Quantitative Models and Construction 1. Model Name: Volume Model - **Construction Idea**: This model uses trading volume data to predict short-term market trends[2][11] - **Construction Process**: The model evaluates trading volume changes across broad-based indices to generate buy or neutral signals. Specific thresholds or patterns in volume are used to determine the directional bias[11] - **Evaluation**: The model is partially optimistic for broad-based indices in the short term[11][66] 2. Model Name: Low Volatility Model - **Construction Idea**: This model focuses on the volatility of asset prices to assess market conditions[11] - **Construction Process**: The model calculates the historical volatility of indices and assigns a neutral signal when volatility remains within a predefined range[11] - **Evaluation**: The model is neutral for the short term[11][66] 3. Model Name: Institutional Feature Model (LHB) - **Construction Idea**: This model incorporates institutional trading data, such as large trades or block trades, to predict market movements[11] - **Construction Process**: The model analyzes institutional trading patterns, such as those from the "Dragon and Tiger List" (龙虎榜), to generate signals. A bearish signal is issued when institutional selling dominates[11] - **Evaluation**: The model is bearish for the short term[11][66] 4. Model Name: Intelligent Algorithm Models (HS300 and CSI500) - **Construction Idea**: These models use machine learning algorithms to analyze historical data and predict market trends[11] - **Construction Process**: The HS300 model generates a bullish signal for the CSI 300 index, while the CSI500 model remains neutral. The models likely use features such as price momentum, volume, and other technical indicators[11] - **Evaluation**: The HS300 model is optimistic, while the CSI500 model is neutral in the short term[11][66] 5. Model Name: Limit-Up/Limit-Down Model - **Construction Idea**: This model evaluates the frequency and distribution of limit-up and limit-down events to assess market sentiment[12] - **Construction Process**: The model calculates the ratio of stocks hitting daily price limits and assigns a neutral signal when no significant bias is observed[12] - **Evaluation**: The model is neutral for the medium term[12][67] 6. Model Name: Calendar Effect Model - **Construction Idea**: This model leverages seasonal or calendar-based patterns in market behavior[12] - **Construction Process**: The model analyzes historical performance around specific calendar dates (e.g., month-end or quarter-end) to generate signals. It remains neutral when no strong seasonal patterns are detected[12] - **Evaluation**: The model is neutral for the medium term[12][67] 7. Model Name: Long-Term Momentum Model - **Construction Idea**: This model uses long-term price momentum to predict market trends[13] - **Construction Process**: The model calculates momentum indicators over extended periods and assigns a neutral signal when no clear trend is identified[13] - **Evaluation**: The model is neutral for all broad-based indices in the long term[13][68] 8. Model Name: Comprehensive Weaponry V3 Model - **Construction Idea**: This composite model integrates multiple short-term, medium-term, and long-term signals to provide an overall market outlook[14] - **Construction Process**: The model aggregates signals from various sub-models (e.g., volume, volatility, momentum) and generates a bullish signal for the A-share market[14] - **Evaluation**: The model is optimistic for the A-share market[14][69] 9. Model Name: Comprehensive Guozheng 2000 Model - **Construction Idea**: This model focuses on the Guozheng 2000 index, combining multiple signals to assess market conditions[14] - **Construction Process**: Similar to the Weaponry V3 model, this model aggregates signals but remains neutral for the Guozheng 2000 index[14] - **Evaluation**: The model is neutral for the Guozheng 2000 index[14][69] 10. Model Name: Turnover-to-Volatility Model (Hong Kong Market) - **Construction Idea**: This model evaluates the ratio of turnover to price volatility to predict market trends in the Hong Kong market[15] - **Construction Process**: The model calculates the turnover-to-volatility ratio and generates a bullish signal when the ratio indicates strong market activity relative to volatility[15] - **Evaluation**: The model is optimistic for the medium term in the Hong Kong market[15][70] --- Backtesting Results of Models 1. Volume Model - **Signal**: Partially bullish for broad-based indices in the short