行业轮动周报：泛消费打开连板与涨幅高度，ETF资金平铺机器人、人工智能与芯片-20250428

• The report discusses two main quantitative models: the Diffusion Index Model and the GRU Factor Model[6][7][14][33] Diffusion Index Model 1. Model Name: Diffusion Index Model 2. Model Construction Idea: The model is based on the principle of price momentum, capturing industry trends by observing the diffusion index of various sectors[6][27] 3. Model Construction Process: - Calculate the diffusion index for each industry - Rank industries based on their diffusion index values - Select top industries for investment based on their diffusion index rankings - Formula: $ \text{Diffusion Index} = \frac{\text{Number of advancing stocks}}{\text{Total number of stocks}} $ 4. Model Evaluation: The model has shown varying performance over the years, with significant returns in some periods and notable drawdowns in others[26][30] 5. Model Test Results: - 2025 YTD excess return: -3.16%[25] - April 2025 excess return: -1.08%[30] - Weekly excess return: 0.43%[30] GRU Factor Model 1. Model Name: GRU Factor Model 2. Model Construction Idea: The model leverages GRU (Gated Recurrent Unit) deep learning networks to analyze minute-level price and volume data, aiming to capture trading information and trends[7][33] 3. Model Construction Process: - Collect minute-level price and volume data - Train a GRU network on historical data to identify patterns - Rank industries based on GRU factor scores - Select top industries for investment based on their GRU factor rankings - Formula: $ \text{GRU Factor} = \text{GRU Network Output} $ 4. Model Evaluation: The model has shown strong performance in short cycles but may struggle in long cycles or extreme market conditions[33][36] 5. Model Test Results: - 2025 YTD excess return: -3.33%[33] - April 2025 excess return: 0.92%[36] - Weekly excess return: -0.31%[36] Factor Rankings and Performance 1. Diffusion Index Rankings (as of April 25, 2025): - Top industries: Banking (0.986), Non-Banking Financials (0.948), Comprehensive Financials (0.926), Computers (0.873), Retail (0.847), Communication (0.841)[14][27] - Bottom industries: Coal (0.105), Oil & Petrochemicals (0.175), Food & Beverage (0.257), Agriculture (0.396), Steel (0.423), Utilities (0.491)[27][28] 2. GRU Factor Rankings (as of April 25, 2025): - Top industries: Banking (3.81), Transportation (2.77), Non-Banking Financials (2.37), Textiles & Apparel (2.34), Media (1.98), Light Manufacturing (1.81)[7][34] - Bottom industries: Automobiles (-5.31), Agriculture (-4.05), Pharmaceuticals (-4.03), Home Appliances (-3), Coal (-2.67), Defense (-2.64)[34] Weekly and Monthly Performance 1. Diffusion Index Weekly Performance: - Top weekly gainers: Construction (0.189), Real Estate (0.187), Building Materials (0.136), Light Manufacturing (0.089), Textiles & Apparel (0.081), Communication (0.069)[29] - Top weekly losers: Steel (-0.111), Utilities (-0.038), Non-Ferrous Metals (-0.018), Coal (0.003), Transportation (0.007), Computers (0.009)[29] 2. GRU Factor Weekly Performance: - Top weekly gainers: Banking, Textiles & Apparel, Consumer Services[34] - Top weekly losers: Coal, Automobiles, Construction[34]