- The "Timing Radar Six-Facet Chart" model is constructed based on multi-dimensional indicators including liquidity, economic fundamentals, valuation, capital flow, technical trends, and crowding sentiment. It aggregates 21 indicators into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score ranging from [-1, 1] to assess market conditions [1][6][9] - **Liquidity Factors**: - **Monetary Direction Factor**: Calculated using the average change in central bank monetary policy tool rates and short-term market rates over the past 90 days. If the factor > 0, monetary policy is deemed expansionary; if < 0, it is deemed contractionary. Current score: 1 [12][14] - **Monetary Strength Factor**: Based on the "interest rate corridor" concept, calculated as deviation = DR007/7-year reverse repo rate - 1, smoothed and standardized using z-score. If the factor < -1.5 standard deviations, it indicates a 120-day future easing environment, scoring 1; if > 1.5 standard deviations, scoring -1. Current score: 0 [15][16] - **Credit Direction Factor**: Derived from monthly long-term loan data, calculated as the year-on-year change in the past 12 months' increment. If the factor rises compared to three months ago, it scores 1; otherwise, -1. Current score: 1 [18][20] - **Credit Strength Factor**: Captures whether credit metrics significantly exceed or fall short of expectations, calculated as (new RMB loans - median forecast)/forecast standard deviation. If the factor > 1.5 standard deviations, it scores 1; if < -1.5 standard deviations, it scores -1. Current score: -1 [22][23] - **Economic Factors**: - **Growth Direction Factor**: Based on PMI data (manufacturing, non-manufacturing, and Caixin manufacturing PMI), calculated as the year-on-year change in the 12-month average. If the factor rises compared to three months ago, it scores 1; otherwise, -1. Current score: -1 [26][28] - **Growth Strength Factor**: Captures whether growth metrics significantly exceed or fall short of expectations, calculated as (PMI - median forecast)/forecast standard deviation. If the factor > 1.5 standard deviations, it scores 1; if < -1.5 standard deviations, it scores -1. Current score: 1 [29][31] - **Inflation Direction Factor**: Calculated as 0.5 × smoothed CPI year-on-year + 0.5 × raw PPI year-on-year. If the factor decreases compared to three months ago, it scores 1; otherwise, -1. Current score: -1 [32][33] - **Inflation Strength Factor**: Captures whether inflation metrics significantly exceed or fall short of expectations, calculated as the average of CPI and PPI forecast deviations. If the factor < -1.5, it scores 1; if > 1.5 standard deviations, it scores -1. Current score: -1 [35][37] - **Valuation Factors**: - **Shiller ERP**: Calculated as 1/Shiller PE - 10-year government bond yield, standardized using z-score over the past six years. Current score: -0.10 [38][42] - **PB**: Processed as PB × (-1), standardized using z-score over the past six years, truncated at ±1.5 standard deviations. Current score: -0.75 [40][41] - **AIAE**: Represents aggregate investor allocation to equities, calculated as total market cap/(total market cap + total debt), standardized using z-score over the past six years. Current score: -1.00 [43][44] - **Capital Flow Factors**: - **Margin Financing Increment**: Calculated as the difference between 120-day average increment and 240-day average increment of margin financing balance. If the short-term increment exceeds the long-term increment, it scores 1; otherwise, -1. Current score: 1 [46][48] - **Turnover Trend**: Calculated as log turnover moving average distance = ma120/ma240 - 1. If the maximum distance of 10, 30, and 60 days is positive, it scores 1; if the minimum distance is negative, it scores -1. Current score: 1 [49][50] - **China Sovereign CDS Spread**: Represents overseas investors' pricing of China's economic and sovereign credit risk. If the smoothed 20-day difference of CDS spread < 0, it scores 1; otherwise, -1. Current score: 1 [52][54] - **Overseas Risk Aversion Index**: Captures overseas market risk preference using Citi RAI Index. If the smoothed 20-day difference < 0, it scores 1; otherwise, -1. Current score: -1 [55][56] - **Technical Factors**: - **Price Trend**: Calculated as moving average distance (ma120/ma240 - 1). Trend direction scores 1 if > 0, otherwise -1. Trend strength scores 1 if max(20) = max(60), otherwise -1. Comprehensive score = (direction score + strength score)/2. Current score: 1 [57][59] - **New Highs and Lows**: Calculated as the moving average of the difference between new lows and new highs among index constituents over the past year. If the smoothed difference > 0, it scores -1; otherwise, 1. Current score: -1 [60][62] - **Crowding Sentiment Factors**: - **Option Implied Premium**: Derived from the implied premium of options based on put-call parity. If 50ETF 5-day return > 0 and percentile > 70%, it scores -1; otherwise, 1. Current score: -1 [64][68] - **Option VIX**: Reflects expected volatility of options. If 50ETF 5-day return > 0 and percentile > 70%, it scores -1; otherwise, 1. Current score: -1 [65][67] - **Option SKEW**: Reflects expected skewness of options. If 50ETF 5-day return > 0 and percentile < 30%, it scores -1; otherwise, 1. Current score: -1 [69][70] - **Convertible Bond Pricing Deviation**: Calculated as (convertible bond price/model price - 1), standardized using z-score over the past three years. Higher deviation indicates higher crowding sentiment, scoring lower. Current score: -1 [71][72] - **Factor Testing Results**: - Liquidity factors: Monetary direction (1), Monetary strength (0), Credit direction (1), Credit strength (-1) [12][15][18][22] - Economic factors: Growth direction (-1), Growth strength (1), Inflation direction (-1), Inflation strength (-1) [26][29][32][35] - Valuation factors: Shiller ERP (-0.10), PB (-0.75), AIAE (-1.00) [38][40][43] - Capital flow factors: Margin financing increment (1), Turnover trend (1), China Sovereign CDS spread (1), Overseas risk aversion index (-1) [46][49][52][55] - Technical factors: Price trend (1), New highs and lows (-1) [57][60] - Crowding sentiment factors: Option implied premium (-1), Option VIX (-1), Option SKEW (-1), Convertible bond pricing deviation (-1) [64][65][69][71]

Quantitative Models and Construction Methods - **Model Name**: Timing Radar Hexagon **Model Construction Idea**: The model evaluates equity market performance through a multi-dimensional framework, incorporating liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding indicators. These dimensions are summarized into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a composite timing score within the range of [-1, 1][1][6][8] **Model Construction Process**: 1. Select 21 indicators across six dimensions (liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding)[1][6] 2. Aggregate these indicators into four categories: - Valuation Cost-Effectiveness - Macroeconomic Fundamentals - Capital & Trend - Crowding & Reversal 3. Normalize the composite score to fall within the range of [-1, 1][6][8] **Model Evaluation**: The model provides a comprehensive view of market conditions, offering a balanced perspective across multiple dimensions[6][8] Model Backtesting Results - **Timing Radar Hexagon**: - Current composite score: -0.11 (down from -0.01 last week)[6][8] - Liquidity score: 0.25 (neutral to slightly positive)[6][8] - Economic fundamentals score: -0.50 (neutral to slightly negative)[6][8] - Valuation score: -0.51 (neutral to slightly negative)[6][8] - Capital flows score: 1.00 (positive)[6][8] - Technical trends score: 0.00 (neutral)[6][8] - Crowding score: -0.75 (neutral to slightly negative)[6][8] Quantitative Factors and Construction Methods Liquidity Factors 1. **Factor Name**: Monetary Direction Factor **Construction Idea**: Measures the direction of monetary policy using central