——金融工程市场跟踪周报20260303：短线重视资源品配置机会-20260303

• The report discusses a quantitative timing model based on volume signals, which evaluates market sentiment and timing by analyzing volume trends. The model's construction involves assessing the volume levels of major indices (e.g., Shanghai Composite, CSI 300, etc.) and assigning a cautious view when volume signals are weak. As of February 27, 2026, all major indices showed a "cautious" volume timing signal[24][25] - A momentum sentiment indicator is introduced, which calculates the proportion of stocks in the CSI 300 index with positive returns over a specific period (N days). The formula is: $ \text{CSI 300 N-day Upward Proportion} = \frac{\text{Number of CSI 300 stocks with positive returns in N days}}{\text{Total number of CSI 300 stocks}} $ This indicator is used to capture market sentiment, with higher values indicating optimism. As of February 27, 2026, the indicator was above 60%, reflecting high market sentiment[25][26][27] - A momentum sentiment timing strategy is applied by smoothing the momentum sentiment indicator using two moving averages (short-term and long-term). When the short-term average exceeds the long-term average, the model signals a bullish market view. Parameters used are N=230, N1=50, and N2=35. As of February 27, 2026, the short-term line was above the long-term line, maintaining a bullish outlook[27][29] - The report also introduces an eight-moving-average sentiment indicator, which evaluates the CSI 300 index's trend by comparing its closing price against eight moving averages (8, 13, 21, 34, 55, 89, 144, 233). The indicator assigns values based on the number of moving averages the index surpasses. If the index price exceeds more than five moving averages, the model signals a bullish view. As of February 27, 2026, the CSI 300 index was in a "sentiment prosperity zone," indicating positive sentiment[34][38] - Cross-sectional volatility is analyzed as a measure of alpha opportunities. The report highlights that cross-sectional volatility for CSI 300, CSI 500, and CSI 1000 stocks increased week-over-week, indicating an improved short-term alpha environment. Over the past quarter, cross-sectional volatility for CSI 300 and CSI 1000 was in the upper-middle range of the past six months, while CSI 500 was in the middle range[39][40] - Time-series volatility is also examined, showing a week-over-week decline for CSI 300, CSI 500, and CSI 1000 stocks, suggesting a deteriorating short-term alpha environment. Over the past quarter, time-series volatility for CSI 300 and CSI 500 was in the middle range of the past six months, while CSI 1000 was in the upper-middle range[40][43]