- The report introduces a **PCR timing strategy** based on the **Put/Call Ratio (PCR)**, which is a market sentiment indicator. The strategy logic includes trend-following (PCR rising indicates positive sentiment) and counter-trend (low PCR suggests a sentiment bottom with potential reversal) [5][66][73] - The **PCR timing strategy** is applied to **Shanghai Stock Exchange 50 (SSE 50)** and **CSI 300** indices. The strategy's performance is tracked, showing a year-to-date return of 0.09% for CSI 300, with the latest signal being "no position" (signal 0) [5][73][83] - The **PCR timing strategy** performance metrics for CSI 300 include annualized volatility (15.31%), maximum drawdown (9.44%), Sharpe ratio (0.25), and Calmar ratio (0.43) for 2025. The overall performance from 2020 to 2025 shows an annualized return of 19.96%, maximum drawdown of 23.42%, and Sharpe ratio of 1 [79] - For SSE 50, the **PCR timing strategy** metrics for 2025 include annualized volatility (13.46%), maximum drawdown (12.59%), Sharpe ratio (-0.24), and Calmar ratio (-0.2). The overall performance from 2017 to 2025 shows an annualized return of 14.06%, maximum drawdown of 24.96%, and Sharpe ratio of 0.75 [80]

- The report introduces the PCR timing strategy based on the Put/Call Ratio (PCR), which serves as a market sentiment indicator. The strategy logic includes trend-following (PCR rising indicates positive sentiment) and counter-trend (low PCR suggests potential sentiment reversal)[4][79][90] - The PCR strategy has shown contributions in 2025 for both the SSE 50 and CSI 300 indices. Specifically, the SSE 50 PCR strategy achieved a year-to-date return of 3.07%, with the latest strategy signal being neutral (signal 0)[4][90] - Performance metrics for the SSE 50 PCR strategy in 2025 include a return of 3.07%, maximum drawdown of 6.51%, annualized volatility of 14.61%, win rate of 55.10%, Calmar ratio of 2.32, and Sharpe ratio of 1[81][83] - Performance metrics for the CSI 300 PCR strategy in 2025 include a return of 0.97%, maximum drawdown of 9.44%, annualized volatility of 16.55%, win rate of 54.08%, Calmar ratio of 1.05, and Sharpe ratio of 0.6[85][86]