系统动力学模型研判市场系列之二 来自物理学的预警——LPPL模型如何提示历史行情主升浪顶部 西南证券研究院 策略研究团队 2025年9月 目录 1 如何用LPPL模型预测牛市主升浪行情的结束时点 1 2 历史成功预测牛市行情结束案例 3 历史成功预测熊市行情结束案例 4 LPPL模型对当下行情的预判 研究背景 面对水牛，市场普遍对标2006-2007和2014-2015，极致行情下如何提示行情破裂点？ 数据来源： 2 wind，西南证券整理 LPPL模型的核心思想——万物皆有"断裂点" 最终: 稍微再加一点点力，就达到了尺子的"临界点" ，它会"啪"的一声，瞬间、灾难性地完全断裂。 3 假设我们用手慢慢地掰弯一把塑料尺 初期: 稍微用力，尺子弯曲，但你一松手，它就恢复原状。这个系统是稳定的。 中期: 持续、缓慢地加大力量，尺子的弯曲程度越来越大。能量和压力正在尺子的内部不断积累，虽然表 面看起来还很平静。 末期 (临界点前): 就在尺子即将断裂的前一刻，会听到塑料内部发出"嘎吱嘎吱"的微小声响，甚至看到 弯曲最厉害的地方开始发白。这些微小的断裂声，就是主断裂发生前的前兆信号。更重要的是，会感觉这 些"嘎吱"声 ...

Core Insights - The report focuses on cross-asset timing strategies for interest rates, systematically backtesting various assets (including stock indices, commodities, and bonds) to identify performance under different market conditions [1]. Group 1: Cross-Asset Rotation Effects - The "stock-bond seesaw" effect arises from shifts in risk appetite, where strong economic expectations lead to capital flowing into equity markets, putting pressure on bond prices and raising yields [2][14]. - The relationship between commodities and bonds is closely tied to inflation expectations, with rising commodity prices typically leading to higher inflation and interest rates, which suppress bond valuations [2][14]. Group 2: Timing Strategies in Commodity and Equity Markets - In equity markets, strategies focused on volatility structures yield higher excess returns compared to trend-based moving average strategies, particularly in high-volatility environments [3]. - For commodities, timing strategies exhibit high odds and low win rates, aligning with the trend-driven nature of commodity trading. Multi-signal strategies outperform in various market conditions due to their adaptability [3][51]. Group 3: Cross-Asset Timing Strategies - The report employs a "cross-validation signal triggering method" for each asset, enhancing the robustness of cross-asset timing strategies. The "look at stocks, trade bonds" and "look at commodities, trade bonds" approaches aim to mitigate drawdowns while maintaining excess returns [4][86]. Group 4: Future Optimization Outlook - A dynamic weighting mechanism is proposed to adjust the importance of different market signals based on macroeconomic conditions, enhancing the adaptability of strategies over time [5]. - The report suggests exploring pair trading strategies in the foreign exchange market to provide additional support for cross-asset trading logic [5].

Core Viewpoint - The article discusses the performance of the Chinese stock market in July, highlighting that A-shares outperformed Hong Kong stocks due to various factors, including government policies and market dynamics [4][5]. Group 1: Market Performance - In July, major Chinese stock indices such as the Wind All A, CSI 300, and Hang Seng Index saw increases of +4.75%, +3.54%, and +2.91% respectively, indicating a stronger performance of A-shares compared to Hong Kong stocks [4]. - The article notes that small-cap stocks in A-shares showed stronger performance than large-cap stocks during this period [4]. Group 2: Factors Influencing A-share Performance - The central government's "anti-involution" supply-side reform measures announced on July 1 are believed to have positively impacted investor sentiment, particularly in cyclical industries that are expected to recover [5]. - The high market activity and significant gains in individual stocks have improved risk appetite among investors, leading to increased market participation [5]. Group 3: Bull Market Dynamics - The article explores how bull markets form, emphasizing that economic improvement is not a prerequisite for a bull market; rather, market valuations and investor sentiment play crucial roles [8][14]. - Historical data shows that the Producer Price Index (PPI) can reflect macroeconomic conditions, and past bull markets have occurred even during periods of negative PPI growth [9]. Group 4: Investor Behavior in Bull Markets - The article identifies common reasons why many investors fail to profit during bull markets, including selling stocks during market lows out of fear and missing out on subsequent gains [15][16]. - It highlights the psychological barriers and decision-making challenges investors face, such as fear of missing out and the difficulty in identifying the right stocks to buy [17][18]. Group 5: Current Market Strategy - The article suggests that the current market may be characterized as a structural bull market, with potential for cyclical recovery in certain sectors due to government policies [21]. - It advises investors to avoid perfectionism in their investment strategies and to focus on achieving reasonable returns rather than waiting for the perfect entry point [22].

