市场情绪监控周报（20250609-20250613）：本周热度变化最大行业为石油石化、有色金属-20250615

Quantitative Models and Construction Methods - Model Name: Broad-based Index Heat Rotation Strategy - Model Construction Idea: The model uses the weekly heat change rate (MA2) of broad-based indices to construct a rotation strategy. The idea is to buy the index with the highest heat change rate at the end of each week, or stay in cash if the "Others" group has the highest rate[7][13]. - Model Construction Process: 1. Calculate the total heat of constituent stocks for each broad-based index (CSI 300, CSI 500, CSI 1000, CSI 2000, and "Others") by summing up their individual heat indicators[8][11]. 2. Compute the weekly heat change rate for each group and smooth it using a 2-week moving average (MA2)[11][13]. 3. At the end of each week, invest in the index with the highest heat change rate (MA2). If the "Others" group has the highest rate, remain in cash[13]. - Model Evaluation: The strategy demonstrates a reasonable annualized return and manageable drawdown, indicating its potential effectiveness in capturing short-term market sentiment[16]. Model Backtesting Results - Broad-based Index Heat Rotation Strategy: - Annualized Return: 8.74% (since 2017)[16] - Maximum Drawdown: 23.5%[16] - 2025 YTD Return: 10.1%[16] Quantitative Factors and Construction Methods - Factor Name: Total Heat Indicator - Factor Construction Idea: The total heat indicator aggregates the attention metrics (e.g., browsing, watchlist additions, and clicks) of individual stocks, normalized as a percentage of the market total, to serve as a proxy for market sentiment[7]. - Factor Construction Process: 1. For each stock, calculate the sum of browsing, watchlist additions, and clicks[7]. 2. Normalize the value as a percentage of the total market activity for the same day[7]. 3. Multiply the normalized value by 10,000 to scale the indicator within the range [0, 10,000][7]. - Factor Evaluation: The factor effectively captures market sentiment and is used as a proxy for emotional intensity in broader market or sector-level analysis[7]. - Factor Name: Weekly Heat Change Rate (MA2) - Factor Construction Idea: This factor measures the weekly change in the total heat indicator, smoothed using a 2-week moving average, to identify trends in market sentiment[11][13]. - Factor Construction Process: 1. Compute the weekly change rate of the total heat indicator for each stock or group[11]. 2. Apply a 2-week moving average (MA2) to smooth the weekly change rate[11][13]. - Factor Evaluation: The smoothed heat change rate provides a stable and actionable signal for rotation strategies and sentiment analysis[13]. Factor Backtesting Results - Total Heat Indicator: - Range: [0, 10,000][7] - Weekly Heat Change Rate (MA2): - CSI 300: +7.76% (highest among broad-based indices for the week)[16] - "Others" Group: -3% (lowest among broad-based indices for the week)[16] - Concept Heat TOP/BOTTOM Portfolios: - BOTTOM Portfolio Annualized Return: 15.71%[33] - BOTTOM Portfolio Maximum Drawdown: 28.89%[33] - 2025 YTD Return for BOTTOM Portfolio: 21.1%[33]