——金融工程市场跟踪周报20260208：静待市场情绪提振-20260208

Quantitative Models and Factors Summary Quantitative Models and Construction Methods Model Name: Volume Timing Model - Model Construction Idea: The model uses volume signals to determine market timing[12] - Model Construction Process: - The model evaluates the volume timing signals for major indices as of February 6, 2026, and maintains a cautious view[24] - Model Evaluation: The model is currently signaling a cautious outlook for all major indices[24] Model Name: Momentum Sentiment Indicator - Model Construction Idea: The model uses the number of stocks with positive returns within an index to gauge market sentiment[24] - Model Construction Process: - Calculate the proportion of stocks in the CSI 300 index with positive returns over the past N days - The formula is: $ \text{CSI 300 Index N-day Upward Stock Proportion} = \frac{\text{Number of stocks with positive returns in the past N days}}{\text{Total number of stocks in the index}} $[24] - Model Evaluation: The indicator can quickly capture upward opportunities but may miss out on gains during sustained market exuberance and has limitations in predicting downturns[25] Model Name: Moving Average Sentiment Indicator - Model Construction Idea: The model uses the eight moving average system to determine the trend state of the CSI 300 index[32] - Model Construction Process: - Calculate the eight moving average values for the CSI 300 index closing prices with parameters 8, 13, 21, 34, 55, 89, 144, 233 - Assign values to the moving average indicator based on the moving average interval values - The formula is: $ \text{Indicator Value} = \begin{cases} -1 & \text{if interval value is 1/2/3} \ 0 & \text{if interval value is 4/5/6} \ 1 & \text{if interval value is 7/8/9} \end{cases} $[32] - Model Evaluation: The recent CSI 300 index is in a non-prosperous sentiment interval[32] Model Backtesting Results Volume Timing Model - Signal: Cautious for all major indices[24] Momentum Sentiment Indicator - Current Value: The indicator is above 60%, indicating high market sentiment[25] Moving Average Sentiment Indicator - Current Value: The CSI 300 index is in a non-prosperous sentiment interval[32] Quantitative Factors and Construction Methods Factor Name: Cross-sectional Volatility - Factor Construction Idea: The factor measures the cross-sectional volatility of index constituent stocks to assess the Alpha environment[36] - Factor Construction Process: - Calculate the cross-sectional volatility for the CSI 300, CSI 500, and CSI 1000 index constituent stocks - The formula is: $ \text{Cross-sectional Volatility} = \sqrt{\frac{1}{N-1} \sum_{i=1}^{N} (R_i - \bar{R})^2} $ where $ R_i $ is the return of stock i, and $ \bar{R} $ is the average return[37] - Factor Evaluation: The short-term Alpha environment has deteriorated, but the quarterly view shows a good Alpha environment for the CSI 300 and CSI 1000 indices[36] Factor Name: Time-series Volatility - Factor Construction Idea: The factor measures the time-series volatility of index constituent stocks to assess the Alpha environment[37] - Factor Construction Process: - Calculate the time-series volatility for the CSI 300, CSI 500, and CSI 1000 index constituent stocks - The formula is: $ \text{Time-series Volatility} = \sqrt{\frac{1}{T-1} \sum_{t=1}^{T} (R_t - \bar{R})^2} $ where $ R_t $ is the return at time t, and $ \bar{R} $ is the average return[40] - Factor Evaluation: The recent week shows an improvement in the Alpha environment for all indices[37] Factor Backtesting Results Cross-sectional Volatility - CSI 300: - Last quarter average: 2.17% - Last quarter percentile (2 years): 70.99% - Last quarter percentile (1 year): 74.07% - Last quarter percentile (6 months): 65.64%[37] - CSI 500: - Last quarter average: 2.48% - Last quarter percentile (2 years): 48.41% - Last quarter percentile (1 year): 53.97% - Last quarter percentile (6 months): 56.35%[37] - CSI 1000: - Last quarter average: 2.63% - Last quarter percentile (2 years): 66.53% - Last quarter percentile (1 year): 68.92% - Last quarter percentile (6 months): 66.14%[37] Time-series Volatility - CSI 300: - Last quarter average: 0.96% - Last quarter percentile (2 years): 58.02% - Last quarter percentile (1 year): 60.91% - Last quarter percentile (6 months): 47.94%[40] - CSI 500: - Last quarter average: 1.27% - Last quarter percentile (2 years): 50.00% - Last quarter percentile (1 year): 57.94% - Last quarter percentile (6 months): 60.32%[40] - CSI 1000: - Last quarter average: 1.22% - Last quarter percentile (2 years): 63.35% - Last quarter percentile (1 year): 71.31% - Last quarter percentile (6 months): 66.93%[40]