金融工程研究报告：美元指数的量化择时

• The report constructs a quantitative timing indicator for the US Dollar Index by integrating five key factors: US economic fundamentals, US interest rate advantage, USD long-short position differences, global financial stress, and US fiscal deficit[1][16][22] - The construction process involves detrending, denoising, and standardizing these factors, followed by equal-weighted synthesis to form the final timing indicator[2][25] - The timing indicator is effective in predicting the US Dollar Index's upward trend when it is above the zero axis and marginally rising, with a success rate of 74.1% in such conditions[2][29][35] Model and Factor Construction 1. Model Name: US Dollar Timing Indicator - Construction Idea: Integrate multiple economic and financial factors to predict the US Dollar Index's movements[1][16] - Construction Process: 1. Identify five key factors influencing USD demand: US economic fundamentals, US interest rate advantage, USD long-short position differences, global financial stress, and US fiscal deficit[1][16][22] 2. Detrend the factors with long-term trends using rolling HP filter[25] 3. Denoise and standardize the factors[25] 4. Combine the factors with equal weights to form the final timing indicator[25] 5. The indicator uses zero as the historical fluctuation center, indicating a tendency for the USD Index to rise when above zero[25] - Evaluation: The indicator effectively predicts the USD Index's upward trend when above zero and marginally rising, with a 74.1% success rate[2][29][35] Model Backtesting Results 1. US Dollar Timing Indicator - 0 Axis Above + Marginally Rising: 74.1% probability of USD Index rising next month[29][35] - 0 Axis Above + Marginally Falling: 48.0% probability of USD Index rising next month[35] - 0 Axis Below + Marginally Rising: 35.4% probability of USD Index rising next month[35] - 0 Axis Below + Marginally Falling: 49.0% probability of USD Index rising next month[35] - Overall Sample: 52.3% probability of USD Index rising next month[35]