2025 年 11 月 23 日 缠论视角下或类似于 2017 年 11 月底 12 月初 本期要点：缠论视角下或类似于 2017 年 11 月底 12 月初 周五市场出现放量调整，大盘跌破近期上行趋势通道及 60 日均线， 这或许意味着此前某一级别的上行趋势已告一段落。从周期分析的角 度来看，当前调整可能仅针对 2025 年 4 月初以来周线级别的上升趋 势，而自 2024 年初启动的月线级别上行趋势或仍在延续。因此，我 们倾向于在当前阶段以"长多短空"的心态应对市场变化。 从温度计指标来看，尽管周五出现放量破位，但主流宽基指数的高频 温度计均值已降至 7 以下，显示本轮调整或已出现一定的超跌迹象。 结合缠论结构以及高频、低频、超低频温度计的当前读数，当前走势 可与 2017 年 11 月底至 12 月初的形态进行类比，即市场在短期快速 释放风险后，有望逐步进入震荡筑底阶段，为后续反弹积蓄动能。 此外，以科技为代表的板块在本轮调整中率先回落，且已呈现较为清 晰的 ABC 三浪调整结构。在大盘整体风险得到一定释放的背景下，这 类板块有可能率先企稳反弹。从量能拥挤度来看，自 11 月 18 日起， TMT 板块 ...

The provided content does not contain any detailed information about quantitative models or factors, their construction, formulas, or backtesting results. The documents primarily discuss market observations, historical comparisons, and general investment advice without delving into specific quantitative methodologies or metrics. Therefore, there is no relevant content to summarize under the requested structure.

- Model Name: Four-Wheel Drive Model; Model Construction Idea: The model suggests focusing on specific industry sectors based on market conditions; Model Construction Process: The model evaluates different industry sectors such as pharmaceuticals, automobiles, computers, communications, and mechanical equipment, and provides signals for potential opportunities or risks based on recent market data and trends[2][8][15]; Model Evaluation: The model is designed to identify potential investment opportunities in various industry sectors during different market conditions[2][8][15] - Factor Name: Volume Reduction Factor; Factor Construction Idea: In a bull market, a significant reduction in trading volume during a downturn often indicates stabilization; Factor Construction Process: The factor measures the reduction in trading volume during a downturn, with a threshold of at least 55% reduction in a fast-rising bull market and 60%-65% in a slow bull market[7]; Factor Evaluation: This factor helps identify potential stabilization points during market downturns[7] - Factor Name: High-Frequency Thermometer Factor; Factor Construction Idea: In a bull market, a significant adjustment with a high-frequency thermometer reading below 10 (or at least below 20) often indicates short-term oversold conditions; Factor Construction Process: The factor measures the high-frequency thermometer reading during market adjustments to identify short-term oversold conditions[8]; Factor Evaluation: This factor helps identify potential short-term oversold conditions during market adjustments[8] Model Backtest Results - Four-Wheel Drive Model, Sharpe Ratio: 12[15] Factor Backtest Results - Volume Reduction Factor, Threshold: 55% (fast bull market), 60%-65% (slow bull market)[7] - High-Frequency Thermometer Factor, Threshold: below 10 (or at least below 20)[8]

Quantitative Models and Construction Methods 1. Model Name: Divergence-Based Turning Points - **Model Construction Idea**: The model identifies potential price turning points by observing divergences between price trends and volume or technical indicators (e.g., MACD). Divergences signal weakening momentum, suggesting a possible reversal in the price trend [2][9]. - **Model Construction Process**: 1. Identify price making new highs or lows. 2. Check if corresponding volume or MACD fails to make new highs or lows, indicating divergence. 3. Confirm divergence using additional signals: - For MACD, use green bar shortening or yellow/white line crossover for confirmation [10]. - Apply wave theory to filter valid signals by identifying five-wave structures in trends [14][16]. 4. Combine divergence signals with moving averages to determine market conditions (e.g., bull or bear market) [14][16]. - **Model Evaluation**: Divergence signals alone have a success rate of less than 55% for predicting turning points. However, combining them with wave theory and moving averages improves accuracy to over 65% [13][16][17]. 2. Model Name: V-Shaped Reversal Turning Points - **Model Construction Idea**: This model uses the "Temperature Indicator" to measure the degree of price deviation from moving averages, identifying extreme conditions that may signal V-shaped reversals [3][18][19]. - **Model Construction Process**: 1. Calculate a moving average (e.g., 60-day for short-term trends, annual for long-term trends). 2. Shift the moving average left by half its parameter length. 3. Linearly extrapolate the last two points of the shifted moving average. 4. Compute the deviation (bias) of each price point from the extrapolated moving average. 5. Calculate the percentile rank of the deviation over a rolling window to derive the "Temperature Indicator," which ranges from 0 to 100 [18][19]. 6. Define thresholds for identifying turning points: - In bear markets, both high-frequency and low-frequency temperature indicators must fall below 10. - In range-bound markets, only the high-frequency indicator below 10 is sufficient. - In bull markets, consider additional risks and adjust thresholds (e.g., high-frequency indicator below 15 or 10) [19][21][26]. - **Model Evaluation**: The model effectively identifies turning points in various market conditions but requires adjustments for bull markets to account for strong trends and potential false signals [27][28]. --- Model Backtesting Results 1. Divergence-Based Turning Points - **Accuracy**: Basic divergence signals have a success rate below 55% but improve to over 65% when combined with wave theory and moving averages [13][16][17]. 2. V-Shaped Reversal Turning Points - **Bear Market**: High-frequency and low-frequency temperature indicators below 10 successfully identified rebounds in January, February, and April 2022, each lasting over a month [21]. - **Range-Bound Market**: High-frequency temperature indicator below 10 identified rebounds in January and April 2025 during a three-quarter-long consolidation phase [22][25]. - **Bull Market**: High-frequency temperature indicator below 10 or 15 identified five strong buying opportunities in gold futures from 2023 to 2025 [26]. --- Quantitative Factors and Construction Methods 1. Factor Name: Temperature Indicator - **Factor Construction Idea**: Measures price deviation from moving averages to identify extreme overbought or oversold conditions [18][19]. - **Factor Construction Process**: 1. Use a moving average (e.g., 60-day or annual) to represent the trend. 2. Shift the moving average left by half its parameter length. 3. Linearly extrapolate the last two points of the shifted moving average. 4. Calculate the deviation (bias) of each price point from the extrapolated moving average. 5. Compute the percentile rank of the deviation over a rolling window to derive the factor value, ranging from 0 to 100 [18][19]. - **Factor Evaluation**: The factor effectively identifies extreme market conditions but requires different thresholds for bear, range-bound, and bull markets to optimize performance [19][21][26]. --- Factor Backtesting Results 1. Temperature Indicator - **Bear Market**: High-frequency and low-frequency indicators below 10 identified rebounds in January, February, and April 2022 [21]. - **Range-Bound Market**: High-frequency indicator below 10 identified rebounds in January and April 2025 [22][25]. - **Bull Market**: High-frequency indicator below 10 or 15 identified five strong buying opportunities in gold futures from 2023 to 2025 [26].