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Quantitative Models and Construction Methods - Model Name: Timing Radar Six-Dimensional Framework Model Construction Idea: The equity market is influenced by multiple dimensions of factors. This model selects 21 indicators from six dimensions: liquidity, economic fundamentals, valuation, capital flow, technicals, and crowding. These are summarized into four categories: "valuation cost-effectiveness," "macro fundamentals," "capital & trend," and "crowding & reversal," generating a composite timing score between [-1, 1][1][6][8] Model Construction Process: 1. Select 21 indicators across six dimensions 2. Group indicators into four categories: - Valuation cost-effectiveness - Macro fundamentals - Capital & trend - Crowding & reversal 3. Normalize the composite score to a range of [-1, 1] Model Evaluation: The model provides a comprehensive view of market conditions by integrating multiple dimensions, offering a balanced perspective on market timing[1][6][8] --- Quantitative Factors and Construction Methods Liquidity Factors 1. Factor Name: Monetary Direction Factor Factor Construction Idea: Measures the direction of monetary policy using central bank policy rates and short-term market rates[10] Factor Construction Process: - Calculate the average change in policy rates and short-term market rates over the past 90 days - If the factor > 0, monetary policy is considered expansionary; if < 0, it is contractionary Factor Evaluation: Effectively captures monetary policy direction[10] 2. Factor Name: Monetary Intensity Factor Factor Construction Idea: Based on the "interest rate corridor" concept, measures the deviation of short-term market rates from policy rates[12] Factor Construction Process: - Calculate deviation = DR007/7-year reverse repo rate - 1 - Smooth and z-score the deviation to form the factor - If the factor < -1.5 standard deviations, it indicates a loose environment; if > 1.5, it indicates a tight environment Factor Evaluation: Captures the relative intensity of monetary policy[12] 3. Factor Name: Credit Direction Factor Factor Construction Idea: Reflects the transmission of credit to the real economy using medium- and long-term loan data[15] Factor Construction Process: - Calculate the year-on-year growth of medium- and long-term loans over the past 12 months - If the factor rises compared to three months ago, it signals a positive trend; otherwise, negative Factor Evaluation: Provides insights into credit flow trends[15] 4. Factor Name: Credit Intensity Factor Factor Construction Idea: Measures whether credit data significantly exceeds or falls short of expectations[18] Factor Construction Process: - Calculate (new RMB loans - median forecast)/forecast standard deviation - If the factor > 1.5 standard deviations, it indicates a significantly positive credit environment; if < -1.5, it indicates a negative environment Factor Evaluation: Captures unexpected credit changes effectively[18] Economic Factors 1. Factor Name: Growth Direction Factor Factor Construction Idea: Based on PMI data, measures the direction of economic growth[20] Factor Construction Process: - Calculate the 12-month moving average of PMI and its year-on-year change - If the factor rises compared to three months ago, it signals a positive trend; otherwise, negative Factor Evaluation: Reflects economic growth trends accurately[20] 2. Factor Name: Growth Intensity Factor Factor Construction Idea: Measures whether economic growth data significantly exceeds or falls short of expectations[23] Factor Construction Process: - Calculate (PMI - median forecast)/forecast standard deviation - If the factor > 1.5 standard deviations, it indicates significantly positive growth; if < -1.5, it indicates negative growth Factor Evaluation: Captures unexpected economic growth changes effectively[23] 3. Factor Name: Inflation Direction Factor Factor Construction Idea: Measures the direction of inflation using CPI and PPI data[25] Factor Construction Process: - Calculate 0.5 × smoothed CPI year-on-year + 0.5 × raw PPI year-on-year - If the factor decreases compared to three months ago, it signals a deflationary environment; otherwise, inflationary Factor Evaluation: Reflects inflation trends effectively[25] 4. Factor Name: Inflation Intensity Factor Factor Construction Idea: Measures whether inflation data significantly exceeds or falls short of expectations[27] Factor Construction Process: - Calculate (CPI or PPI - median forecast)/forecast standard deviation - If the factor < -1.5, it indicates significantly lower-than-expected inflation; if > 1.5, it indicates higher-than-expected inflation Factor Evaluation: Captures unexpected inflation changes effectively[27] Valuation Factors 1. Factor Name: Shiller ERP Factor Construction Idea: Adjusts for economic cycles to measure equity risk premium[28] Factor Construction Process: - Calculate Shiller PE using 6-year inflation-adjusted average earnings - Compute ERP = 1/Shiller PE - 10-year government bond yield - Normalize using a 6-year z-score Factor Evaluation: Provides a cyclically adjusted view of equity valuation[28] 2. Factor Name: PB Factor Construction Idea: Measures valuation using price-to-book ratio[31] Factor Construction Process: - Multiply PB by -1 and normalize using a 6-year z-score - Standardize to ±1 after 1.5 standard deviation truncation Factor Evaluation: Offers a straightforward valuation metric[31] 3. Factor Name: AIAE Factor Construction Idea: Reflects market-wide equity allocation and risk appetite[33] Factor Construction Process: - Calculate AIAE = total market cap of CSI All Share/(total market cap + total corporate debt) - Multiply AIAE by -1 and normalize using a 6-year z-score Factor Evaluation: Captures market risk appetite effectively[33] Capital Flow Factors 1. Factor Name: Margin Trading Increment Factor Construction Idea: Measures market leverage through margin trading trends[36] Factor Construction Process: - Calculate the difference between financing and short-selling balances - Compare the 120-day average increment with the 240-day average increment - If the 120-day increment > 240-day increment, it signals a positive trend; otherwise, negative Factor Evaluation: Reflects market sentiment and leverage trends[36] 2. Factor Name: Turnover Trend Factor Construction Idea: Measures market activity through turnover trends[39] Factor Construction Process: - Calculate log turnover moving average distance = ma120/ma240 - 1 - If max(10, 30, 60-day moving averages) is positive, it signals a positive trend; otherwise, negative Factor Evaluation: Captures market activity effectively[39] 3. Factor Name: China Sovereign CDS Spread Factor Construction Idea: Reflects foreign investors' perception of China's economic and credit risk[43] Factor Construction Process: - Calculate the 20-day difference of smoothed CDS spreads - If the difference < 0, it signals a positive trend; otherwise, negative Factor Evaluation: Provides insights into foreign capital flow trends[43] 4. Factor Name: Overseas Risk Aversion Index Factor Construction Idea: Captures global market risk appetite using Citi RAI Index[45] Factor Construction Process: - Calculate the 20-day difference of smoothed RAI - If the difference < 0, it signals a positive trend; otherwise, negative Factor Evaluation: Reflects global risk sentiment effectively[45] Technical Factors 1. Factor Name: Price Trend Factor Construction Idea: Measures market trend direction and strength using moving averages[47] Factor Construction Process: - Calculate moving average distance = ma120/ma240 - 1 - Compute trend direction and strength scores, then average them Factor Evaluation: Captures market trend dynamics effectively[47] 2. Factor Name: New Highs and Lows Factor Construction Idea: Uses the difference between new highs and lows as a reversal signal[49] Factor Construction Process: - Calculate the 20-day moving average of new lows - new highs - If the value > 0, it signals a bottoming market; otherwise, a topping market Factor Evaluation: Provides reversal signals effectively[49] Crowding Factors 1. Factor Name: Implied Premium/Discount Factor Construction Idea: Derived from option pricing, reflects market sentiment[53] Factor Construction Process: - Use the put-call parity to calculate implied premium/discount