Quantitative Models and Construction Timing Radar Hexagon Model - **Model Name**: Timing Radar Hexagon Model - **Model Construction Idea**: The model evaluates equity market performance through a multi-dimensional framework, incorporating liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding indicators. These dimensions are aggregated into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a composite timing score within the range of [-1, 1][1][6][9] - **Model Construction Process**: 1. Select 21 indicators across six dimensions (liquidity, economic fundamentals, valuation, capital flows, technical signals, and crowding)[1][6] 2. Aggregate these indicators into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Capital & Trend," and "Crowding & Reversal"[6] 3. Normalize the composite score to fall within the range of [-1, 1][6] - **Model Evaluation**: The model provides a comprehensive and systematic approach to market timing by integrating multiple dimensions of market dynamics[6] --- Quantitative Factors and Construction Liquidity Factors 1. **Factor Name**: Monetary Direction Factor - **Construction Idea**: Measures the direction of monetary policy based on changes in central bank policy rates and short-term market rates over the past 90 days[12] - **Construction Process**: - Calculate the average change in central bank policy rates and short-term market rates over the past 90 days - If the factor > 0, monetary policy is deemed accommodative; if < 0, it is deemed tight[12] - **Current View**: The factor is positive this week, signaling accommodative monetary policy, with a score of 1[12] 2. **Factor Name**: Monetary Strength Factor - **Construction Idea**: Captures the deviation of short-term market rates from policy rates using the "interest rate corridor" concept[15] - **Construction Process**: - Compute the deviation = DR007/7-year reverse repo rate - 1 - Smooth and z-score the deviation - If the factor < -1.5 standard deviations, it signals a loose environment (score = 1); if > 1.5 standard deviations, it signals a tight environment (score = -1)[15] - **Current View**: The factor signals a tight environment this week, with a score of -1[15] 3. **Factor Name**: Credit Direction Factor - **Construction Idea**: Reflects the transmission of credit to the real economy using medium- and long-term loan data[18] - **Construction Process**: - Calculate the year-over-year growth of the past 12 months' medium- and long-term loan increments - If the factor rises compared to three months ago, it signals a positive trend (score = 1); otherwise, it signals a negative trend (score = -1)[18] - **Current View**: The factor is in an upward trend this week, signaling a positive outlook, with a score of 1[19] 4. **Factor Name**: Credit Strength Factor - **Construction Idea**: Measures whether credit data significantly exceeds or falls short of expectations[21] - **Construction Process**: - Compute the credit strength factor = (new RMB loans - median forecast) / forecast standard deviation - If the factor > 1.5 standard deviations, it signals a significantly positive credit environment (score = 1); if < -1.5 standard deviations, it signals a negative environment (score = -1)[21] - **Current View**: The factor signals a negative environment this week, with a score of -1[21] --- Backtesting Results of Factors Liquidity Factors 1. **Monetary Direction Factor**: Current score = 1[12] 2. **Monetary Strength Factor**: Current score = -1[15] 3. **Credit Direction Factor**: Current score = 1[19] 4. **Credit Strength Factor**: Current score = -1[21]