bank policy rates and short-term market rates. A positive factor value indicates monetary easing, while a negative value indicates tightening[10] **Construction Process**: - Calculate the average change in policy rates and short-term rates over the past 90 days - Assign a score of 1 if the factor > 0 (easing), and -1 if < 0 (tightening)[10] **Evaluation**: Effectively captures monetary policy direction[10] 2. **Factor Name**: Monetary Intensity Factor **Construction Idea**: Based on the "interest rate corridor" concept, measures the deviation of short-term market rates from policy rates[12] **Construction Process**: - Compute deviation = DR007/7-year reverse repo rate - 1 - Smooth and z-score the deviation - Assign a score of 1 if the factor < -1.5 standard deviations (easing), and -1 if > 1.5 standard deviations (tightening)[12] **Evaluation**: Captures the intensity of monetary policy changes[12] 3. **Factor Name**: Credit Direction Factor **Construction Idea**: Reflects the trend in credit transmission to the real economy using long-term loan data[15] **Construction Process**: - Calculate the year-over-year growth of long-term loans over the past 12 months - Assign a score of 1 if the factor shows an upward trend compared to three months ago, and -1 if downward[15] **Evaluation**: Tracks credit trends effectively[15] 4. **Factor Name**: Credit Intensity Factor **Construction Idea**: Measures whether credit data significantly exceeds or falls short of expectations[19] **Construction Process**: - Compute (new RMB loans - median forecast) / forecast standard deviation - Assign a score of 1 if the factor > 1.5 standard deviations (positive surprise), and -1 if < -1.5 standard deviations (negative surprise)[19] **Evaluation**: Captures credit surprises effectively[19] Economic Factors 1. **Factor Name**: Growth Direction Factor **Construction Idea**: Based on PMI data, measures the trend in economic growth[23] **Construction Process**: - Calculate the 12-month average and year-over-year change of PMI data - Assign a score of 1 if the factor shows an upward trend compared to three months ago, and -1 if downward[23] **Evaluation**: Tracks economic growth trends effectively[23] 2. **Factor Name**: Growth Intensity Factor **Construction Idea**: Measures whether economic growth data significantly exceeds or falls short of expectations[26] **Construction Process**: - Compute (PMI - median forecast) / forecast standard deviation - Assign a score of 1 if the factor > 1.5 standard deviations (positive surprise), and -1 if < -1.5 standard deviations (negative surprise)[26] **Evaluation**: Captures growth surprises effectively[26] 3. **Factor Name**: Inflation Direction Factor **Construction Idea**: Measures the trend in inflation using CPI and PPI data[29] **Construction Process**: - Compute 0.5 × smoothed CPI year-over-year + 0.5 × raw PPI year-over-year - Assign a score of 1 if the factor shows a downward trend compared to three months ago, and -1 if upward[29] **Evaluation**: Tracks inflation trends effectively[29] 4. **Factor Name**: Inflation Intensity Factor **Construction Idea**: Measures whether inflation data significantly exceeds or falls short of expectations[32] **Construction Process**: - Compute (CPI or PPI - median forecast) / forecast standard deviation - Assign a score of 1 if the factor < -1.5 standard deviations (negative surprise), and -1 if > 1.5 standard deviations (positive surprise)[32] **Evaluation**: Captures inflation surprises effectively[32] Valuation Factors 1. **Factor Name**: Shiller ERP **Construction Idea**: Adjusts earnings for inflation and calculates the equity risk premium (ERP) relative to 10-year government bond yields[35] **Construction Process**: - Compute Shiller PE = inflation-adjusted average earnings over the past 6 years - Calculate ERP = 1/Shiller PE - 10-year bond yield - Normalize using a 6-year z-score[35] **Evaluation**: Provides a robust measure of equity valuation[35] 2. **Factor Name**: PB **Construction Idea**: Measures valuation using the price-to-book ratio[38] **Construction Process**: - Compute PB × (-1) - Normalize using a 6-year z-score, truncating at ±1.5 standard deviations[38] **Evaluation**: Tracks valuation effectively[38] 3. **Factor Name**: AIAE **Construction Idea**: Measures aggregate investor allocation to equities, reflecting market risk appetite[41] **Construction Process**: - Compute AIAE = total market cap of CSI All Share Index / (total market cap + total debt) - Normalize using a 6-year z-score[41] **Evaluation**: Captures market risk appetite effectively[41] Capital Flow Factors 1. **Factor Name**: Margin Trading Increment **Construction Idea**: Measures the trend in leveraged funds using margin trading data[44] **Construction Process**: - Compute the 120-day average increment of margin trading balances - Assign a score of 1 if the 120-day increment > 240-day increment, and -1 otherwise[44] **Evaluation**: Tracks leveraged fund trends effectively[44] 2. **Factor Name**: Turnover Trend **Construction Idea**: Measures market activity using turnover data[47] **Construction Process**: - Compute log turnover moving average distance = ma120/ma240 - 1 - Assign a score of 1 if max(10, 30, 60-day) > 0, and -1 otherwise[47] **Evaluation**: Captures market activity effectively[47] 3. **Factor Name**: China Sovereign CDS Spread **Construction Idea**: Reflects foreign investors' perception of China's credit risk[50] **Construction Process**: - Compute the 20-day difference of smoothed CDS spreads - Assign a score of 1 if the difference < 0, and -1 otherwise[50] **Evaluation**: Tracks foreign investor sentiment effectively[50] 4. **Factor Name**: Overseas Risk Aversion Index **Construction Idea**: Captures global risk appetite using the Citi RAI Index[53] **Construction Process**: - Compute the 20-day difference of smoothed RAI - Assign a score of 1 if the difference < 0, and -1 otherwise[53] **Evaluation**: Tracks global risk appetite effectively[53] Technical Factors 1. **Factor Name**: Price Trend **Construction Idea**: Measures market trends using moving average distances[56] **Construction Process**:

- Model Name: Timing Radar Six-Factor Model; Model Construction Idea: The model attempts to capture the performance of the equity market through multiple dimensions, including liquidity, economic conditions, valuation, capital flows, technical indicators, and crowding; Model Construction Process: The model selects 21 indicators from the aforementioned dimensions and categorizes them into four major categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal." These indicators are then used to generate a comprehensive timing score ranging from [-1,1]; Model Evaluation: The model provides a comprehensive view of market conditions from multiple perspectives, making it a useful tool for market timing[1][6][9] - Factor Name: Liquidity Direction Factor; Factor Construction Idea: This factor aims to determine the direction of current monetary policy; Factor Construction Process: The factor is calculated using the average change in central bank policy rates and short-term market rates over the past 90 days. If the factor is greater than 0, it indicates a loose monetary policy, and if less than 0, it indicates a tight monetary policy; Current View: This week, the liquidity direction factor is greater than 0, signaling a bullish outlook, with a score of 1[11][13] - Factor Name: Liquidity Strength Factor; Factor Construction Idea: This factor is based on the "interest rate corridor" concept to measure the deviation of short-term market rates from policy rates; Factor Construction Process: The factor is calculated as the deviation = DR007/7-year reverse repo rate - 1, smoothed and z-scored. If the factor is less than -1.5 standard deviations, it indicates a loose environment for the next 120 trading days, with a score of 1. Conversely, if