择时雷达六面图：本周市场较为拥挤

Quantitative Models and Construction - Model Name: Timing Radar Six-Dimensional Framework Model Construction Idea: The model integrates multi-dimensional indicators to assess equity market performance, categorizing them into four major dimensions: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Funds & Trends," and "Crowdedness & Reversal," generating a composite timing score within [-1,1] range [1][6][9] Model Construction Process: 1. Select 21 indicators across liquidity, economic fundamentals, valuation, funds, technical trends, and crowdedness dimensions [1][6] 2. Aggregate these indicators into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Funds & Trends," and "Crowdedness & Reversal" [1][6] 3. Calculate a composite timing score within the range [-1,1] based on the aggregated indicators [1][6] Model Evaluation: Provides a comprehensive view of market conditions, but its effectiveness depends on stable market environments [1][6] Quantitative Factors and Construction Liquidity Factors - Factor Name: Monetary Direction Factor Factor Construction Idea: Measures the direction of monetary policy based on changes in policy rates and short-term market rates [12] Factor Construction Process: 1. Calculate the average change in policy rates and short-term market rates over the past 90 days 2. If the factor > 0, monetary policy is considered loose; if < 0, monetary policy is considered tight [12] Factor Evaluation: Effectively captures monetary policy trends [12] - Factor Name: Monetary Strength Factor Factor Construction Idea: Represents the deviation of short-term market rates from policy rates using the "interest rate corridor" concept [15] Factor Construction Process: 1. Compute deviation = DR007/7-year reverse repo rate - 1 2. Smooth and standardize the deviation using z-score 3. Assign scores: <-1.5 SD = 1 (loose environment), >1.5 SD = -1 (tight environment) [15] Factor Evaluation: Captures short-term liquidity deviations effectively [15] - Factor Name: Credit Direction Factor Factor Construction Idea: Reflects the transmission of credit from banks to the real economy [18] Factor Construction Process: 1. Use monthly long-term loan data 2. Calculate past 12-month increments and year-over-year changes 3. Compare with three months prior: upward trend = 1, downward trend = -1 [18] Factor Evaluation: Provides insights into credit transmission trends [18] - Factor Name: Credit Strength Factor Factor Construction Idea: Measures whether credit indicators significantly exceed or fall short of expectations [21] Factor Construction Process: 1. Compute deviation = (new RMB loans - median forecast)/forecast SD 2. Assign scores: >1.5 SD = 1 (credit exceeds expectations), <-1.5 SD = -1 (credit falls short) [21] Factor Evaluation: Captures unexpected credit changes effectively [21] Economic Factors - Factor Name: Growth Direction Factor Factor Construction Idea: Based on PMI data to assess economic growth trends [23] Factor Construction Process: 1. Use PMI data (manufacturing, non-manufacturing, Caixin manufacturing) 2. Calculate past 12-month averages and year-over-year changes 3. Compare with three months prior: upward trend = 1, downward trend = -1 [23] Factor Evaluation: Reflects economic growth trends effectively [23] - Factor Name: Growth Strength Factor Factor Construction Idea: Measures whether economic growth indicators significantly exceed or fall short of expectations [26] Factor Construction Process: 1. Compute deviation = (PMI - median forecast)/forecast SD 2. Assign scores: >1.5 SD = 1 (growth exceeds expectations), <-1.5 SD = -1 (growth falls short) [26] Factor Evaluation: Captures unexpected economic growth changes effectively [26] - Factor Name: Inflation Direction Factor Factor Construction Idea: Assesses inflation trends based on CPI and PPI data [28] Factor Construction Process: 1. Compute inflation direction = 0.5 × smoothed CPI YoY + 0.5 × raw PPI YoY 2. Compare with three months prior: downward trend = 1, upward trend = -1 [28] Factor Evaluation: Reflects inflation trends effectively [28] - Factor Name: Inflation Strength Factor Factor Construction Idea: Measures whether inflation indicators significantly exceed or fall short of expectations [30] Factor Construction Process: 1. Compute deviation = (CPI/PPI - median forecast)/forecast SD 2. Assign scores: <-1.5 SD = 1 (inflation falls short), >1.5 SD = -1 (inflation exceeds expectations) [30] Factor Evaluation: Captures unexpected inflation changes effectively [30] Valuation Factors - Factor Name: Shiller ERP Factor Construction Idea: Adjusts earnings for inflation to assess market valuation [31] Factor Construction Process: 1. Compute Shiller PE = average inflation-adjusted earnings over the past six years 2. Calculate Shiller ERP = 1/Shiller PE - 10-year bond yield 3. Standardize using z-score over the past six years [31] Factor Evaluation: Provides a robust valuation metric [31] - Factor Name: PB Factor Construction Idea: Standardizes PB to assess market valuation [35] Factor Construction Process: 1. Compute PB × (-1) 2. Standardize using z-score over the past six years 3. Truncate at ±1.5 SD and normalize to ±1 range [35] Factor Evaluation: Effectively captures valuation trends [35] - Factor Name: AIAE Factor Construction Idea: Reflects market-wide equity allocation and risk appetite [37] Factor Construction Process: 1. Compute AIAE = total equity market cap/(total equity market cap + total debt) 2. Multiply by (-1) and standardize using z-score over the past six years [37] Factor Evaluation: Captures market risk appetite effectively [37] Funds Factors - Factor Name: Margin Trading Increment Factor Construction Idea: Measures market leverage trends [40] Factor Construction Process: 1. Compute margin balance - short balance 2. Compare 120-day average increment with 240-day average increment: upward trend = 1, downward trend = -1 [40] Factor Evaluation: Reflects leverage trends effectively [40] - Factor Name: Turnover Trend Factor Construction Idea: Measures market activity and liquidity [43] Factor Construction Process: 1. Compute log turnover moving average distance = ma120/ma240 - 1 2. Assign scores: max(10/30/60) = 1, min(10/30/60) = -1 [43] Factor Evaluation: Captures market activity effectively [43] - Factor Name: China Sovereign CDS Spread Factor Construction Idea: Reflects foreign investors' sentiment toward China's credit risk [47] Factor Construction Process: 1. Compute smoothed CDS spread 20-day difference 2. Assign scores: <0 = 1 (positive sentiment), >0 = -1 (negative sentiment) [47] Factor Evaluation: Captures foreign sentiment effectively [47] - Factor Name: Overseas Risk Aversion Index Factor Construction Idea: Reflects global market risk appetite [49] Factor Construction Process: 1. Compute smoothed risk aversion index 20-day difference 2. Assign scores: <0 = 1 (positive sentiment), >0 = -1 (negative sentiment) [49] Factor Evaluation: Captures global risk appetite effectively [49] Technical Factors - Factor Name: Price Trend Factor Construction Idea: Measures market trend direction and strength [52] Factor Construction Process: 1. Compute moving average distance = ma120/ma240 - 1 2. Assign scores: >0 = 1 (upward trend), <0 = -1 (downward trend) 3. Combine trend direction and strength scores [52] Factor Evaluation: Captures market trends effectively [52] - Factor Name: New Highs and Lows Factor Construction Idea: Reflects reversal signals based on constituent stocks' highs and lows [54] Factor Construction Process: 1. Compute smoothed new lows - new highs