Market Performance - The Shanghai Composite Index closed at 3415.45 points, up 1.00% [1] - The Shenzhen Component Index closed at 10193.85 points, up 1.45% [1] - The ChiNext Index closed at 2056.82 points, up 1.94% [1] - The CSI 300 Index closed at 3899.85 points, up 1.09% [1] - The STAR 50 Index closed at 976.04 points, up 1.51% [1] - The CSI 500 Index closed at 5750.42 points, up 1.34% [1] - The CSI 1000 Index closed at 6173.70 points, up 1.57% [1] Year-to-Date Performance - The Shanghai Composite Index has increased by 1.90% year-to-date [2] - The Shenzhen Component Index has decreased by 2.12% year-to-date [2] - The ChiNext Index has decreased by 3.96% year-to-date [2] - The CSI 300 Index has decreased by 0.89% year-to-date [2] - The CSI 500 Index has increased by 0.43% year-to-date [2] - The CSI 1000 Index has increased by 3.63% year-to-date [2] - The CSI 2000 Index has increased by 11.69% year-to-date [2] - The North Asia ESO has increased by 36.00% year-to-date [2] - The Wande All A Index has increased by 3.54% year-to-date [2] - The Wande Micro-Stock Index has increased by 31.94% year-to-date [2]

Market Overview - The Shanghai Composite Index opened at 3380.08 points, down 0.04% [1] - The Shenzhen Component Index opened at 10074.27 points, up 0.26% [1] - The ChiNext Index opened at 2024.70 points, up 0.35% [1] - The CSI 300 opened at 3862.39 points, up 0.12% [1] - The STAR 50 opened at 963.79 points, up 0.24% [1] - The CSI 500 opened at 5683.46 points, up 0.16% [1] - The CSI 1000 opened at 6082.74 points, up 0.07% [1] Index Performance - The Shanghai Composite Index recorded a trading volume of 4.5 billion with a year-to-date increase of 0.84% [2] - The Shenzhen Component Index had a trading volume of 7.6 billion with a year-to-date decrease of 3.27% [2] - The ChiNext Index had a trading volume of 3.4 billion with a year-to-date decrease of 5.46% [2] - The CSI 300 had a trading volume of 1.6 billion with a year-to-date decrease of 1.84% [2] - The CSI 500 had a trading volume of 0.91 billion with a year-to-date decrease of 0.74% [2] - The CSI 1000 had a trading volume of 2.7 billion with a year-to-date increase of 2.10% [2]

Market Overview - The Shanghai Composite Index opened at 3374.24 points, down 0.02% [1] - The Shenzhen Component Index opened at 10278.91 points, down 0.09% [1] - The ChiNext Index opened at 2062.27 points, unchanged [1] - The CSI 300 Index opened at 3894.84 points, down 0.04% [1] - The STAR 50 Index opened at 1014.10 points, up 0.44% [1] - The CSI 500 Index opened at 5778.08 points, down 0.06% [1] Index Performance - Shanghai Composite Index: Current price 3374.24, down 0.64 points, with a trading volume of 3.3 billion, year-to-date change of 0.67% [2] - Shenzhen Component Index: Current price 10278.91, down 9.18 points, with a trading volume of 6.3 billion, year-to-date change of -1.30% [2] - North Star 50: Current price 1402.73, down 3.07 points, with a trading volume of 260 million, year-to-date change of 35.16% [2] - CSI All A: Current price 5130.13, down 2.99 points, with a trading volume of 9.9 billion, year-to-date change of 2.16% [2] - STAR 20: Current price 1014.10, up 4.41 points, with a trading volume of 170 million, year-to-date change of 2.54% [2] - ChiNext Index: Current price 2062.27, up 0.01 points, with a trading volume of 2.5 billion, year-to-date change of -3.70% [2] - CSI 300: Current price 3894.84, down 1.42 points, with a trading volume of 1.3 billion, year-to-date change of -1.02% [2] - CSI 500: Current price 5778.08, down 3.59 points, with a trading volume of 1 billion, year-to-date change of 0.91% [2] - CSI 800: Current price 4204.14, down 1.81 points, with a trading volume of 2.4 billion, year-to-date change of -0.53% [2] - CSI 1000: Current price 6144.25, down 6.76 points, with a trading volume of 1.9 billion, year-to-date change of 3.13% [2] - CSI 2000: Current price 2559.85, down 3.07 points, with a trading volume of 3.5 billion, year-to-date change of 9.02% [2] - Wind Micro-Stock Index: Current price 382307.29, up 11.11 points, with a trading volume of 2.917 billion, year-to-date change of 21.02% [2]