greater than 1.5 standard deviations, the score is -1; Current View: This week, the liquidity strength factor score is 0, indicating a neutral signal[14][15] - Factor Name: Credit Direction Factor; Factor Construction Idea: This factor measures the tightness of credit transmission from commercial banks to the real economy; Factor Construction Process: The factor is calculated using the monthly value of medium- and long-term loans, the incremental value over the past 12 months, and the year-over-year change. If the factor is rising compared to three months ago, it is bullish, with a score of 1. Conversely, if falling, the score is -1; Current View: This week, the credit direction factor is identified as an upward trend, signaling a bullish outlook, with a score of 1[17][19] - Factor Name: Credit Strength Factor; Factor Construction Idea: This factor captures whether credit indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as (new RMB loans for the month - median forecast) / forecast standard deviation. If the factor is greater than 1.5 standard deviations, it indicates a significantly above-expectation credit environment for the next 60 trading days, with a score of 1. Conversely, if less than -1.5 standard deviations, the score is -1; Current View: This week, the credit strength factor score is -1[20][22] - Factor Name: Growth Direction Factor; Factor Construction Idea: This factor is based on PMI data to measure economic growth direction; Factor Construction Process: The factor is calculated using the 12-month average of PMI values and their year-over-year change. If the factor is rising compared to three months ago, it is bullish, with a score of 1. Conversely, if falling, the score is -1; Current View: This week, the growth direction factor is identified as an upward trend, signaling a bullish outlook, with a score of 1[22][24] - Factor Name: Growth Strength Factor; Factor Construction Idea: This factor captures whether economic growth indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as (PMI - median forecast) / forecast standard deviation. If the factor is greater than 1.5 standard deviations, it indicates a significantly above-expectation growth environment for the next 60 trading days, with a score of 1. Conversely, if less than -1.5 standard deviations, the score is -1; Current View: This week, the growth strength factor score is -1, signaling a bearish outlook[25][26] - Factor Name: Inflation Direction Factor; Factor Construction Idea: This factor measures the current inflation level's impact on monetary policy; Factor Construction Process: The factor is calculated as 0.5 × smoothed CPI year-over-year value + 0.5 × raw PPI year-over-year value. If the factor is lower compared to three months ago, it indicates a downward inflation environment, with a score of 1. Conversely, if higher, the score is -1; Current View: This week, the inflation direction factor is identified as an upward trend, signaling a bearish outlook, with a score of -1[27][28] - Factor Name: Inflation Strength Factor; Factor Construction Idea: This factor captures whether inflation indicators significantly exceed or fall short of expectations; Factor Construction Process: The factor is calculated as the average of CPI and PPI forecast deviations, where forecast deviation = (reported value - median forecast) / forecast standard deviation. If the factor is less than -1.5, it indicates a significantly below-expectation inflation environment for the next 60 trading days, with a score of 1. Conversely, if greater than 1.5 standard deviations, the score is -1; Current View: This week, the inflation strength factor score is -1, signaling a bearish outlook[29][33] - Factor Name: Shiller ERP; Factor Construction Idea: This factor adjusts for economic cycle fluctuations in corporate earnings to assess current market valuation levels; Factor Construction Process: The factor is calculated as Shiller ERP = 1 / Shiller PE - 10-year government bond yield, with the past 6 years' z-score used as the score; Current View: This week, the Shiller ERP has risen, with the score increasing to 0.06[30][31] - Factor Name: PB; Factor Construction Idea: This factor adjusts the PB indicator similarly to ERP; Factor Construction Process: The factor is calculated as PB × (-1) and z-scored over the past 6 years, standardized to ±1 after 1.5 standard deviation truncation; Current View: This week, the PB has declined, with the score rising to -0.38[34][35] - Factor Name: AIAE; Factor Construction Idea: This factor reflects the overall market risk preference based on the aggregate investor allocation to equities; Factor Construction Process: The factor is calculated as AIAE = total market cap of CSI All Share Index / (total market cap of CSI All Share Index + total debt of the real economy), with the past 6 years' z-score used as the score; Current View: This week, the AIAE has declined, with the score rising to -0.72[36][37] - Factor Name: Margin Trading Increment; Factor Construction Idea: This factor measures market sentiment based on the source of leveraged funds; Factor Construction Process: The factor is calculated as the difference between the 120-day average increment and the 240-day average increment of margin trading balance. If the 120-day average increment is greater than the 240-day average increment, it is bullish, with a score of 1. Conversely, if less, the score is -1; Current View: This week, the short-term increment of margin trading is greater than the long-term increment, signaling a bullish outlook, with a score of 1[38][39] - Factor Name: Trading Volume Trend; Factor Construction Idea: This factor measures market activity and sentiment based on trading volume; Factor Construction Process: The factor is calculated as the moving average distance of log trading volume = ma120 / ma240 - 1. If the maximum of the moving average distance over 10, 30, and 60 days is positive, it is bullish, with a score of 1. Conversely, if the minimum is negative, the score is -1; Current View: This week, the trading volume trend signals a bullish outlook, with a score of 1[41][42] - Factor Name: China Sovereign CDS Spread; Factor Construction Idea: This factor represents the pricing level of China's economic and sovereign credit risk by overseas investors; Factor Construction Process: The factor is calculated as the 20-day difference of the smoothed CDS spread. If the difference is less than 0, it indicates a bullish outlook, with a score of 1. Conversely, if greater than 0, the score is -1; Current View: This week, the 20-day difference of the CDS spread is greater than 0, signaling a bearish outlook, with a score of -1[45][46] - Factor Name: Overseas Risk Aversion Index; Factor Construction Idea: This factor captures overseas market risk preference based on the Citi RAI Index; Factor Construction Process: The factor is calculated as the 20-day difference of the smoothed risk aversion index. If the difference is less than 0, it indicates a bullish outlook, with a score of 1. Conversely, if greater than 0, the score is -1; Current View: This week, the 20-day difference of the risk aversion index is less than 0, signaling a bullish outlook, with a score of 1[47][48] - Factor Name: Price Trend; Factor Construction Idea: This factor measures the market trend and strength based on moving average distance; Factor Construction Process: The factor is calculated as the moving average distance = ma120 / ma240 - 1. If the distance is greater than 0, the trend direction score is 1, otherwise -1. If the maximum of the distance over

