金工定期报告20251103基于技术指标的指数仓位调整月报202511-20251103

Core Insights - The report focuses on adjusting index positions based on technical indicators to achieve excess returns, utilizing a variety of indicators to generate buy and sell signals [3][8] - A total of 27 technical indicators were constructed and tested across three major indices: CSI 300, CSI 500, and CSI 1000, as well as 31 industry indices, with an average excess annualized return of 3.75% achieved through a specific indicator based on volume-price divergence [3][8] - The report highlights two main strategies: the rolling steady strategy, which is suitable for low-risk investors, and the rolling chasing strategy, which is designed for higher-risk investors looking to capitalize on upward market trends [3][8] Latest Index Positioning - As of early November 2025, the CSI 300 index has 15 indicators signaling bullish trends and 9 indicating a reduction in positions, while the CSI 500 has 13 bullish and 10 bearish signals, and the CSI 1000 shows 17 bullish and 6 bearish signals [2][14] - The optimal single indicator for the CSI 300 is maintaining its position, while the CSI 500's optimal indicator is signaling a bearish trend [2][14] Performance Statistics - The 5-signal strategy performed well, achieving an annualized return of 2.54% on the CSI 1000 index, with an excess annualized return of 11.27% [3][9] - The rolling steady strategy yielded an average excess annualized return of 3.99% when the rebalancing frequency was adjusted to T+10, indicating its robustness for conservative investors [3][8] Signal Analysis - The report provides detailed signal analysis for various sectors, indicating the number of bullish and bearish signals across different indices, such as 18 bullish signals for household appliances and 19 for textiles [14][16] - The analysis also includes performance metrics for specific sectors, with notable excess returns in electronics (6.76%) and media (6.08%), while sectors like coal and banking showed significant negative returns [10][11][12]