Quantitative Models and Construction Methods Model Name: Three-Dimensional Timing Model - **Model Construction Idea**: The model uses three dimensions: liquidity, divergence, and prosperity to judge market trends[8] - **Model Construction Process**: - The model evaluates the current liquidity trend, market divergence, and prosperity level - It uses technical indicators to assess the market status, such as the overbought condition of the CSI 300 index[8] - The model's historical performance is visualized to validate its effectiveness[17] - **Model Evaluation**: The model indicates a downward trend in a high turnover market, suggesting a low probability of short-term upward movement[8] Model Name: ETF Hot Trend Strategy - **Model Construction Idea**: The strategy selects ETFs based on their price trends and market attention[28] - **Model Construction Process**: - Identify ETFs with both highest and lowest price trends using K-line highest and lowest price shapes - Construct support and resistance factors based on the relative steepness of the regression coefficients of the highest and lowest prices over the past 20 days - Select the top 10 ETFs with the highest turnover rate in the past 5 and 20 days to form a risk parity portfolio[28] - **Model Evaluation**: The strategy includes ETFs from semiconductor, non-ferrous metals, 5G communication, battery industries, and growth styles[29] Model Name: Capital Flow Resonance Strategy - **Model Construction Idea**: The strategy monitors the resonance of margin trading and large order funds to select favored industries[32] - **Model Construction Process**: - Define the margin trading capital factor as the net buying of financing minus the net selling of securities lending, neutralized by the Barra market value factor - Define the active large order capital factor as the net inflow of the industry, neutralized by the time series of trading volume over the past year - Combine the two factors to construct the strategy, excluding extreme industries and large financial sectors to improve stability[35] - **Model Evaluation**: The strategy has shown stable positive excess returns since 2018, with an annualized excess return of 13.5% and an IR of 1.7[35] Model Backtesting Results - **Three-Dimensional Timing Model**: Historical performance shows a consistent downward trend in high turnover markets[17] - **ETF Hot Trend Strategy**: The strategy has achieved cumulative excess returns over the CSI 300 index this year[30] - **Capital Flow Resonance Strategy**: The strategy recorded a negative excess return last week, with an absolute return of -2.4% and an excess return of -2.0% relative to the industry equal weight[35] Quantitative Factors and Construction Methods Factor Name: Beta Factor - **Factor Construction Idea**: Measures the sensitivity of a stock's returns to market returns[40] - **Factor Construction Process**: - Calculate the beta coefficient of each stock based on its historical returns relative to the market index - Form portfolios of high and low beta stocks to compare their performance[40] - **Factor Evaluation**: High beta stocks significantly outperformed low beta stocks, recording a positive return of 2.19% last week[40] Factor Name: Growth Factor - **Factor Construction Idea**: Measures the growth potential of stocks based on their earnings and revenue growth[40] - **Factor Construction Process**: - Calculate the growth rate of earnings and revenue for each stock - Form portfolios of high and low growth stocks to compare their performance[40] - **Factor Evaluation**: Growth stocks continued to outperform value stocks, with the growth factor achieving a return of 1.51% last week[40] Factor Backtesting Results - **Beta Factor**: - Year-to-date: 26.61% - Last month: 2.39% - Last week: 2.19%[41] - **Growth Factor**: - Year-to-date: -0.44% - Last month: 4.74% - Last week: 1.51%[41]