Quantitative Models and Construction Methods 1. Model Name: Timing Radar Six-Facet Diagram - **Model Construction Idea**: The model evaluates equity market performance through a multi-dimensional perspective, selecting 21 indicators across liquidity, economic fundamentals, valuation, capital flows, technical trends, and crowding. These are categorized into four major dimensions: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a composite timing score within the range of [-1,1][1][6][8] - **Model Construction Process**: - The model aggregates 21 indicators into four categories, each representing a specific market dimension - The composite score is calculated as a weighted average of these dimensions, normalized to fall between [-1,1] - Detailed construction methods for individual indicators are referenced in the report "Timing Radar Six-Facet Diagram: A Multi-Dimensional Timing Framework"[6][8] - **Model Evaluation**: The model provides a comprehensive and systematic framework for market timing, integrating multiple dimensions of market dynamics[1][6] --- Model Backtesting Results 1. Timing Radar Six-Facet Diagram - **Liquidity Score**: 0.25 (Neutral to slightly positive signal)[8] - **Economic Fundamentals Score**: -0.25 (Neutral to slightly negative signal)[8] - **Valuation Score**: -0.33 (Neutral to slightly negative signal)[8] - **Capital Flows Score**: 0.00 (Neutral signal)[8] - **Technical Trends Score**: 0.00 (Neutral signal)[8] - **Crowding Score**: 0.50 (Neutral to slightly positive signal)[8] - **Overall Composite Score**: 0.02 (Neutral signal, down from 0.04 last week)[6][8] --- Quantitative Factors and Construction Methods 1. Factor Name: Liquidity Factors - **Factor Construction Idea**: Liquidity factors assess monetary and credit conditions, capturing signals from central bank policies and market interest rates[11][13][16][19] - **Factor Construction Process**: - **Monetary Direction Factor**: Measures the average change in central bank policy rates and short-term market rates over 90 days. Formula: If >0, monetary policy is deemed expansionary; if <0, contractionary[11] - **Monetary Strength Factor**: Based on the "interest rate corridor" concept, calculated as: $ \text{Deviation} = \frac{\text{DR007}}{\text{7-Year Reverse Repo Rate}} - 1 $ Smoothed and z-scored to form the factor. Thresholds: <-1.5 SD (expansionary, score=1), >1.5 SD (contractionary, score=-1)[13] - **Credit Direction Factor**: Uses 12-month growth in medium-to-long-term loans. If growth is higher than three months ago, score=1; otherwise, score=-1[16] - **Credit Strength Factor**: Measures deviation of new RMB loans from expectations: $ \text{Credit Strength Factor} = \frac{\text{New Loans} - \text{Median Expectation}}{\text{Standard Deviation of Expectation}} $ Thresholds: >1.5 SD (positive, score=1), <-1.5 SD (negative, score=-1)[19] - **Factor Evaluation**: These factors effectively capture liquidity conditions and their implications for market performance[11][13][16][19] 2. Factor Name: Economic Factors - **Factor Construction Idea**: Economic factors reflect growth and inflation dynamics, using PMI and inflation data to assess economic trends and surprises[22][25][27][28] - **Factor Construction Process**: - **Growth Direction Factor**: Based on PMI data (manufacturing and non-manufacturing), calculated as: $ \text{Growth Direction Factor} = \text{PMI 12-Month Average} \to \text{YoY Change} $ If higher than three months ago, score=1; otherwise, score=-1[22] - **Growth Strength Factor**: Measures PMI surprises: $ \text{Growth Strength Factor} = \frac{\text{PMI} - \text{Median Expectation}}{\text{Standard Deviation of Expectation}} $ Thresholds: >1.5 SD (positive, score=1), <-1.5 SD (negative, score=-1)[25] - **Inflation Direction Factor**: Combines CPI and PPI data: $ \text{Inflation Direction Factor} = 0.5 \times \text{Smoothed CPI YoY} + 0.5 \times \text{Raw PPI YoY} $ If lower than three months ago, score=1; otherwise, score=-1[27] - **Inflation Strength Factor**: Measures CPI and PPI surprises: $ \text{Inflation Strength Factor} = \text{Mean of CPI and PPI Surprises} $ Thresholds: <-1.5 SD (positive, score=1), >1.5 SD (negative, score=-1)[28] - **Factor Evaluation**: These factors provide a robust framework for assessing economic conditions and their market implications[22][25][27][28] 3. Factor Name: Valuation Factors - **Factor Construction Idea**: Valuation factors assess equity cost-effectiveness using metrics like Shiller ERP, PB, and AIAE[32][35][38] - **Factor Construction Process**: - **Shiller ERP**: $ \text{Shiller ERP} = \frac{1}{\text{Shiller PE}} - \text{10-Year Treasury Yield} $ Z-scored over six years to derive the factor score[32] - **PB**: $ \text{PB Factor} = \text{PB} \times (-1) $ Z-scored over six years, with 1.5 SD truncation, normalized to ±1[35] - **AIAE**: $ \text{AIAE} = \frac{\text{Total Market Cap of CSI All-Share}}{\text{Total Market Cap + Total Debt}} $ Multiplied by -1 and z-scored over six years to derive the factor score[38] - **Factor Evaluation**: These factors effectively capture valuation dynamics and investor sentiment[32][35][38] 4. Factor Name: Crowding Factors - **Factor Construction Idea**: Crowding factors measure market sentiment and overreaction using derivatives and convertible bond pricing[59][65][67] - **Factor Construction Process**: - **Option Implied Basis**: Derived from put-call parity, reflecting market sentiment. Thresholds: If 50ETF 5-day return <0 and percentile <30%, score=1; if return >0 and percentile >70%, score=-1[59] - **Option VIX**: Measures implied volatility. Thresholds: If 50ETF 5-day return <0 and percentile >70%, score=1; if return >0 and percentile >70%, score=-1[60] - **Option SKEW**: Reflects skewness expectations. Thresholds: If 50ETF 5-day return <0 and percentile >70%, score=1; if return >0 and percentile <30%, score=-1[65] - **Convertible Bond Mispricing**: $ \text{Mispricing} = \frac{\text{Convertible Bond Price}}{\text{Model Price}} - 1 $ Multiplied by -1 and z-scored over three years to derive the factor score[67] - **Factor Evaluation**: These factors provide valuable insights into market sentiment and potential reversals[59][65][67] --- Factor Backtesting Results 1. Liquidity Factors - **Monetary Direction Factor**: Score = 1 (Positive signal)[11] - **Monetary Strength Factor**: Score = 0 (Neutral signal)[13] - **Credit Direction Factor**: Score = 1 (Positive signal)[16] - **Credit Strength Factor**: Score = -1 (Negative signal)[19] 2. Economic Factors - **Growth Direction Factor**: Score = 1 (Positive signal)[22][24] - **Growth Strength Factor**: Score = 0 (Neutral signal)[25] - **Inflation Direction Factor**: Score = -1 (Negative signal)[27] - **Inflation Strength Factor**: Score = -1 (Negative signal)[28] 3. Valuation Factors - **Shiller ERP**: Score = 0.07 (Slightly positive signal)[34] - **PB**: Score = -0.37 (Negative signal)[35] - **AIAE**: Score = -0.69 (Negative signal)[38] 4. Crowding Factors - **Option Implied Basis**: Score = 1 (Positive signal)[59] - **Option VIX**: Score = 1 (Positive signal)[60] - **Option SKEW**: Score = 1 (Positive signal)[65] - **Convertible Bond Mispricing**: Score = -1 (

