财通金工成交活跃度择时指标翻多

1、1、 财通金工成交占比择时策略沪深信号翻多表 1：最近沪深和江浙的信号根据 2020 年 10 月 13 日公布的深交所分地区市场成交额数据，沪深信号翻多，而江浙信号维持空仓。沪深江浙2019-10112019-11112019-12102020-01002020-02002020-03002020-04102020-05112020-06112020-07002020-08002020-0910数据来源：财通证券研究所2、 财通金工成交占比择时策略深交所会在每月结束后公布各地区的交易额情况，时间一般在月初的前 5 个交易日。 图1：深交所各地区成交额数据数据来源：财通证券研究所，深交所其中上

2、海、深圳、江苏、浙江常年位于成交额占比的前四位。 图2：上海、深圳、江苏、浙江成交额占比数据来源：财通证券研究所，深交所一般而言，我们认为上海、深圳的资金以机构为主，而江浙资金游资居多。由于深交所会在在当月月初的前 5 个交易日公布上一交易日数据，因此我们选择在每月第 6 个交易日收盘时决定是否交易。我们认为游资具有短期炒作性质，游资占比短期冲高往往代表市场理性情绪消退，后市可能下跌。而机构资金一般会长期持有市场优质股票，并持续推高价格，机 构占比提升代表机构对后市持续看好。基于以上判断，我们设计了如下两个测试方案：江浙资金如果上月江浙资金占比 江浙资金占比 MA(6),认为情绪偏空，不持仓如

3、果上月江浙资金占比 江浙资金占比 MA(6),认为情绪偏多，选择在当月第 6 个交易日收盘时买入深成指数（上证 50/沪深 300/中证 500）并一直持有直至下月第 6 个交易日沪深资金如果上月沪深资金占比 沪深资金占比 MA(6),认为情绪偏多，选择在当月第 6 个交易日收盘时买入并一直持有直至下月第 6 个交易日江浙策略表现 图3：利用江浙数据择时在深成指数上表现表 2：利用江浙数据择时在深成指数上绩效数据来源：财通证券研究所，深交所年化收益最大回撤胜率calmarsharpe200516.916.9963.642.421.482006101.506.0767.2616.714.0520

4、0714.3722.7256.380.630.662008-27.2942.0450.00-0.65-0.70200997.3713.2665.077.342.862010-6.1314.8948.15-0.41-0.422011-11.3714.2249.49-0.80-0.712012-1.5526.2144.55-0.060.032013-1.9315.9950.31-0.12-0.01201428.127.2749.513.871.792015-5.747.6940.00-0.75-0.5420164.6612.2850.710.380.3420172.708.8055.000.310

5、.272018-13.4321.2648.63-0.63-0.66201928.067.5856.413.701.93202032.728.5872.923.822.12总体表现12.2644.1853.830.280.71数据来源：财通证券研究所，深交所表 3：利用江浙数据择时在上证 50 上绩效 图4：利用江浙数据择时在上证50上表现数据来源：财通证券研究所，深交所年化收益最大回撤胜率calmarsharpe200517.313.9653.034.371.78200691.804.7264.6019.464.2820075.5522.7151.060.240.342008-39.2546.

6、2150.00-0.85-1.17200983.3013.9358.905.982.682010-10.8916.0046.30-0.68-1.002011-3.4210.4254.55-0.33-0.1920127.5919.3149.500.390.512013-7.6119.4245.96-0.39-0.29201448.906.4255.347.622.342015-10.8212.3640.00-0.88-0.78201617.385.9052.862.941.32201718.116.3854.502.841.642018-5.8215.2955.48-0.38-0.2520191

7、2.9710.3552.141.251.07202015.728.2460.421.911.18总体表现11.3350.5753.300.220.68数据来源：财通证券研究所，深交所表 4：利用江浙数据择时在沪深 300 上绩效 图5：利用江浙数据择时在沪深300上表现数据来源：财通证券研究所，深交所年化收益最大回撤胜率calmarsharpe200516.624.1557.584.001.56200691.264.9567.2618.454.41200716.9222.5158.510.750.772008-33.6944.1548.59-0.76-0.94200989.9013.0765.

