风险提示。 市场系统性风险、海外市场波动风险、模型误设风险。 报告导读： 从技术面来看，情绪模型信号发出做多信号，A股市场或将开启新的一轮上 行。因此，我们认为，市场有望重回上行趋势。 下周（20251229-20251231，后文同）市场观点：市场有望重回上行趋势。 从量化指标上看，基于沪深300指数的流动性冲击指标周五为0.34，低于前一周 （0.41），意味着当前市场的流动性高于过去一年平均水平0.34倍标准差。上证50ETF期权成交量的PUT-CALL比率震荡上升，周五为0.88，高于前一周 （0.83），投资者对上证50ETF短期走势谨慎程度上升。上证综指和Wind全A五日平均换手率分别为1.06%和1.66%，处于2005年以来的69.45%和75.13%分位 点，交易活跃度有所上升。从宏观因子上看，上周人民币汇率震荡，在岸和离岸汇率周涨幅分别为0.46%、0.42%。日历效应上，2005年以来，上证综指、沪 深300、中证500、创业板指在12月下半月上涨概率分别为50%、55%、45%、40%，涨幅均值分别为1.2%、1.08%、-0.11%、-0.84%，涨幅中位数分别 为-0.07%、0. ...

报告导读： 从技术面来看，情绪模型信号依旧处于弱势震荡状态；与此同时，均线强弱指 数同样处于震荡区间。因此，我们认为，市场短期震荡格局较难被打破。 下周（ 20251222-20251226 ，后文同）市场观点： 市场短期震荡格局较难被打破。 从量化指标上看，基于沪深 300 指数的流动性冲击指标周五为 0.41 ，低于前一周（ 0.51 ），意味着当前市场的流动性高于过去一年平均水平 0.41 倍标准差。上证 50ETF 期权成交量的 PUT-CALL 比率震荡下降，周五为 0.83 ，低于前一周（ 1.08 ），投资者对上证 50ETF 短期走势谨慎程度下降。上证综指和 Wind 全 A 五日平均换手率分别为 1.05% 和 1.60% ，处于 2005 年以来的 68.85% 和 73.75% 分位点，交易活跃度有所下降。从宏观因子上看，上周人民币汇率震荡，在岸和离岸汇率周涨幅分别为 0.2% 、 0.28% 。事件驱动上， 1. 上周美股市场出现震荡。道琼斯工业指数、标普 500 指数和纳斯达克指数周收益率分别为 -0.67% 、 0.1% 、 0.48% 。根据 Wind ，美国 11 月非农就业人 ...

量化择时和拥挤度预警周报（20251221） [Table_Authors] 郑雅斌(分析师) 市场短期震荡格局较难被打破 本报告导读： 从技术面来看，情绪模型信号依旧处于弱势震荡状态；与此同时，均线强弱指数同 样处于震荡区间。因此，我们认为，市场短期震荡格局较难被打破。 投资要点： 金 融 工 程 周 报 证 券 研 究 报 告 | [Table_Summary] 下周（20251222-20251226，后文同）市场观点：市场短期震荡格局 | | --- | | 较难被打破。从量化指标上看，基于沪深 300 指数的流动性冲击指 | | 标周五为 0.41，低于前一周（0.51），意味着当前市场的流动性高于 | | 过去一年平均水平 倍标准差。上证 期权成交量的 0.41 50ETF PUT | | CALL 比率震荡下降，周五为 0.83，低于前一周（1.08），投资者对 | | 上证 50ETF 短期走势谨慎程度下降。上证综指和 Wind 全 A 五日平 | | 均换手率分别为 1.05%和 1.60%，处于 年以来的 68.85%和 2005 | | 73.75%分位点，交易活跃度有所下降。从宏观因子 ...

