金融工程 证 券 研 究 报 告 市场形态周报（20250512-20250516） 本周指数涨跌不一 本周市场回顾与最新信号 从本周的指数表现来看，本周指数涨跌不一，其中沪深 300 上涨 1.12%，中证 500 下跌 0.1%，中证 1000 下跌 0.23%。 当前，上证 50 的隐含波动率为 12.37%，相对于上周上涨了 0.71%。上证 500 的隐含波动率为 16.25%，相对于上周下跌了 0.4%。中证 1000 的隐含波动率 为 19.61%，相对于上周下跌了 0.06%。沪深 300 的隐含波动率为 13.37%，相 对于上周上涨了 0.49%。 我们统计了最近信号的次数和胜率。2025 年 4 月 30 日到 2025 年 5 月 9 日正 面信号共出现了 3465 次，未来高点平均胜率为 59.95%，负面信号出现 2996 次，未来低点平均胜率为 37.32%。 从宽基择时策略来看，上证 50、恒生可持续发展企业指数出现看多信号，其 余宽基信号为中性。 从行业形态择时策略来看，商贸零售、家电、纺织服装、电力及公用事业、消 费者服务、交通运输、银行出现看多信号，其余行业信号为中性。 ...

- The Heston model is used to calculate the implied volatility of near-month at-the-money options, serving as the market's fear index. Implied volatility reflects market participants' expectations of future volatility[7] - The shape-based timing strategy for broad-based indices shows a "bullish" signal for indices such as CSI 2000, Guozheng 2000, SSE 50, Wind Micro Cap Index, Wind All A, Hang Seng Financials, Hang Seng Hong Kong 35, Hang Seng China Enterprises Index, Hang Seng Index, Hang Seng Equal Weight, and Hang Seng Sustainable Development Enterprises Index. Other broad-based indices remain "neutral"[2][14] - The industry shape-based timing strategy is constructed using the scissors difference ratio of long and short positions in industry index constituent stocks. If no bullish or bearish stocks are present on a given day, the scissors difference value and ratio are set to zero. This model outperforms respective industry indices in all cases, demonstrating excellent historical backtesting performance[15] - Positive signals appeared 3,394 times between April 14, 2025, and April 18, 2025, with an average future high-point win rate of 65.46%. Negative signals appeared 4,047 times, with an average future low-point win rate of 35.78%[12] - Six technical stock patterns are summarized, including "Golden Needle Bottom," "Rocket Launch," "Full Red," "Hanging Line," "Heaven Line," and "Cloud Line." Positive patterns like "Golden Needle Bottom," "Rocket Launch," and "Full Red" show strong positive alert effects[26] - Stocks with special bullish shape signals this week include *ST Zhongcheng, Guozhong Water, *ST Haihua, *ST Xintong, ST Spring, and Zhongfu Shenying[27][28] - Broker gold stocks with a 70% win rate bullish shape signal this week include Aerospace Electric, Feilihua, and Qingda Environmental[31][32]