Quantitative Models and Construction Methods - **Model Name**: Timing Radar Six-Dimensional Framework **Model Construction Idea**: The equity market is influenced by multiple dimensions of factors. This model selects 21 indicators from six dimensions: liquidity, economic fundamentals, valuation, capital flow, technicals, and crowding. These are summarized into four categories: "valuation cost-effectiveness," "macro fundamentals," "capital & trend," and "crowding & reversal," generating a composite timing score between [-1, 1][1][6][8] **Model Construction Process**: 1. Select 21 indicators across six dimensions 2. Group indicators into four categories: - Valuation cost-effectiveness - Macro fundamentals - Capital & trend - Crowding & reversal 3. Normalize the composite score to a range of [-1, 1] **Model Evaluation**: The model provides a comprehensive view of market conditions by integrating multiple dimensions, offering a balanced perspective on market timing[1][6][8] --- Quantitative Factors and Construction Methods Liquidity Factors 1. **Factor Name**: Monetary Direction Factor **Factor Construction Idea**: Measures the direction of monetary policy using central bank policy rates and short-term market rates[10] **Factor Construction Process**: - Calculate the average change in policy rates and short-term market rates over the past 90 days - If the factor > 0, monetary policy is considered expansionary; if < 0, it is contractionary **Factor Evaluation**: Effectively captures monetary policy direction[10] 2. **Factor Name**: Monetary Intensity Factor **Factor Construction Idea**: Based on the "interest rate corridor" concept, measures the deviation of short-term market rates from policy rates[12] **Factor Construction Process**: - Calculate deviation = DR007/7-year reverse repo rate - 1 - Smooth and z-score the deviation to form the factor - If the factor < -1.5 standard deviations, it indicates a loose environment; if > 1.5, it indicates a tight environment **Factor Evaluation**: Captures the relative intensity of monetary policy[12] 3. **Factor Name**: Credit Direction Factor **Factor Construction Idea**: Reflects the transmission of credit to the real economy using medium- and long-term loan data[15] **Factor Construction Process**: - Calculate the year-on-year growth of medium- and long-term loans over the past 12 months - If the factor rises compared to three months ago, it signals a positive trend; otherwise, negative **Factor Evaluation**: Provides insights into credit flow trends[15] 4. **Factor Name**: Credit Intensity Factor **Factor Construction Idea**: Measures whether credit data significantly exceeds or falls short of expectations[18] **Factor Construction Process**: - Calculate (new RMB loans - median forecast)/forecast standard deviation - If the factor > 1.5 standard deviations, it indicates a significantly positive credit environment; if < -1.5, it indicates a negative environment **Factor Evaluation**: Captures unexpected credit changes effectively[18] Economic Factors 1. **Factor Name**: Growth Direction Factor **Factor Construction Idea**: Based on PMI data, measures the direction of economic growth[20] **Factor Construction Process**: - Calculate the 12-month moving average of PMI and its year-on-year change - If the factor rises compared to three months ago, it signals a positive trend; otherwise, negative **Factor Evaluation**: Reflects economic growth trends accurately[20] 2. **Factor Name**: Growth Intensity Factor **Factor Construction Idea**: Measures whether economic growth data significantly exceeds or falls short of expectations[23] **Factor Construction Process**: - Calculate (PMI - median forecast)/forecast standard deviation - If the factor > 1.5 standard deviations, it indicates significantly positive growth; if < -1.5, it indicates negative growth **Factor Evaluation**: Captures unexpected economic growth changes effectively[23] 3. **Factor Name**: Inflation Direction Factor **Factor Construction Idea**: Measures the direction of inflation using CPI and PPI data[25] **Factor Construction Process**: - Calculate 0.5 × smoothed CPI year-on-year + 0.5 × raw PPI year-on-year - If the factor decreases compared to three months ago, it signals a deflationary environment; otherwise, inflationary **Factor Evaluation**: Reflects inflation trends effectively[25] 4. **Factor Name**: Inflation Intensity Factor **Factor Construction Idea**: Measures whether inflation data significantly exceeds or falls short of expectations[27] **Factor Construction Process**: - Calculate (CPI or PPI - median forecast)/forecast standard deviation - If the factor < -1.5, it indicates significantly lower-than-expected inflation; if > 1.5, it indicates higher-than-expected inflation **Factor Evaluation**: Captures unexpected inflation changes effectively[27] Valuation Factors 1. **Factor Name**: Shiller ERP **Factor Construction Idea**: Adjusts for economic cycles to measure equity risk premium[28] **Factor Construction Process**: - Calculate Shiller PE using 6-year inflation-adjusted average earnings - Compute ERP = 1/Shiller PE - 10-year government bond yield - Normalize using a 6-year z-score **Factor Evaluation**: Provides a cyclically adjusted view of equity valuation[28] 2. **Factor Name**: PB **Factor Construction Idea**: Measures valuation using price-to-book ratio[31] **Factor Construction Process**: - Multiply PB by -1 and normalize using a 6-year z-score - Standardize to ±1 after 1.5 standard deviation truncation **Factor Evaluation**: Offers a straightforward valuation metric[31] 3. **Factor Name**: AIAE **Factor Construction Idea**: Reflects market-wide equity allocation and risk appetite[33] **Factor Construction Process**: - Calculate AIAE = total market cap of CSI All Share/(total market cap + total corporate debt) - Multiply AIAE by -1 and normalize using a 6-year z-score **Factor Evaluation**: Captures market risk appetite effectively[33] Capital Flow Factors 1. **Factor Name**: Margin Trading Increment **Factor Construction Idea**: Measures market leverage through margin trading trends[36] **Factor Construction Process**: - Calculate the difference between financing and short-selling balances - Compare the 120-day average increment with the 240-day average increment - If the 120-day increment > 240-day increment, it signals a positive trend; otherwise, negative **Factor Evaluation**: Reflects market sentiment and leverage trends[36] 2. **Factor Name**: Turnover Trend **Factor Construction Idea**: Measures market activity through turnover trends[39] **Factor Construction Process**: - Calculate log turnover moving average distance = ma120/ma240 - 1 - If max(10, 30, 60-day moving averages) is positive, it signals a positive trend; otherwise, negative **Factor Evaluation**: Captures market activity effectively[39] 3. **Factor Name**: China Sovereign CDS Spread **Factor Construction Idea**: Reflects foreign investors' perception of China's economic and credit risk[43] **Factor Construction Process**: - Calculate the 20-day difference of smoothed CDS spreads - If the difference < 0, it signals a positive trend; otherwise, negative **Factor Evaluation**: Provides insights into foreign capital flow trends[43] 4. **Factor Name**: Overseas Risk Aversion Index **Factor Construction Idea**: Captures global market risk appetite using Citi RAI Index[45] **Factor Construction Process**: - Calculate the 20-day difference of smoothed RAI - If the difference < 0, it signals a positive trend; otherwise, negative **Factor Evaluation**: Reflects global risk sentiment effectively[45] Technical Factors 1. **Factor Name**: Price Trend **Factor Construction Idea**: Measures market trend direction and strength using moving averages[47] **Factor Construction Process**: - Calculate moving average distance = ma120/ma240 - 1 - Compute trend direction and strength scores, then average them **Factor Evaluation**: Captures market trend dynamics effectively[47] 2. **Factor Name**: New Highs and Lows **Factor Construction Idea**: Uses the difference between new highs and lows as a reversal signal[49] **Factor Construction Process**: - Calculate the 20-day moving average of new lows - new highs - If the value > 0, it signals a bottoming market; otherwise, a topping market **Factor Evaluation**: Provides reversal signals effectively[49] Crowding Factors 1. **Factor Name**: Implied Premium/Discount **Factor Construction Idea**: Derived from option pricing, reflects market sentiment[53] **Factor Construction Process**: - Use the put-call parity to calculate implied premium/discount

