SCS(SH:601555) Soochow Securities·2025-12-01 07:01Group 1: Core Insights - The report focuses on utilizing technical indicators based on volume and price data to adjust positions in indices for excess returns [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 [3][8] - The average excess annualized return from the technical indicators based on the concept of volume-price divergence reached 3.75% across 34 indices [3][8] Group 2: Latest 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 strategies showed that the rolling steady strategy could achieve an average excess annualized return of 3.99% when the adjustment frequency is reduced to T+10 [3][9] - The report indicates that the rolling steady strategy is suitable for low-risk investors, while the rolling chasing strategy is more appropriate for high-risk investors [3][9] Group 3: Latest Holdings and Signal Judgments - As of early December, the CSI 300 had 7 indicators signaling bullish trends and 16 indicators signaling a reduction in positions, with the optimal single indicator maintaining its signal [12][13] - The CSI 500 had 7 bullish signals and 16 reduction signals, with the optimal single indicator signaling bearish trends [12][13] - The CSI 1000 had 8 bullish signals and 15 reduction signals, with the optimal single indicator also signaling bearish trends [12][13]