term[11][66] 2. Low Volatility Model - **Signal**: Neutral for the short term[11][66] 3. Institutional Feature Model (LHB) - **Signal**: Bearish for the short term[11][66] 4. Intelligent Algorithm Models (HS300 and CSI500) - **Signal**: Bullish for HS300; neutral for CSI500 in the short term[11][66] 5. Limit-Up/Limit-Down Model - **Signal**: Neutral for the medium term[12][67] 6. Calendar Effect Model - **Signal**: Neutral for the medium term[12][67] 7. Long-Term Momentum Model - **Signal**: Neutral for all broad-based indices in the long term[13][68] 8. Comprehensive Weaponry V3 Model - **Signal**: Bullish for the A-share market[14][69] 9. Comprehensive Guozheng 2000 Model - **Signal**: Neutral for the Guozheng 2000 index[14][69] 10. Turnover-to-Volatility Model (Hong Kong Market) - **Signal**: Bullish for the medium term in the Hong Kong market[15][70]

Group 1 - The risk premium percentile of the CSI All Share Index is 71.95%, indicating that the market has returned from a high return area to a normal return area [1][8] - The price-to-book ratio percentile of the CSI All Share Index is 21.54%, suggesting that the market has returned from an undervalued state to a normal but slightly undervalued state [12] - The Shanghai Composite Index and CSI 800 are still in an undervalued state, warranting close attention [13] Group 2 - The CSI All Share Index's deviation rate is -0.03%, indicating that the overall price level of the market is in a normal range [16] - The ChiNext 50 has returned to a basic normal range after two months of recovery from an oversold state [19] - Over the past six months, the performance of value and growth styles has varied, and the value vs. growth style has yet to be defined, with future trends still to be observed [23] Group 3 - The performance of low valuation styles has generally been superior over the past six months, but high valuation styles have shown strong performance in the past month, suggesting investors should closely monitor the potential transition between high and low valuation styles [27] - Small-cap styles have significantly outperformed over the past six months, indicating a need for future focus on small-cap style targets [29] Group 4 - There has been a certain degree of excess return for convertible bonds relative to the CSI All Share Index over the past six months, suggesting that investors should consider convertible bond varieties from an asset allocation perspective [2][44] - Different types of convertible bonds have shown varying performance over the past six months, with a recommendation to focus on equity-oriented targets [48] Group 5 - The report emphasizes the importance of market style rotation, highlighting the differences in performance between value vs. growth, low vs. high valuation, and large vs. small capitalization stocks [20][21] - The report identifies that the performance of small-cap stocks has been notably superior, suggesting a focus on small-cap style targets moving forward [29] Group 6 - The report discusses industry/theme index rotation, focusing on low valuation rotation and dual momentum rotation strategies [33][34] - A selection of reference targets based on valuation factors or momentum factors is provided for investors to consider [37]

Key Points - The report indicates that the risk premium percentile of the CSI All Share Index is 80.41%, suggesting that the market is in a high return zone [1][5] - The report highlights that the price-to-book ratio percentile of the CSI All Share Index is 8.98%, indicating that the market is in a state of severe undervaluation [1][10] - The report notes that the deviation rate of the CSI All Share Index is -4.03%, suggesting that the overall price level of the market is in a normal range [1][13] - The report suggests that the performance of the value style has been significantly superior over the past six months, recommending a focus on value style targets [1][21] - The report also indicates that the performance of the low valuation style has been notably superior over the past six months, advising attention to low valuation style targets [1][24] - The report states that the performance of the small-cap style has been significantly superior over the past six months, recommending a focus on small-cap style targets [1][26] - The report identifies that there has been a certain degree of excess return for convertible bonds relative to the CSI All Share Index over the past six months, suggesting investors pay attention to convertible bond varieties from an asset allocation perspective [1][40]