE = total market cap/(total market cap + total debt). AIAE is multiplied by -1 and z-scored over the past 6 years[41][42] - Capital Flow Factors: - Margin Financing Increment: Measures market leverage using financing balance - short selling balance. Formula: 120-day average increment compared to 240-day average increment. If 120-day > 240-day, scores 1; otherwise -1[43][45] - Trading Volume Trend: Measures market activity using log trading volume. Formula: moving average distance = ma120/ma240 - 1. If max(10)=max(30)=max(60), scores 1; if min(10)=min(30)=min(60), scores -1[46][47] - China Sovereign CDS Spread: Represents foreign investors' pricing of China's economic and credit risk. Formula: smoothed 20-day difference of CDS spread. If <0, scores 1; otherwise -1[49][51] - Overseas Risk Aversion Index: Captures foreign market risk appetite using Citi RAI Index. Formula: smoothed 20-day difference. If <0, scores 1; otherwise -1[52][54] - Technical Factors: - Price Trend Factor: Measures price trends using moving average distance (ma120/ma240 - 1). Trend direction scores 1 if >0, otherwise -1. Trend strength scores 1 if max(20)=max(60), otherwise -1. Composite score = (direction + strength)/2[55][56][57] - New Highs and Lows Factor: Measures reversal signals using the difference between new highs and lows of index constituents. Formula: past year new lows - new highs, smoothed with ma20. If >0, scores 1; otherwise -1[58][60] - Crowding Factors: - Option Implied Premium: Derived from put-call parity, measures market sentiment. If 50ETF 5-day return <0 and percentile <30%, scores 1; if 50ETF 5-day return >0 and percentile >70%, scores -1[61][66] - Option VIX Index: Measures expected volatility. If 50ETF 5-day return <0 and percentile >70%, scores 1; if 50ETF 5-day return >0 and percentile >70%, scores -1[62][64][65] - Option SKEW Index: Measures expected skewness. If 50ETF 5-day return <0 and percentile >70%, scores 1; if 50ETF 5-day return >0 and percentile <30%, scores -1[67][68] - Convertible Bond Pricing Deviation: Measures market sentiment using formula: deviation = bond price/model price - 1, z-scored over past 3 years. Higher deviation indicates higher crowding, scoring lower[69][71] - Factor Testing Results: - Liquidity: Monetary direction (1), monetary strength (-1), credit direction (1), credit strength (0)[12][15][18][21] - Economic: Growth direction (1), growth strength (-1), inflation direction (-1), inflation strength (0)[23][26][30][31] - Valuation: Shiller ERP (0.03), PB (-0.56), AIAE (-0.90)[35][37][41] - Capital Flow: Margin financing increment (1), trading volume trend (0), CDS spread (1), risk aversion index (-1)[43][46][49][52] - Technical: Price trend (0), new highs and lows (-1)[55][58] - Crowding: Option implied premium (-1), VIX (-1), SKEW (-1), convertible bond deviation (-1)[61][62][67][69]