报告导读： 从技术面来看， Wind 全 A 指数依旧处于 SAR 反转点位之下；均线强弱指数 在指数绝对点位上升幅度并不大的情况下出现上行，表明市场依旧存在下行可能；情绪模 型继续显示市场情绪较弱。我们认为，市场下周维持震荡可能性较大。 下周（20251201-20251205，后文同）市场观点：市场下周维持震荡可能性较大。 从量化指标上看，基于沪深300指数的流动性冲击指标周五为0.50，高 于前一周（0.15），意味着当前市场的流动性高于过去一年平均水平0.50倍标准差。上证50ETF期权成交量的PUT-CALL比率震荡，周五为1.02，持平于前 一周（1.02），投资者对上证50ETF短期走势相对谨慎。上证综指和Wind全A五日平均换手率分别为0.98%和1.59%，处于2005年以来的65.67%和 73.47%分位点，交易活跃度有所下降。从宏观因子上看，上周人民币汇率震荡，在岸和离岸汇率周涨幅分别为0.43%、0.48%。日历效应上，2005年以 来，上证综指、沪深300、中证500、创业板指在12月上半月上涨概率分别为 70% 、 65% 、 55% 、 60% ，涨幅均值分别为 1.81% 、 ...

Market Overview - The market is expected to remain volatile next week, with the Wind All A Index staying below the SAR reversal point for a consecutive week, indicating potential downward space [1][2] - The liquidity shock indicator for the CSI 300 Index was 0.15, lower than the previous week (0.67), suggesting current market liquidity is above the average level of the past year by 0.15 standard deviations [2] - The trading activity has decreased, with the five-day average turnover rates for the Shanghai Composite Index and Wind All A Index at 1.21% and 1.86%, respectively, which are at the 73.72% and 80.02% percentile since 2005 [2] Economic Indicators - The US stock market experienced a decline, with the Dow Jones, S&P 500, and Nasdaq indices showing weekly returns of -1.91%, -1.95%, and -2.74%, respectively [2] - The preliminary November PMI for the US manufacturing sector was 51.9, a four-month low, while the services PMI was 55, and the composite PMI was 54.8, both reaching four-month highs [2] Technical Analysis - The Wind All A Index broke below the reversal indicator on November 17, indicating a bearish trend [2] - The moving average strength index score is currently at 80, placing it in the 25.9% percentile for 2023, suggesting a weak market condition [2] - The sentiment model score is at 0 (out of 5), indicating very weak market sentiment, with both trend and weighted models signaling negative [2] Market Performance - For the week of November 17-21, the Shanghai 50 Index fell by 2.72%, the CSI 300 Index by 3.77%, the CSI 500 Index by 5.78%, and the ChiNext Index by 6.15% [3] - The overall market PE (TTM) stands at 21.3 times, which is at the 70.1% percentile since 2005 [3] Factor Analysis - The crowding degree for low valuation factors has decreased, with small-cap factor crowding at 0.39 and low valuation factor crowding at -0.69 [4] - High profitability factor crowding is at -0.02, while high growth factor crowding is at 0.05 [4] Industry Insights - The industry crowding degree is relatively high in sectors such as non-ferrous metals, telecommunications, comprehensive, power equipment, and steel, with significant increases in the crowding degree for basic chemicals and banking [5]

Core Viewpoint - The market is expected to experience fluctuations in the upcoming week, despite the recent decline in major indices, as the strength index did not show significant downward movement, indicating a divergence in trends [1][2]. Market Overview - The liquidity shock index for the CSI 300 was 0.67, higher than the previous week's 0.40, suggesting current market liquidity is 0.67 standard deviations above the average of the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF decreased to 1.04 from 1.22, indicating reduced caution among investors regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 1.27% and 1.91%, respectively, reflecting a decline in trading activity, positioned at the 75.55% and 81.44% percentiles since 2005 [2]. Macroeconomic Factors - The onshore and offshore RMB exchange rates increased by 0.31% and 0.35% respectively over the past week [2]. - October's CPI rose by 0.2% year-on-year, surpassing the previous value of -0.3% and the consensus expectation of -0.04%. The PPI decreased by 2.1% year-on-year, better than the previous -2.3% and the expected -2.28% [2]. - New RMB loans in October totaled 220 billion, falling short of the expected 459.98 billion and the previous 1.29 trillion. M2 growth was 8.2% year-on-year, exceeding the expected 8.04% but lower than the previous 8.4% [2]. Calendar Effects - Historical data from 2005 indicates that major indices such as the SSE Composite, CSI 300, and others have shown poor performance in the latter half of November, with average declines of -0.61% to -0.9% [2]. Technical Analysis - The Wind All A index broke above the reversal indicator on October 27, indicating a potential upward trend [2]. - The current market score based on the moving average strength index is 218, placing it at the 79.2% percentile for 2023 [2]. - The sentiment model score is 3 out of 5, with both trend and weighted models signaling a positive outlook [2]. Factor Crowding - The factor crowding levels remain stable, with small-cap factor crowding at 0.37, low valuation factor at -0.25, high profitability factor at -0.18, and high growth factor at 0.08 [3]. Industry Crowding - Industries such as non-ferrous metals, comprehensive, telecommunications, electric equipment, and steel show relatively high crowding levels, while basic chemicals and banking have seen a significant increase in crowding [4].

