| Realized volatility (RV20, ann.)已實現波動率（RV20 年化） | 28.87% | 29.06% | ▼ 0.19% | 77% |
| Breadth — core names rising廣度——上漲核心股比例 | 42.38% | 65.16% | ▼ 22.79% | 47% |
| Share above 60-session average高於 60 日均線比例 | 42.58% | 39.32% | ▲ 3.26% | 58% |
| Cross-sectional dispersion橫截面離散度 | 2.94% | 3.88% | ▼ 0.94% | 53% |
| Index drawdown from peak指數自峰值回撤 | -20.28% | -20.88% | ▲ 0.61% | 53% |
| Traded value成交金額 | HK$164.2B | HK$211.6B | ▼ HK$47.4B | 71% |
| Share of core names gapping核心股跳空比例 | 0.16% | 0.32% | ▼ 0.16% | 47% |
| Unusable bars無效 K 線比例 | 2.18% | 2.36% | ▼ 0.18% | 48% |
| 1.5% | 32% | 68% |
| 2.0% | 42% | 58% |
| 2.5% | 53% | 47% |
| 3.0% | 63% | 37% |
| 4.0% | 85% | 15% |
| 5.0% | 100% | 0% |
| 6.0% | 100% | 0% |
At RV20 of 28.87% a fully invested diversified long book realizes roughly 4.73% daily ES97.5. Read the row matching your mandate.在 RV20 為 28.87% 的情況下，滿倉分散多頭組合的日度 ES97.5 約為 4.73%。請對照與貴方授權相符的一行。
| Calm state平靜狀態 | Full risk budget; adds per plan. Sample forward: +2.8% over 21 sessions at 24% vol.全額風險預算，按計劃加倉。樣本前瞻：21 個交易日 +2.8%，波動 24%。 |
| Stress ONSET — P(stress) crosses 75%壓力啟動——概率上穿 75% | The one predictive moment: forward vol ran ≈36% against a 27% base. Cut gross toward ×0.73 to hold the risk budget constant — the portfolio layer's market_stress_probability soft trigger (≥75%) starts this automatically. Do not add into the spike.唯一具預測力的時刻：前瞻波動約 36%（基準 27%）。將總倉位降至約 ×0.73 以維持風險預算恆定。 |
| Deep stress — state persists past ~2 weeks深度壓力——狀態持續逾兩週 | Do NOT panic-sell: historically this read was closer to the bottom than the top (forward return +4.2%, >5% falls 12%). Keep the reduced gross and let the policy engine's recovery ladder re-risk on its schedule, not on relief.切勿恐慌性拋售：歷史上此讀數更接近底部（前瞻收益 +4.2%，>5% 下跌 12%）。維持已降低的倉位，按恢復階梯行事。 |
| n | ||||
|---|---|---|---|---|
| All sessions (base rate)全部交易日（基準） | 1070 | 26.7% | +0.9% | 23% |
| Calm state平靜狀態 | 284 | 24.0% | +2.8% | 23% |
| Stress ONSET (P crosses 75% upward)壓力「啟動」（概率上穿 75%） | 8 | 36.4% | +2.9% | 12% |
| Stress state (any day)壓力狀態（任意日） | 266 | 32.5% | +3.6% | 13% |
| Deep stress (10th+ session)深度壓力（第 10 日起） | 187 | 32.7% | +4.2% | 12% |
| Storm gauge ≥ 85%風暴儀表 ≥ 85% | 59 | 27.9% | +3.8% | 10% |
| HMM ≥75% | Storm ≥85% | |||
|---|---|---|---|---|
| 2023-01-27 | -12.1% | -34.7% | ||
| 2022-09-13 | -17.3% | -34.4% | ||
| 2022-04-04 | -14.1% | -22.5% | ||
| 2025-03-18 | -13.5% | -22.1% | ||
| 2026-05-12 | -11.0% | -19.9% |
HMM P(stress) was elevated before 4 of 5 crash cores it had history for; the storm gauge before almost none — it is a coincident intensity meter, not a warning device, and is labelled accordingly above.HMM 壓力概率在其有歷史的 5 個急跌核心中，於 4 個之前已然升高；風暴儀表幾乎從未提前——它是同步的強度計，並非預警工具。
Signal lab was not computed for this run (enriched cache unavailable).
| Research eligibility研究資格 | excluded 1,940 · 4% ADVcore 326 · 70% ADVdiagnostic_only 284 · 4% ADVextended 248 · 23% ADV |
| Liquidity tier流動性層級 | L6_dormant 780 · 0% ADVL5_micro 741 · 0% ADVL4_thin 435 · 0% ADVL2_liquid 330 · 7% ADVL1_institutional 272 · 91% ADVL3_tradable 240 · 1% ADV |
| Activity tier活躍度層級 | active 2,516 · 100% ADVintermittent 166 · 0% ADVdormant 116 · 0% ADV |
| Bar qualityK 線質量 | dirty 1,931 · 4% ADVclean 384 · 76% ADVreview 318 · 14% ADVminor_issues 165 · 6% ADV |
| Continuity連續性 | continuous 1,075 · 98% ADVintermittent 754 · 1% ADVsparse 631 · 0% ADVmostly_continuous 338 · 1% ADV |
| Behaviour archetype行為原型 | not_clustered 2,224 · 8% ADVliquid_low_vol 309 · 52% ADVliquid_high_beta 175 · 31% ADVsecond_tier_liquidity 59 · 1% ADVevent_driven_idiosyncratic 31 · 8% ADV |
| behavior archetype | symbol count | log adv value 60 asof | ann vol 1s full | downside vol 1s full | beta to market | idiosyncratic vol | jump frequency 1s | median range pct |
|---|---|---|---|---|---|---|---|---|
| second_tier_liquidity | 59 | 7.355 | 48.81% | 32.75% | 0.708 | 47.27% | 0.18% | 3.45% |
| liquid_high_beta | 175 | 7.979 | 66.81% | 41.75% | 1.256 | 52.99% | 0.27% | 5.00% |
| liquid_low_vol | 309 | 7.898 | 40.63% | 26.17% | 0.578 | 29.82% | 0.00% | 3.09% |
| event_driven_idiosyncratic | 31 | 8.147 | 115.83% | 70.05% | 1.209 | 115.40% | 2.12% | 7.97% |
| N00 | 95 | 41.7% | HK$81.6B | 3.06% |
| N01 | 35 | 31.5% | HK$61.8B | -8.82% |
| N04 | 29 | 8.1% | HK$16.0B | 4.31% |
| N03 | 29 | 7.4% | HK$14.5B | 6.45% |
| N02 | 31 | 7.1% | HK$14.0B | 17.29% |
| N05 | 21 | 2.9% | HK$5.8B | 0.05% |
| N06 | 3 | 0.6% | HK$1.3B | 1.36% |
| 7 | 0.6% | HK$1.1B | — |
A correlation community is a block of names that have recently moved together. Holding several names from one community is one position, not several. The ADV share column is the crowding measure: it is how much of the tradable market a single co-movement block represents, and therefore how little a market-cap-driven book is really diversified.相關性社群是近期同步移動的一組標的。持有同一社群中的多隻標的實質上是一個倉位，而非多個。成交額佔比一列即為擁擠度指標：它衡量單一共動板塊佔可交易市場的比重，也就是市值驅動的組合實際上有多不分散。