Core Viewpoint - The article provides a comprehensive review of the performance of major A-share indices for the years 2024 and Q1 2025, highlighting trends in return on equity (ROE) and the overall economic conditions reflected by these indices [3][4][23]. Group 1: Overall Market Performance - The overall market benchmark, the Wind All A Index, shows a decline in ROE to 7.92% in 2024, a decrease of 6.34% year-on-year, indicating a continuing downward trend [7]. - In Q1 2025, the index ROE further decreased from 2.21% in Q1 2024 to 2.19%, although the rate of decline has slowed compared to previous years [7]. Group 2: Major Indices - The Shanghai Stock Exchange 50 Index, representing the largest 50 companies in the Shanghai market, recorded a ROE of 10.59% in 2024, a slight increase of 0.14% from 2023, but saw a decline in Q1 2025 to 2.60% [8]. - The Shenzhen 100 Index, which includes the largest 100 companies in the Shenzhen market, experienced a significant drop in ROE to 10.59% in 2024, a decrease of 14.32% from the previous year, but rebounded to 3% in Q1 2025, reflecting a 15.88% increase [9][10]. Group 3: A-Series Indices - The CSI A50 Index, a key large-cap index, had a ROE of 11.62% in 2024, with a slight decline to 2.96% in Q1 2025, indicating relative stability [12]. - The CSI A100 Index showed a ROE of 10.48% in 2024, down 7.92% from 2023, but the decline rate slowed in Q1 2025 to 2.62% [12]. - The CSI A500 Index, representing a broader market, had a ROE of 9.82% in 2024, with a further decline to 2.51% in Q1 2025, reflecting ongoing challenges for mid-sized companies [12]. Group 4: Mid and Small Cap Indices - The CSI 300 Index, a core broad-based index, reported a ROE of 10.09% in 2024, down 1.37% year-on-year, with a further decline to 2.58% in Q1 2025, indicating stabilization among large enterprises [15]. - The CSI 500 Index, representing mid-cap companies, saw a significant drop in ROE to 6.02% in 2024, down 17.34%, but showed signs of recovery with a 5.29% increase in Q1 2025 [15]. - The CSI 1000 Index, which tracks small-cap companies, had a ROE of 4.88% in 2024, down 7.04%, but improved to 1.59% in Q1 2025, suggesting a potential bottoming out [16]. Group 5: Innovation and Growth Indices - The ChiNext Index, representing innovative enterprises, had a ROE of 12.48% in 2024, down from previous years, but began to recover in Q1 2025 with a ROE increase [19]. - The Sci-Tech 50 Index, which tracks technology-focused companies, reported a ROE of only 4.34% in 2024, a significant decline of 43.42%, and further dropped to 0.30% in Q1 2025, indicating severe challenges in the tech sector [21][22]. Group 6: Summary - Overall, 2024 was a challenging year for A-share indices, with a general decline in ROE across major indices, particularly in the CSI 2000, Sci-Tech 50, and ChiNext 200, which experienced the steepest declines [23]. - However, signs of recovery were noted in early 2025, particularly among growth-oriented indices like the ChiNext and Shenzhen 100, suggesting a potential turnaround for growth companies [23].