- The sentiment timing model indicates that the market trend has been broken, issuing a negative signal[1][2][6] - The liquidity shock indicator for the CSI 300 index was 0.84 on Friday, lower than the previous week's 1.57, indicating that current market liquidity is 0.84 standard deviations above the average level of the past year[2][7] - The PUT-CALL ratio of the SSE 50ETF options trading volume decreased to 0.72 on Friday from the previous week's 1.07, indicating an increase in short-term optimism among investors regarding the SSE 50ETF[2][7] - The five-day average turnover rates for the SSE Composite Index and Wind All A Index were 1.19% and 1.66%, respectively, indicating a decrease in trading activity compared to previous periods[2][7] - The SAR indicator shows that the Wind All A Index broke below the reversal indicator on October 17[2][11] - The moving average strength index calculated from the Wind secondary industry indices scored 197, which is at the 71.2% percentile since 2023[2][11] - The sentiment model score is 2 out of 5, the trend model signal is negative, and the weighted model signal is negative[2][11][14] - The small-cap factor congestion level increased to 0.41, the low-valuation factor congestion level was -0.26, the high-profitability factor congestion level was -0.15, and the high-growth factor congestion level was 0.35[4][15][16][18]

Core Viewpoint - The recent instability in the Sino-US trade environment has led to a valuation correction in certain stocks, resulting in a rise in market risk aversion. The market is expected to maintain a volatile trend in the short term [1]. Market Overview - The market is anticipated to remain volatile in the short term. The liquidity shock indicator for the CSI 300 index was 1.57, higher than the previous week's 1.36, indicating current market liquidity is 1.57 times the average level over the past year [2]. - The put-call ratio for the SSE 50 ETF options increased to 1.07 from 0.85, reflecting heightened caution among investors regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 1.42% and 1.93%, respectively, consistent with the trading activity levels since 2005 [2]. - The RMB exchange rate fluctuated last week, with onshore and offshore rates showing weekly changes of -0.05% and 0.29%, respectively [2]. - In September, China's CPI decreased by 0.3% year-on-year, slightly better than the previous -0.4%, but worse than the consensus expectation of -0.15%. The PPI was -2.3%, also better than the previous -2.9% but below the expected -2.4% [2]. - New RMB loans in September amounted to 1.29 trillion yuan, lower than the expected 1.39 trillion yuan but higher than the previous 590 billion yuan. M2 growth was 8.4%, below both the expected 8.51% and the previous 8.8% [2]. Technical Analysis - The SAR indicator for the Wind All A index broke downwards on October 17, indicating a bearish trend [2]. - The market score based on the moving average strength index is currently at 141, which is at the 49.9% percentile for 2023 [2]. - The sentiment model score is 2 out of 5, indicating moderate market sentiment, while the trend model signal is positive and the weighted model signal is negative [2]. Performance Summary - For the week of October 13-17, the SSE 50 index fell by 0.24%, the CSI 300 index dropped by 2.22%, the CSI 500 index decreased by 5.17%, and the ChiNext index declined by 5.71% [3]. - The overall market PE (TTM) stands at 22.0 times, which is at the 74.0% percentile since 2005 [3]. Industry Insights - The industry crowding levels are relatively high in sectors such as non-ferrous metals, comprehensive, power equipment, telecommunications, and electronics. The crowding levels in the steel and public utilities sectors have increased significantly [4].

