ETF观察日志(2025-10-16)：麦高视野

• The report includes the construction of the RSI (Relative Strength Index) factor, which is calculated using the formula: $ RSI = 100 - 100 / (1 + RS) $, where RS represents the ratio of average gains to average losses over a 12-day period. RSI values above 70 indicate an overbought market, while values below 30 suggest an oversold market [2] - The report also introduces the Net Purchase (NETBUY) factor, calculated using the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NETBUY(T) represents the net purchase amount, NAV(T) is the ETF net asset value on day T, and R(T) is the return on day T [2] - The report provides daily tracking of ETF data, segmented into "Broad-based" and "Thematic" categories based on the indices they track, such as CSI 300, CSI 500, and industry-specific indices like non-bank financials and dividends [2][3] - The RSI factor is evaluated as a useful indicator for identifying market conditions, such as overbought or oversold states, aiding in short-term trading decisions [2] - The Net Purchase factor is assessed as a measure of fund flow dynamics, reflecting investor sentiment and activity in ETF markets [2] - RSI values for various ETFs are provided, such as 58.17 for Huatai-PineBridge CSI 300 ETF, 57.53 for E Fund CSI 300 ETF, and 51.89 for Southern CSI 500 ETF, among others [4] - Net Purchase values for ETFs are also listed, including -13.98 billion for Huatai-PineBridge CSI 300 ETF, 0.70 billion for E Fund CSI 300 ETF, and -12.21 billion for Southern CSI 500 ETF, among others [4]