策略周思考：回撤何时休？“小登”何时再支棱？

Core Conclusions - The Asia-Pacific market experienced a "Black Friday" with significant declines primarily due to two factors: global liquidity expectations fluctuating and a sharp drop in sentiment observed through leveraged funds [1] - Historically, in bull markets, instances of breaking below the 60-day moving average are rare, and it typically takes about 10 days to recover. If a "time for space" strategy is needed, a maximum drawdown of around 15% can be tolerated, although current conditions differ from historical contexts [2][3] - Analyzing the recent bull market with over 2.5 times gains in specific sectors, a deviation of -1.5% from the logarithmic moving average is identified as a favorable entry point, with a success rate of nearly 70% and an average gain exceeding 5% in the following month. Currently, the Science and Technology Innovation 50 and the ChiNext Index have not reached the -1.5% entry threshold, suggesting that the Science and Technology Innovation 50 may stabilize first during the pullback [1][3][4] Market Performance - The Asia-Pacific market faced widespread declines, with the A-share market's North China 50 and ChiNext Index dropping 9.04% and 6.15% respectively, significantly outpacing declines in developed markets. This reflects a heightened selling pressure on emerging markets and high-beta attributes during a global risk-off sentiment [2][10] - The overall performance of growth sectors, including electrolytes, lithium batteries, storage, photovoltaics, and rare earths, has shown considerable pressure, with the number of gainers and median stock returns converging to the second-lowest point of the year [12][10] Liquidity and Sentiment - The core driver of market adjustments is the significant volatility in global liquidity expectations. Recent hawkish signals from multiple Federal Reserve officials have shifted market expectations for interest rate cuts, leading to a drop in the probability of a December rate cut to below 30% [20] - The tightening of liquidity has been exacerbated by rising Japanese government bond yields, which have led to a cycle of selling off dollar assets and further tightening liquidity conditions [20][21] Bull Market Dynamics - Historical data indicates that in the past 30 years, during bull markets, breaking below the 60-day moving average has occurred 59 times, with an average recovery time of 11.1 days. Approximately one-third of these instances saw immediate recovery the next day [30][31] - The success rates for recovery at various time intervals (T+5, T+20, T+60, T+120) are reported at 67.8%, 59.3%, 84.7%, and 83.1% respectively, indicating a generally favorable outlook for recovery in bull market conditions [30][31] Entry Points for Investment - The report emphasizes the importance of monitoring the logarithmic moving average deviation, with a threshold of -1.5% identified as a high-probability entry point. During the 2019-2021 bull market, this strategy yielded a 68.15% success rate and an average return of 5.71% [4][41] - Currently, the Science and Technology Innovation 50 and ChiNext Index are close to breaking the EXPMA60 but have not yet reached the -1.5% entry point, indicating potential for stabilization in the near term [47]