市场情绪监控周报（20250603-20250606）：本周热度变化最大行业为通信、环保-20250608

Quantitative Models and Construction Methods 1. Model Name: Broad-based Index Rotation Strategy - Model Construction Idea: The strategy is based on the weekly change rate of the total sentiment heat (MA2) for broad-based indices. The model selects the index with the highest heat change rate for investment, while staying in cash if the "Other" group has the highest rate [7][12][15] - Model Construction Process: 1. Calculate the weekly heat change rate for each broad-based index (CSI 300, CSI 500, CSI 1000, CSI 2000, and "Other") 2. Smooth the weekly change rate using a 2-period moving average (MA2) 3. At the end of each week, invest in the index with the highest MA2 heat change rate. If the "Other" group has the highest rate, remain in cash [8][9][12] - Model Evaluation: The model demonstrates a systematic approach to capturing short-term sentiment-driven opportunities in broad-based indices [12][15] --- Model Backtesting Results 1. Broad-based Index Rotation Strategy - Annualized Return (2017-Present): 8.74% - Maximum Drawdown: 23.5% - 2025 YTD Return: 10.6% [15] --- Quantitative Factors and Construction Methods 1. Factor Name: Total Sentiment Heat - Factor Construction Idea: The factor aggregates the sentiment heat of individual stocks within a broader category (broad-based indices, industries, or concepts) to serve as a proxy for market sentiment [7] - Factor Construction Process: 1. Define the total sentiment heat for individual stocks as the sum of their browsing, watchlist, and click counts 2. Normalize the sentiment heat by dividing it by the total market heat on the same day 3. Multiply the normalized value by 10,000 to scale the indicator within the range [0, 10,000] 4. Aggregate the total sentiment heat of all constituent stocks within a specific category (e.g., broad-based indices, industries, or concepts) [7] - Factor Evaluation: The factor effectively captures market sentiment dynamics, particularly at the individual stock level, where mispricing due to limited attention is more pronounced [7] 2. Factor Name: Weekly Heat Change Rate (MA2) - Factor Construction Idea: This factor measures the weekly change rate of sentiment heat for a specific category, smoothed using a 2-period moving average (MA2) [7][19][27] - Factor Construction Process: 1. Calculate the weekly change rate of total sentiment heat for each category (e.g., broad-based indices, industries, or concepts) 2. Apply a 2-period moving average (MA2) to smooth the weekly change rate [19][27] - Factor Evaluation: The MA2 smoothing process enhances the stability of the factor, making it suitable for identifying short-term sentiment trends [19][27] --- Factor Backtesting Results 1. Total Sentiment Heat - Indicator Range: [0, 10,000] (normalized and scaled) [7] 2. Weekly Heat Change Rate (MA2) - Broad-based Indices: - CSI 500: +2.11% (highest weekly increase) - CSI 1000: -1.54% (lowest weekly decrease) [15] - Industries (Shenwan Level 1): - Top 5 Positive Changes: Communication (+29.1%), Environmental Protection, Computer, Building Materials, Social Services - Top 5 Negative Changes: Automotive, Coal, Transportation, Utilities, Comprehensive (-35.2%) [26] - Concepts: - Top 5 Positive Changes: Football Concept (+152.7%), Military Restructuring (+128.7%), Dental Medical (+93.4%), Beer Concept (+90.7%), Digital Currency (+84.5%) [27][30] 3. Heat-based Concept Portfolios - BOTTOM Portfolio: - Annualized Return: 15.71% - Maximum Drawdown: 28.89% - 2025 YTD Return: 22.3% [32]