——金融工程市场跟踪周报20260308：市场情绪有待进一步修复-20260308

• The report introduces a quantitative timing model based on volume signals, referred to as the "Volume Timing Signal" model. The model evaluates market sentiment by analyzing the volume of major indices. As of March 6, 2026, the volume timing signals for all indices, including the Shanghai Composite Index, Shanghai 50, CSI 300, CSI 500, CSI 1000, ChiNext Index, and Beijing 50, indicate a cautious outlook[23][24] - The "HS300 Rising Stock Proportion Sentiment Indicator" is introduced to assess market sentiment by calculating the proportion of stocks in the CSI 300 index with positive returns over a specific period (N days). The formula is: $ \text{HS300 N-day Rising Stock Proportion} = \frac{\text{Number of CSI 300 stocks with positive returns over N days}}{\text{Total number of CSI 300 stocks}} $ This indicator is effective in capturing upward opportunities but has limitations in predicting market downturns. As of March 6, 2026, the indicator showed a slight increase, with the proportion of rising stocks exceeding 60%, indicating high market sentiment[24][25] - The "HS300 Rising Stock Proportion Timing Tracking" applies two different smoothing windows (N1=50 and N2=35) to the above sentiment indicator. When the short-term smoothed line (fast line) exceeds the long-term smoothed line (slow line), it signals a bullish market sentiment. As of March 6, 2026, both the fast and slow lines were rising, with the fast line above the slow line, suggesting a continued bullish outlook[26][28] - The "Moving Average Sentiment Indicator" is based on the eight-moving-average system, which uses the closing prices of the CSI 300 index and calculates moving averages with parameters 8, 13, 21, 34, 55, 89, 144, and 233. The indicator assigns values of -1, 0, or 1 based on the position of the current price relative to the moving averages. When the current price exceeds more than five of the moving averages, it signals a bullish sentiment. As of March 6, 2026, the CSI 300 index was in a non-prosperous sentiment zone[32][36] - The report also analyzes cross-sectional volatility and time-series volatility as indicators of short-term alpha opportunities. Cross-sectional volatility for CSI 300, CSI 500, and CSI 1000 index components 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 percentile of the past six months, while CSI 500 was in the middle percentile. Time-series volatility for the same indices also increased week-over-week, with CSI 1000 in the upper-middle percentile of the past six months, indicating a favorable alpha environment[37][38][41]