[The latest signal of the model: the model has changed to look at interest rate shocks]
Interpretation of model signals: The fluctuation signal will start to see the interest rate rise from April 7, 2024, the trend signal will start to see the interest rate downward from June 27, 2024, and the model will generally see the interest rate shock. This signal is the objective operation result of the quantitative model and is for reference.
[Model Signal Review]
2024: Since the beginning of the year, the total signal of the model has continued the bullish signal of December last year until April 3. On April 7, the volatility indicator turned bearish for the first time in the year, and then on May 31, the trend indicator turned bearish for the first time, but on June 27, the trend indicator returned to bullishness, and the current model total signal is a shock in interest rates.
2023: At the beginning of the year, the trend indicator continued the bearish signal since November 11 last year, the volatility indicator turned bullish on January 5 and then turned bearish on February 9, the volatility indicator turned bullish again on February 15, the volatility indicator turned bearish on February 21, the volatility indicator turned bullish on March 2, the trend indicator turned bullish on March 6, the trend indicator turned bearish on April 3, the trend indicator turned bullish on April 10, the volatility indicator was bearish on July 11, and the trend indicator was bearish on September 6, On November 8, the trend indicator was bullish, then resumed bearish on the 13th, and on November 20th, the volatility indicator turned bullish, and then resumed bearish on December 1st; On December 14 and 22, the trend and wave signals increased respectively.
2022: On March 25, 2022, the model signal changed for the first time, the volatility indicator issued a bearish signal, followed by the trend indicator on April 18, the trend indicator on May 18, the trend indicator on May 27, the trend indicator turned bearish on June 24, the volatility indicator turned bearish on July 5, the trend indicator turned bullish on July 14, the volatility indicator on August 16, the volatility indicator on September 15, and the volatility indicator on October 20. On November 10, the wave signal turned short, and on November 11, the trend signal turned short. The bearish signal has been maintained since then.
2021: On January 15, 2021, the trend signal increased, and on February 26, 2021, the trend signal turned short; The fluctuation signal was bullish on August 28, 20, short on November 13, bullish on December 11, short on February 22, 21, long on March 10, and short on April 8 and then resumed bullish on April 16. On May 19, the trend indicator was bullish, and after a brief turn of the wave signal on July 1, the bullish resumed on July 6. Subsequently, the volatility indicator signaled bearishness on 27 August; The trend signal is bearish on October 11 and bullish on November 24; The wave signal gave a bullish signal on December 3. After that, the bullish signal is maintained.
2020: Before May 5, 2020, the model always maintained the full multiples signal on December 26, 19. On 5/6/20, the wave signal first flipped over, and then on June 2, the trend signal flipped and the model went completely short. Since then, the trend signal has remained bearish.
Application notes of trend items and fluctuation terms: (1) Trend items belong to "long-period" analysis; The volatility law generally holds within a short time window, which belongs to the "short period" analysis. (2) Trend changes have a certain "posteriori", while fluctuation changes have "forward-looking". (3) Trend judgment is applicable to "allocation strategy", and volatility judgment is applicable to "trading strategy".
Analysts of this report
尹睿哲 SAC执业证书编号：S1450523120003
刘 冬 SAC执业证书编号：S1450523120006
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