Market Overview - Short-term market may experience adjustments due to high liquidity levels, with the liquidity shock indicator for the CSI 300 index at 1.36, lower than the previous week's 1.86, indicating current market liquidity is 1.36 times the average level over the past year [1] - The PUT-CALL ratio for the SSE 50 ETF has decreased to 0.85 from 0.91, suggesting reduced caution among investors regarding the short-term performance of the SSE 50 ETF [1] - The five-day average turnover rates for the SSE Composite Index and Wind All A are at 1.34% and 1.91%, respectively, maintaining trading activity levels consistent with the past [1] Macroeconomic Factors - The RMB exchange rate fluctuated last week, with onshore and offshore rates showing weekly declines of -0.06% and -0.17% respectively [1] - The official manufacturing PMI for China in September was reported at 49.8, slightly above the previous value of 49.4 but below the consensus expectation of 49.95; the S&P Global China Manufacturing PMI was at 51.2, up from 50.5 [1] Event-Driven Analysis - U.S. stock markets experienced significant declines, with the Dow Jones, S&P 500, and Nasdaq indices reporting weekly returns of -2.73%, -2.43%, and -2.53% respectively, influenced by strong statements from former President Trump regarding potential tariff increases on imports [2] - China's Ministry of Commerce announced the implementation of export control measures on certain rare earth items and technologies, adding 14 foreign entities to a list of unreliable entities [2] Technical Analysis - The Wind All A index broke above the SAR indicator on September 11, indicating a potential upward trend [3] - The market score based on the moving average strength index is currently at 198, placing it in the 71.9% percentile for 2023 [3] - The sentiment model score is at 2 out of 5, indicating weak market sentiment, while the trend model signal is positive and the weighted model signal is negative [3] - The A-share market showed a downward trend last week, with the SSE 50 index down 0.47%, CSI 300 down 0.51%, and the ChiNext index down 3.86% [3] Factor Crowding Observation - The crowding degree for small-cap factors continues to decline, with a score of 0.08; low valuation factors at -0.31; high profitability factors at -0.18; and high growth factors at 0.19 [4] - Industry crowding degrees are relatively high in sectors such as non-ferrous metals, power equipment, comprehensive, communication, and electronics, with non-ferrous metals and steel showing significant increases [4]

Market Overview - The market is expected to experience fluctuations next week, with liquidity shock indicators for the CSI 300 index at 1.86, indicating current market liquidity is 1.86 times higher than the average level over the past year [1] - The PUT-CALL ratio for the SSE 50 ETF options decreased to 0.91, reflecting a reduced caution among investors regarding the short-term performance of the SSE 50 ETF [1] - The average turnover rates for the SSE Composite Index and Wind All A Index were 1.27% and 1.91%, respectively, indicating a decline in trading activity [1] Macroeconomic Factors - The onshore and offshore RMB exchange rates experienced a weekly decline of -0.31% and -0.30%, respectively [1] - The US stock market showed a downward trend, with the Dow Jones, S&P 500, and Nasdaq indices recording weekly returns of -0.15%, -0.31%, and -0.65% [1] - Disagreements within the Federal Reserve regarding future monetary policy paths have increased, with some members advocating for rate cuts while others caution against it due to rising inflation [1] Industrial Performance - From January to August, China's industrial enterprises above designated size achieved a total profit of 46,929.7 billion yuan, reflecting a year-on-year growth of 0.9% [1] - In August, the profit of industrial enterprises turned from a decline of -1.5% in the previous month to a growth of 20.4% [1] Technical Analysis - The SAR indicator for the Wind All A Index showed an upward breakout on September 11 [1] - The current market score based on the moving average strength index is 150, positioned at the 53.3% percentile for 2023 [1] - The sentiment model score decreased to 1 point (out of 5), indicating a decline in market sentiment [1] Sector Analysis - The industry crowding degree is relatively high in sectors such as non-ferrous metals, communications, comprehensive, power equipment, and electronics, with notable increases in power equipment and media sectors [3]