- The "Timing Radar Six-Dimensional Chart" is a multi-dimensional timing framework that evaluates the equity market using 21 indicators categorized into four dimensions: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Funds & Trends," and "Crowdedness & Reversal" These dimensions generate a composite timing score ranging from [-1,1][1][6][8] - The "Liquidity" dimension includes factors such as "Monetary Direction" and "Credit Direction," which signal a slightly bullish outlook this week with a score of 0.50[8][11][17] - The "Economic" dimension uses factors like "Growth Direction" and "Inflation Direction" to assess macroeconomic conditions This week, the score is neutral at 0.00, with "Growth Direction" signaling bullish and "Inflation Direction" signaling bearish[8][22][27] - The "Valuation" dimension evaluates equity cost-effectiveness using indicators like "Shiller ERP," "PB," and "AIAE" This week, the score is -0.49, indicating a slightly bearish outlook[8][30][35][37] - The "Funds" dimension analyzes capital flows through indicators such as "Margin Financing Increment" and "China Sovereign CDS Spread" This week, the score is neutral at 0.00, with domestic capital showing bullish signals and foreign capital showing bearish signals[8][39][46][48] - The "Technical" dimension captures market trends and reversals using indicators like "Price Trend" and "New Highs and Lows" This week, the score is neutral at 0.00, with "Price Trend" signaling bullish and "New Highs and Lows" signaling bearish[8][51][53] - The "Crowdedness" dimension measures market sentiment using derivative signals like "Option Implied Premium," "VIX," and "SKEW," as well as "Convertible Bond Pricing Deviation" This week, the score is 0.50, indicating a slightly bullish sentiment[8][57][63][67]

Quantitative Models and Construction Methods - **Model Name**: Timing Radar Six-Factor Model **Model Construction Idea**: The model aims to evaluate equity market performance based on multiple dimensions, including liquidity, economic fundamentals, valuation, capital flow, technical indicators, and crowding. It aggregates 21 indicators into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score ranging between [-1, 1] [1][6]. **Model Construction Process**: The model uses 21 indicators across six dimensions, which are grouped into four categories. Each indicator is scored based on its respective methodology, and the scores are aggregated to form the comprehensive timing score. The detailed construction process for each indicator is provided in the report [6]. **Model Evaluation**: The model provides a comprehensive view of market conditions, offering insights into multiple dimensions that influence equity market performance [1][6]. Quantitative Factors and Construction Methods Liquidity Factors 1. **Factor Name**: Monetary Direction Factor **Factor Construction Idea**: This factor evaluates the direction of monetary policy by analyzing changes in central bank policy rates and short-term market rates over the past 90 days [11]. **Factor Construction Process**: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days - If the factor value > 0, monetary policy is considered expansionary; if < 0, it is considered contractionary [11]. **Factor Evaluation**: Provides a clear signal of monetary policy direction, aiding in liquidity assessment [11]. 2. **Factor Name**: Monetary Strength Factor **Factor Construction Idea**: Based on the "interest rate corridor" concept, this factor measures the deviation of short-term market rates from policy rates [14]. **Factor Construction Process**: - Calculate deviation = DR007/7-year reverse repo rate - 1 - Smooth the deviation and apply z-score normalization - If the factor value < -1.5 standard deviations, it indicates a future 120-day easing environment (score = 1); if > 1.5 standard deviations, it indicates tightening (score = -1) [14]. **Factor Evaluation**: Useful for assessing the relative deviation of short-term rates from policy rates [14]. 3. **Factor Name**: Credit Direction Factor **Factor Construction Idea**: Measures the trend of credit transmission from commercial banks to the real economy using long-term loan data [16]. **Factor Construction Process**: - Calculate the monthly value of long-term loans - Compute the past 12-month increment and year-on-year change - If the factor value increases compared to three months ago, it signals a positive trend (score = 1); otherwise, it signals a negative trend (score = -1) [16]. **Factor Evaluation**: Effectively captures the transmission of credit to the real economy [16]. 4. **Factor Name**: Credit Strength Factor **Factor Construction Idea**: Captures whether credit indicators significantly exceed or fall short of expectations [20]. **Factor Construction Process**: - Calculate Credit Strength Factor = (New RMB loans monthly value - median forecast) / forecast standard deviation - If the factor value > 1.5 standard deviations, it indicates a significant credit surplus (score = 1); if < -1.5 standard deviations, it indicates a significant credit deficit (score = -1) [20]. **Factor Evaluation**: Provides insights into credit market surprises [20]. Economic Factors 1. **Factor Name**: Growth Direction Factor **Factor Construction Idea**: Based on PMI data, this factor measures the trend of economic growth [23]. **Factor Construction Process**: - Use PMI data (Manufacturing PMI, Non-Manufacturing PMI, Caixin Manufacturing PMI) - Calculate the past 12-month average and year-on-year change - If the factor value increases compared to three months ago, it signals a positive trend (score = 1); otherwise, it signals a negative trend (score = -1) [23]. **Factor Evaluation**: Provides a reliable measure of economic growth trends [23]. 2. **Factor Name**: Growth Strength Factor **Factor Construction Idea**: Captures whether economic growth indicators significantly exceed or fall short of expectations [26]. **Factor Construction Process**: - Calculate PMI forecast deviation = (PMI - median forecast) / forecast standard deviation - If the factor value > 1.5 standard deviations, it indicates significant growth (score = 1); if < -1.5 standard deviations, it indicates significant contraction (score = -1) [26]. **Factor Evaluation**: Useful for identifying unexpected economic growth trends [26]. 3. **Factor Name**: Inflation Direction Factor **Factor Construction Idea**: Measures the impact of inflation trends on monetary policy and equity performance [28]. **Factor Construction Process**: - Calculate Inflation Direction Factor = 0.5 × smoothed CPI year-on-year value + 0.5 × raw PPI year-on-year value - If the factor value decreases compared to three months ago, it signals a deflationary environment (score = 1); otherwise, it signals inflation (score = -1) [28]. **Factor Evaluation**: Provides insights into inflation trends and their impact on monetary policy [28]. 4. **Factor Name**: Inflation Strength Factor **Factor Construction Idea**: Captures whether inflation indicators significantly exceed or fall short of expectations [31]. **Factor Construction Process**: - Calculate CPI and PPI forecast deviation = (reported value - median forecast) / forecast standard deviation - Compute Inflation Strength Factor = average of CPI and PPI forecast deviations - If the factor value < -1.5, it indicates significant deflation (score = 1); if > 1.5 standard deviations, it indicates significant inflation (score = -1) [31]. **Factor Evaluation**: Provides a measure of inflation surprises [31]. Valuation Factors 1. **Factor Name**: Shiller ERP **Factor Construction Idea**: Adjusts earnings for inflation to assess market valuation [34]. **Factor Construction Process**: - Calculate Shiller PE using inflation-adjusted average earnings over the past six years - Compute Shiller ERP = 1/Shiller PE - 10-year government bond yield - Normalize using z-score over the past six years [34]. **Factor Evaluation**: Offers a robust measure of equity risk premium [34]. 2. **Factor Name**: PB **Factor Construction Idea**: Measures valuation using price-to-book ratio [37]. **Factor Construction Process**: - Calculate PB × (-1) - Normalize using z-score over the past six years, truncating at ±1.5 standard deviations [37]. **Factor Evaluation**: Provides insights into market valuation levels [37]. 