8、756.882.862010-8.1515.4550.00-0.53-0.672011-7.3611.9751.52-0.61-0.4820122.4222.2449.010.110.2220131.0113.5848.450.070.15201436.426.7256.315.422.232015-8.239.0944.00-0.90-0.72201611.897.7453.571.540.90201713.646.0755.502.251.382018-8.7017.6050.68-0.49-0.44201917.029.4852.991.791.38202023.377.1666.673

9、.261.70总体表现12.4946.6354.690.270.76数据来源：财通证券研究所，深交所表 5：利用江浙数据择时在中证 500 上绩效 图6：利用江浙数据择时在中证500上表现数据来源：财通证券研究所，深交所年化收益最大回撤胜率calmarsharpe200519.706.1357.583.211.38200669.806.7069.0310.423.47200755.9717.5167.023.201.932008-17.8140.4752.11-0.44-0.27200996.4915.8469.186.092.752010-1.8814.8061.11-0.13-0.0720

10、11-13.7216.9550.51-0.81-0.812012-1.2929.0948.51-0.040.05201326.969.0660.872.981.45201420.567.3758.252.791.4620151.654.6644.000.350.2420165.1212.4554.290.410.362017-2.0813.8757.00-0.15-0.092018-14.3322.2649.32-0.64-0.70201928.009.2460.683.031.88202031.158.9264.583.492.12总体表现15.9340.4757.640.390.85数据来

11、源：财通证券研究所，深交所表 6：利用沪深数据择时在深成指数上绩效沪深策略表现 图7：利用沪深数据择时在深成指数上表现数据来源：财通证券研究所，深交所年化收益最大回撤胜率calmarsharpe200525.726.9966.673.682.28200696.516.0766.9615.894.12200718.5515.5455.361.191.0120087.5325.8155.740.290.45200927.0323.8764.621.131.022010-7.4613.6947.37-0.55-0.292011-20.2425.9746.58-0.78-1.1120123.6126.

12、0344.330.140.2820136.0211.1252.290.540.4720143.3512.5548.720.270.31201524.734.1466.675.982.6020167.3813.5152.140.550.4520179.167.6456.601.200.812018-19.7626.9446.43-0.73-0.98201942.107.8655.705.362.31202032.2112.0263.412.681.56总体表现13.6644.1053.810.310.81数据来源：财通证券研究所，深交所表 7：利用沪深数据择时在上证 50 上绩效 图8：利用沪深

13、数据择时在上证50上表现数据来源：财通证券研究所，深交所年化收益最大回撤胜率calmarsharpe200521.463.6358.335.922.34200679.634.7265.2216.884.09200713.7612.6851.791.080.792008-7.4130.4350.82-0.24-0.21200916.3427.8859.230.590.712010-22.3824.2743.61-0.92-1.372011-3.1515.3049.07-0.21-0.10201214.5518.3649.750.790.8620130.1313.4247.710.010.0920

14、1411.3611.3951.281.000.76201519.214.5366.674.241.73201611.7610.2954.291.140.80201720.276.3857.233.181.882018-6.7616.0754.17-0.42-0.28201925.658.5151.903.011.6720207.3011.7757.320.620.51总体表现11.3340.5553.550.280.73数据来源：财通证券研究所，深交所表 8：利用沪深数据择时在沪深 300 上绩效 图9：利用沪深数据择时在沪深300上表现数据来源：财通证券研究所，深交所年化收益最大回撤胜率ca

15、lmarsharpe200525.524.1565.006.152.42200672.404.9569.5714.634.07200723.8411.4360.712.091.2820081.2827.6450.820.050.17200920.8425.2663.080.820.862010-12.2015.7048.87-0.78-0.632011-12.5921.0046.58-0.60-0.6920128.9321.9548.280.410.5620136.449.2850.460.690.5120149.7111.9553.850.810.75201523.263.5769.056.

16、512.4620168.6611.4654.290.760.59201716.956.0757.862.791.792018-12.5721.0448.81-0.60-0.64201929.848.0253.803.721.93202016.0112.2763.411.310.95总体表现12.9240.0854.970.320.82数据来源：财通证券研究所，深交所表 9：利用沪深数据择时在中证 500 上绩效 图10：利用沪深数据择时在中证500上表现数据来源：财通证券研究所，深交所年化收益最大回撤胜率calmarsharpe200537.245.7768.336.452.56200638.569.5063.484.062.39200755.398.9575.006.192.61200823.9023.5155.741.021.02200925.7820.2566.151.270.96201013.6013.7563.160.990.722011-23.3029.8545.34-0.78-1.2520124.7126.7648.770.18