GUOTAI HAITONG SECURITIES·2026-02-08 02:49Quantitative Models and Construction Methods 1. Model Name: Sentiment Model - Model Construction Idea: The sentiment model is designed to measure the strength of market sentiment using factors related to limit-up and limit-down stocks[14] - Model Construction Process: The model incorporates factors such as the proportion of net limit-up stocks, next-day returns of limit-down stocks, proportion of limit-up stocks, proportion of limit-down stocks, and high-frequency board-hitting returns. These factors are aggregated to generate a sentiment score, with a maximum score of 5. The sentiment score for the current period is 0[14][18] - Model Evaluation: The sentiment model indicates weak market sentiment, as reflected by the score of 0[14][18] 2. Model Name: Moving Average Strength Index - Model Construction Idea: This model evaluates the strength of market trends by calculating the moving average strength index based on secondary industry indices[14] - Model Construction Process: The moving average strength index is calculated using the performance of secondary industry indices. The current market score is 181, which corresponds to the 62.50th percentile since 2023[14] - Model Evaluation: The model suggests that the market still has significant downside potential[14] 3. Model Name: High-Frequency Capital Flow Model - Model Construction Idea: This model uses high-frequency capital flow trends to generate buy and sell signals for major broad-based indices[14] - Model Construction Process: The model tracks high-frequency capital flows and generates signals for indices such as CSI 300, CSI 500, CSI 1000, and CSI 2000. The signals for all indices are currently negative, indicating a bearish outlook[14][18] - Model Evaluation: The model shows a bearish signal across all major indices, reflecting weak market conditions[14][18] --- Model Backtesting Results 1. Sentiment Model - Sentiment score: 0 (out of 5)[14][18] 2. Moving Average Strength Index - Current score: 181 (62.50th percentile since 2023)[14] 3. High-Frequency Capital Flow Model - CSI 300: Negative signal - CSI 500: Negative signal - CSI 1000: Negative signal - CSI 2000: Negative signal[14][18] --- Quantitative Factors and Construction Methods 1. Factor Name: Factor Crowding Indicator - Factor Construction Idea: The factor crowding indicator measures the degree of crowding in specific factors, which can serve as a warning for factor underperformance[19] - Factor Construction Process: The indicator is calculated using four metrics: valuation spread, pairwise correlation, long-term return reversal, and factor volatility. These metrics are aggregated to produce a composite crowding score for each factor. For example: - Small-cap factor crowding score: 0.06 - Low-valuation factor crowding score: -0.31 - High-profitability factor crowding score: -0.01 - High-growth factor crowding score: 0.28[19][20] - Factor Evaluation: The crowding scores indicate varying levels of crowding across factors, with low-valuation and high-profitability factors showing negative scores, suggesting potential underperformance[19][20] --- Factor Backtesting Results 1. Factor Crowding Indicator - Small-cap factor crowding score: 0.06 - Low-valuation factor crowding score: -0.31 - High-profitability factor crowding score: -0.01 - High-growth factor crowding score: 0.28[19][20]