| 序号 | 指数中文名称 | 指数英文名称 | 全收益指数代码 | | --- | --- | --- | --- | | | 中债-黄金保值信用债风险平价指数 | CBPC Gold Backed Credit Bond Risk Parity Index | CBM02801 | | | 中债-黄金保值国开行债券风险平价指数 | CBPC Gold Backed CDB Bond Risk Parity Index | CBM02901 | 上述指数基期为2015年12月31日，基点为1000。截至2025年11月28日，中债-黄金保值信用债风险平价指数近5年年化收益率为 5.14%，年化波动率为1.27%， | 序号 | 指数中文名称 | 年化收益率 | 年化波动率 | 夏普比率 | 卡玛比率 | 最大回撤 | | --- | --- | --- | --- | --- | --- | --- | | | 中债-黄金保值信用债风险平价指数 | 5.14% | 1.27% | 2.56 | 3.12 | 1.65% | | | 中债-黄金保值国开行债券风险平价指数 | 4.46% | 1.23% | 2 ...

证券研究报告|金融工程专题报告 趋势明确与资金共识—— 兼容追涨抄底的行业与ETF轮动策略 张立宁 SAC NO：S1120520070006 杨国平 SAC NO：S1120520070002 1 均线策略识别趋势强度 目录 2 资金流策略筛选资金共识 3 趋势强度与资金共识的平衡 2 1 均线策略识别趋势强度 3 均线指标1：均线排列形态 2025年12月8日 请仔细阅读在本报告尾部的重要法律声明 其他形态得分如下表所示。 资料来源：华西证券研究所 • 将每个指数的多头与空头排列形态得分加总，得到均线排列形态得分。 4 均线排列形态计分规则 • 在均线多头排列形态中，当短期均线>长期均线时，记为一次多头排列，我们统计均线 呈多头排列的次数。以4条均线S、M_S、M_L、L(短期、中短期、中长期、长期)为例 ，最强烈的多头形态是出现三个多头排列，即： S>M_S、 M_S>M_L、 M_L>L，此时计4分。相反如果呈最强烈的空头排列，即形态为 S0时，指数一般处于短期上涨状态， 相反则处于下跌状态。 5 均线指标3：均线时序变化 • 前两个评价指标关注的都是单个日期截面上的均线状态，而均线时序变化度量当前日 ...

Core Insights - The essence of moving average lines is to eliminate random price fluctuations and seek price trends [3] - The effectiveness of moving averages is closely related to the selected parameter N [3] - Different types of moving averages can be categorized based on their calculation methods [4][5] Single Moving Average Strategy - The single moving average strategy involves selecting a significant moving average as a reference. If the closing price is above the moving average, it indicates a bullish trend, while a closing price below suggests a bearish trend [8][9] - The strategy includes entry and exit filters, requiring the moving average to be rising for long positions and falling for short positions [9][11][12] - Performance evaluation shows a net value of 14.6155 and an annual compound return of 14.3512% from 2005 to 2024 [14][16] Double Moving Average Strategy - The double moving average strategy uses the relationship between short-term and long-term moving averages to determine price trends. A short-term average above a long-term average indicates an upward trend, while the opposite suggests a downward trend [21][22] - The strategy's effectiveness is influenced by the selected short-term and long-term parameters [23] - Performance evaluation indicates a net value of 19.5463 and an annual compound return of 16.0254% from 2005 to 2024 [25][27] Triple Moving Average Strategy - The triple moving average strategy builds on the double moving average strategy by adding a longer-term moving average as a filter. Long positions are only taken when the short-term average is above the longest average, and short positions are taken when the short-term average is below the longest average [31][32] - Performance evaluation shows a net value of 9.9713 and an annual compound return of 12.1815% from 2005 to 2024 [36] Moving Average Divergence Strategy - The moving average divergence strategy is derived from the single moving average strategy, incorporating divergence rates to assess trend strength. It uses short-term, medium-term, and long-term moving averages to calculate a weighted divergence rate [42] - Performance evaluation indicates a net value of 23.1849 and an annual compound return of 17.02% from 2005 to 2024 [45] Moving Average Convergence Strategy - The moving average convergence strategy measures the degree of divergence between moving averages to assess trends. It calculates divergence values between short-term, medium-term, and long-term moving averages [51] - Performance evaluation shows a net value of 15.0084 and an annual compound return of 14.503% from 2005 to 2024 [55] Strategy Application Considerations - The report presents five moving average strategies, each with distinct approaches and performance characteristics, making direct comparisons challenging [61] - The performance of these strategies is based on specific parameters, and investors are encouraged to explore various parameter combinations [62] - The strategies exhibit significant drawdown levels, necessitating careful consideration of capital allocation and psychological resilience [63]