3. **Factor Name**: AIAE **Factor Construction Idea**: Reflects market-wide equity allocation and risk preference [40]. **Factor Construction Process**: - Calculate AIAE = total market capitalization of CSI All Share Index / (total market capitalization + total debt) - Normalize using z-score over the past six years [40]. **Factor Evaluation**: Captures overall market risk appetite [40]. Capital Flow Factors 1. **Factor Name**: Margin Financing Increment **Factor Construction Idea**: Measures market leverage and sentiment through margin financing trends [43]. **Factor Construction Process**: - Calculate margin financing balance - margin selling balance - Compare 120-day average increment with 240-day average increment - If 120-day increment > 240-day increment, score = 1; otherwise, score = -1 [43]. **Factor Evaluation**: Reflects market sentiment and leverage dynamics [43]. 2. **Factor Name**: Turnover Trend **Factor Construction Idea**: Measures market activity and capital flow through turnover trends [46]. **Factor Construction Process**: - Calculate log turnover moving average distance = ma120/ma240 - 1 - If max(10) = max(30) = max(60), score = 1; if min(10) = min(30) = min(60), score = -1 [46]. **Factor Evaluation**: Indicates market activity and liquidity [46]. 3. **Factor Name**: China Sovereign CDS Spread **Factor Construction Idea**: Reflects foreign investors' perception of China's economic and credit risk [49]. **Factor Construction Process**: - Smooth CDS spread and calculate 20-day difference - If 20-day difference < 0, score = 1; otherwise, score = -1 [49]. **Factor Evaluation**: Captures foreign investors' sentiment towards China [49]. 4. **Factor Name**: Overseas Risk Aversion Index **Factor Construction Idea**: Measures overseas market risk preference using Citi RAI Index [52]. **Factor Construction Process**: - Smooth RAI and calculate 20-day difference - If 20-day difference < 0, score = 1; otherwise, score = -1 [52]. **Factor Evaluation**: Reflects overseas market risk appetite [52].

Quantitative Models and Construction Methods 1. Model Name: Timing Radar Six-Sided Chart - **Model Construction Idea**: The performance of the equity market is influenced by multiple dimensions. This model attempts to describe the market using 21 indicators from liquidity, economic, valuation, capital, technical, and congestion perspectives, summarized into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Congestion & Reversal," generating a comprehensive timing score between [-1,1][2][7]. - **Model Construction Process**: - **Liquidity**: Indicators include monetary direction, monetary strength, credit direction, and credit strength. For example, the monetary direction factor is calculated based on the average change in central bank policy rates and short-term market rates over the past 90 days[13]. - **Economic**: Indicators include growth direction, growth strength, inflation direction, and inflation strength. For example, the growth direction factor is based on PMI data, calculated as the 12-month average of PMI and its year-over-year change[23]. - **Valuation**: Indicators include Shiller ERP, PB, and AIAE. For example, Shiller ERP is calculated as 1/Shiller PE - 10-year government bond yield, with a z-score over the past 6 years[35]. - **Capital**: Indicators include margin financing increment, trading volume trend, China sovereign CDS spread, and overseas risk aversion index. For example, the margin financing increment is calculated as the difference between the 120-day and 240-day moving averages of financing balance minus short-selling balance[44]. - **Technical**: Indicators include price trend and new highs and lows. For example, the price trend factor is calculated as the distance between the 120-day and 240-day moving averages[54]. - **Congestion**: Indicators include implied premium/discount, VIX, SKEW, and convertible bond pricing deviation. For example, the implied premium/discount is derived from the put-call parity relationship[59]. - **Model Evaluation**: The model provides a comprehensive view of the market by integrating multiple dimensions, making it a robust tool for market timing[2][7]. Model Backtesting Results - **Current Comprehensive Score**: -0.13, slightly down by 0.01 from last week, indicating a neutral view[2][7]. - **Liquidity Score**: 0.25, indicating a slightly bullish signal[9]. - **Economic Score**: -0.25, indicating a slightly bearish signal[9]. - **Valuation Score**: -0.50, indicating a slightly bearish signal[9]. - **Capital Score**: 0.00, indicating a neutral signal[9]. - **Technical Score**: 0.00, indicating a neutral signal[9]. - **Congestion Score**: 0.00, indicating a neutral signal[9]. Quantitative Factors and Construction Methods 1. Factor Name: Monetary Direction Factor - **Factor Construction Idea**: To determine the direction of current monetary policy using central bank policy rates and short-term market rates[13]. - **Factor Construction Process**: Calculate the average change in central bank policy rates and short-term market rates over the past 90 days. If the factor is greater than 0, it indicates a bullish signal[13]. - **Factor Evaluation**: Provides a clear indication of the direction of monetary policy, useful for assessing liquidity conditions[13]. 2. Factor Name: Monetary Strength Factor - **Factor Construction Idea**: Based on the "interest rate corridor" concept to measure the deviation of short-term market rates from policy rates[16]. - **Factor Construction Process**: Calculate the deviation as DR007/7-year reverse repo rate - 1, smooth and z-score it to form the monetary strength factor. If the factor is less than -1.5 standard deviations, it indicates a bullish signal[16]. - **Factor Evaluation**: Useful for assessing the strength of monetary policy and its impact on market liquidity[16]. 3. Factor Name: Credit Direction Factor - **Factor Construction Idea**: To measure the tightness of credit transmission from commercial banks to the real economy using medium and long-term loan data[19]. - **Factor Construction Process**: Calculate the year-over-year change in the 12-month increment of medium and long-term loans. If the factor is rising compared to three months ago, it indicates a bullish signal[19]. - **Factor Evaluation**: Provides insights into the credit environment and its impact on economic activity[19]. 4. Factor Name: Growth Direction Factor - **Factor Construction Idea**: Based on PMI data to measure the direction of economic growth[23]. - **Factor Construction Process**: Calculate the 12-month average of PMI and its year-over-year change. If the factor is rising compared to three months ago, it indicates a bullish signal[23]. - **Factor Evaluation**: Useful for assessing the direction of economic growth and its impact on market sentiment[23]. 5. Factor Name: Shiller ERP - **Factor Construction Idea**: To adjust for the impact of economic cycles on corporate earnings and market valuation[35]. - **Factor Construction Process**: Calculate Shiller PE as the average inflation-adjusted earnings over the past 6 years, then calculate Shiller ERP as 1/Shiller PE - 10-year government bond yield, and z-score it over the past 6 years[35]. - **Factor Evaluation**: Provides a long-term perspective on market valuation, useful for identifying overvalued or undervalued conditions[35]. Factor Backtesting Results - **Monetary Direction Factor**: Score of 1, indicating a bullish signal[13]. - **Monetary Strength Factor**: Score of -1, indicating a bearish signal[17]. - **Credit Direction Factor**: Score of 1, indicating a bullish signal[19]. - **Growth Direction Factor**: Score of 1, indicating a bullish signal[23]. - **Shiller ERP**: Score of -0.04, indicating a slightly bearish signal[35].

