量化择时和拥挤度预警周报（20251121）：市场下周或将维持震荡-20251123

• The SAR indicator shows that the Wind All A Index broke below the reversal point on November 17, indicating a bearish signal for the market[3][10][13] - The moving average strength index, calculated using Wind secondary industry indices, scored 80, placing it at the 25.9% percentile since 2023, suggesting further downside potential in the market[3][10][13] - The sentiment model, constructed using factors related to limit-up and limit-down board data, scored 0 out of 5, indicating weak market sentiment. Both the trend model and weighted model signals are negative[3][10][13] Sentiment Model Construction - Name: Sentiment Model - Construction Idea: The model uses limit-up and limit-down board data to measure market sentiment strength[10][13] - Detailed Process: Factors such as net limit-up ratio, next-day return after limit-down, limit-up board ratio, limit-down board ratio, and high-frequency board trading returns are calculated to derive the sentiment score[13] - Evaluation: The sentiment model indicates weak market sentiment, with a score of 0 out of 5[10][13] Sentiment Model Backtest Results - Sentiment Model: Sentiment score = 0[13] Factor Crowding Observations - Name: Factor Crowding Metrics - Construction Idea: Factor crowding is measured to predict potential factor failure due to excessive capital tracking or investing in specific factors[14] - Detailed Process: Metrics such as valuation spread, pairwise correlation, long-term return reversal, and factor volatility are used to calculate crowding levels for common factors like small-cap, low valuation, high profitability, and high growth[14][15] - Evaluation: Low valuation factor shows the highest negative crowding score (-0.69), indicating potential instability, while small-cap factor has a positive crowding score (0.39), suggesting moderate stability[15][17] Factor Crowding Backtest Results - Small-cap Factor: Crowding score = 0.39[15][17] - Low Valuation Factor: Crowding score = -0.69[15][17] - High Profitability Factor: Crowding score = -0.02[15][17] - High Growth Factor: Crowding score = 0.05[15][17]