金融工程周报：贸易关税带动国内农业板块提振

Quantitative Models and Construction Methods - Model Name: A-Share Industry Rotation Model Model Construction Idea: The model uses six factors—capital, valuation, sentiment, momentum, overbought/oversold, and profitability—to build a scoring system for industry evaluation [12] Model Construction Process: - Capital: Uses industry net inflow rate of major funds as the primary data source - Valuation: Based on the valuation percentile of the industry over the past year - Sentiment: Proportion of stocks with price increases within the industry - Momentum: Utilizes the MACD indicator as the main data source - Overbought/Oversold: Relies on the RSI indicator - Profitability: Uses the consensus forecast EPS percentile of the industry over the past year [12] Model Evaluation: Provides a comprehensive scoring system for industry rotation analysis [12] - Model Name: Consensus Stock Selection Model Model Construction Idea: Combines momentum, valuation, and price increase frequency factors with high-frequency fund flow data to select stocks with the highest similarity between fund flow and price trends [15] Model Construction Process: - Filters high-growth industries at the Shenwan secondary industry level over the past 30 days - Calculates momentum, valuation, and price increase frequency factors using monthly stock data - Computes high-frequency fund inflow/outflow changes for each stock using minute-level data - Selects stocks with the highest similarity between fund flow and price trends within the top three secondary industries [15] Model Evaluation: Effectively identifies stocks with strong fund flow and price trend alignment [15] --- Model Backtesting Results - A-Share Industry Rotation Model: - Top Scoring Industries: - Agriculture, Forestry, Animal Husbandry, and Fishery: Total score = 14 - Transportation: Total score = 8 - Utilities: Total score = 7 [13][14] - Consensus Stock Selection Model: - Selected Industries: - Animal Health II, Precious Metals, Special Steel II - Selected Stocks: - Animal Health II: Pulike Biological Engineering, Huisheng Biological, Zhongmu Co., Keqian Biological, Haili Biological - Precious Metals: Xiaocheng Technology, Sichuan Gold, Hunan Gold, Hunan Silver, Chifeng Gold - Special Steel II: Jiuli Special Materials, Shagang Group, Xianglou New Materials, Changbao Co., Guangda Special Materials [16] --- Quantitative Factors and Construction Methods - Factor Name: Capital Factor Construction Idea: Measures industry net inflow rate of major funds [12] Factor Construction Process: Aggregates daily net inflow data for transactions exceeding 100,000 shares or 200,000 yuan, categorized by Shenwan primary industries [8][9] Factor Evaluation: Reflects fund flow trends across industries [12] - Factor Name: Valuation Factor Construction Idea: Uses industry valuation percentile over the past year [12] Factor Construction Process: Calculates the relative valuation position of the industry within a one-year window [12] Factor Evaluation: Provides insights into industry valuation levels [12] - Factor Name: Sentiment Factor Construction Idea: Tracks the proportion of stocks with price increases within the industry [12] Factor Construction Process: Aggregates the percentage of stocks with positive price movements in the industry [12] Factor Evaluation: Indicates market sentiment within the industry [12] - Factor Name: Momentum Factor Construction Idea: Utilizes MACD indicator for trend analysis [12] Factor Construction Process: Computes MACD values for industry-level data [12] Factor Evaluation: Captures industry momentum trends [12] - Factor Name: Overbought/Oversold Factor Construction Idea: Relies on RSI indicator to measure market conditions [12] Factor Construction Process: Calculates RSI values for industry-level data [12] Factor Evaluation: Identifies overbought or oversold conditions in the industry [12] - Factor Name: Profitability Factor Construction Idea: Uses consensus forecast EPS percentile over the past year [12] Factor Construction Process: Aggregates EPS forecast data and calculates its relative position within a one-year window [12] Factor Evaluation: Reflects industry profitability trends [12] --- Factor Backtesting Results - Capital Factor: - Top Industries (5-day net inflow): Beauty and Personal Care, Comprehensive, Light Manufacturing, Building Materials, Environmental Protection [2][8] - Top Industries (30-day net inflow): Comprehensive, Beauty and Personal Care, Coal, Building Materials, Textile and Apparel [2][9] - Valuation Factor: - Top Scoring Industries: Agriculture, Forestry, Animal Husbandry, and Fishery (+++), Transportation (++), Utilities (++) [14] - Sentiment Factor: - Top Scoring Industries: Agriculture, Forestry, Animal Husbandry, and Fishery (+++), Transportation (+++), Utilities (+++) [14] - Momentum Factor: - Top Scoring Industries: Agriculture, Forestry, Animal Husbandry, and Fishery (+++), Comprehensive (+++), Utilities (+++) [14] - Overbought/Oversold Factor: - Top Scoring Industries: Agriculture, Forestry, Animal Husbandry, and Fishery (++), Utilities (--) [14] - Profitability Factor: - Top Scoring Industries: Agriculture, Forestry, Animal Husbandry, and Fishery (++), Banking (+++) [14]