- The timing radar six-dimensional model is based on a multi-dimensional timing framework, selecting 21 indicators from liquidity, economic aspects, valuation, capital flow, technical aspects, and crowding to generate a comprehensive timing score ranging from [-1,1][1][6][8] - Liquidity dimension includes factors such as monetary direction, monetary strength, credit direction, and credit strength, with scores reflecting signals like monetary policy direction and short-term market interest rate deviations[10][13][16][19] - Economic dimension includes growth direction and strength factors based on PMI data, as well as inflation direction and strength factors derived from CPI and PPI data, capturing economic trends and inflation expectations[21][24][28][31] - Valuation dimension includes Shiller ERP, PB, and AIAE indicators, measuring equity risk premium, price-to-book ratio, and aggregate investor allocation to equities, respectively, to assess market valuation attractiveness[34][36][40] - Capital flow dimension includes domestic indicators like margin trading increment and turnover trends, and foreign indicators such as China sovereign CDS spread and overseas risk aversion index, reflecting capital flow dynamics[42][45][49][52] - Technical dimension includes price trend and new high-new low indicators, capturing market trends and reversal signals based on moving averages and constituent stock performance[54][56] - Crowding dimension includes derivative signals like implied premium, VIX, SKEW, and convertible bond pricing deviation, reflecting market sentiment and overreaction signals[60][61][66][68]

- The report introduces a timing radar framework based on six dimensions: liquidity, economic fundamentals, valuation, capital flow, technical signals, and crowding. It selects 21 indicators to generate a comprehensive timing score ranging from [-1,1][2][7][9] - **Liquidity Factors**: - **Monetary Direction Factor**: Measures the direction of monetary policy using central bank policy rates and short-term market rates. Formula: average change over 90 days. If >0, monetary policy is considered loose, scoring 1[12][14] - **Monetary Strength Factor**: Based on the "interest rate corridor" concept, calculated as deviation = DR007/7-year repo rate - 1, smoothed and z-scored. If <-1.5 standard deviations, predicts a loose environment for 120 trading days, scoring 1; if >1.5, scores -1[15][16] - **Credit Direction Factor**: Uses long-term loan data to measure credit transmission. Formula: monthly long-term loans -> 12-month increment -> YoY comparison. If upward trend compared to 3 months ago, scores 1; otherwise -1[18][20] - **Credit Strength Factor**: Captures unexpected credit changes using formula: (new RMB loans - median forecast)/forecast standard deviation. If >1.5 standard deviations, scores 1; if <-1.5, scores -1[21][22] - **Economic Factors**: - **Growth Direction Factor**: Based on PMI data (manufacturing, non-manufacturing, Caixin manufacturing). Formula: PMI -> 12-month average -> YoY comparison. If upward trend compared to 3 months ago, scores 1; otherwise -1[23][25] - **Growth Strength Factor**: Measures unexpected growth using formula: (PMI - median forecast)/forecast standard deviation. If >1.5 standard deviations, scores 1; if <-1.5, scores -1[26][28] - **Inflation Direction Factor**: Combines CPI and PPI data. Formula: 0.5 × CPI YoY smoothed + 0.5 × PPI YoY raw. If downward trend compared to 3 months ago, scores 1; otherwise -1[30][34] - **Inflation Strength Factor**: Measures unexpected inflation changes using formula: (CPI/PPI disclosed value - median forecast)/forecast standard deviation. If <-1.5 standard deviations, scores 1; if >1.5, scores -1[31][33] - **Valuation Factors**: - **Shiller ERP**: Uses inflation-adjusted average earnings over 6 years to calculate Shiller PE, then Shiller ERP = 1/Shiller PE - 10-year government bond yield. Scores are z-scored over the past 6 years[35][36][39] - **PB Factor**: PB is multiplied by -1 and z-scored over the past 6 years, with 1.5 standard deviation truncation normalized to [-1,1][37][38] - **AIAE Factor**: Measures aggregate investor allocation to equities. Formula: AIAE = total market cap/(total market cap + total debt). AIAE is multiplied by -1 and z-scored over the past 6 years[41][42] - **Capital Flow Factors**: - **Margin Financing Increment**: Measures market leverage using financing balance - short selling balance. Formula: 120-day average increment compared to 240-day average increment. If 120-day > 240-day, scores 1; otherwise -1[43][45] - **Trading Volume Trend**: Measures market activity using log trading volume. Formula: moving average distance = ma120/ma240 - 1. If max(10)=max(30)=max(60), scores 1; if min(10)=min(30)=min(60), scores -1[46][47] - **China Sovereign CDS Spread**: Represents foreign investors' pricing of China's economic and credit risk. Formula: smoothed 20-day difference of CDS spread. If <0, scores 1; otherwise -1[49][51] - **Overseas Risk Aversion Index**: Captures foreign market risk appetite using Citi RAI Index. Formula: smoothed 20-day difference. If <0, scores 1; otherwise -1[52][54] - **Technical Factors**: - **Price Trend Factor**: Measures price trends using moving average distance (ma120/ma240 - 1). Trend direction scores 1 if >0, otherwise -1. Trend strength scores 1 if max(20)=max(60), otherwise -1. Composite score = (direction + strength)/2[55][56][57] - **New Highs and Lows Factor**: Measures reversal signals using the difference between new highs and lows of index constituents. Formula: past year new lows - new highs, smoothed with ma20. If >0, scores 1; otherwise -1[58][60] - **Crowding Factors**: - **Option Implied Premium**: Derived from put-call parity, measures market sentiment. If 50ETF 5-day return <0 and percentile <30%, scores 1; if 50ETF 5-day return >0 and percentile >70%, scores -1[61][66] - **Option VIX Index**: Measures expected volatility. If 50ETF 5-day return <0 and percentile >70%, scores 1; if 50ETF 5-day return >0 and percentile >70%, scores -1[62][64][65] - **Option SKEW Index**: Measures expected skewness. If 50ETF 5-day return <0 and percentile >70%, scores 1; if 50ETF 5-day return >0 and percentile <30%, scores -1[67][68] - **Convertible Bond Pricing Deviation**: Measures market sentiment using formula: deviation = bond price/model price - 1, z-scored over past 3 years. Higher deviation indicates higher crowding, scoring lower[69][71] - **Factor Testing Results**: - **Liquidity**: Monetary direction (1), monetary strength (-1), credit direction (1), credit strength (0)[12][15][18][21] - **Economic**: Growth direction (1), growth strength (-1), inflation direction (-1), inflation strength (0)[23][26][30][31] - **Valuation**: Shiller ERP (0.03), PB (-0.56), AIAE (-0.90)[35][37][41] - **Capital Flow**: Margin financing increment (1), trading volume trend (0), CDS spread (1), risk aversion index (-1)[43][46][49][52] - **Technical**: Price trend (0), new highs and lows (-1)[55][58] - **Crowding**: Option implied premium (-1), VIX (-1), SKEW (-1), convertible bond deviation (-1)[61][62][67][69]