市场情绪监控周报（20250616-20250620）：本周热度变化最大行业为石油石化、有色金属-20250623

Quantitative Models and Construction Methods 1. Model Name: Broad-based Index Heat Rotation Strategy - Model Construction Idea: The strategy is based on the weekly heat change rate (MA2) of broad-based indices. By identifying the index with the highest heat change rate, the strategy aims to capture short-term market sentiment shifts[7][13][16] - Model Construction Process: 1. Group all A-share stocks into five categories: CSI 300, CSI 500, CSI 1000, CSI 2000, and "Others" 2. Calculate the total heat indicator for each group by summing the heat indicators of constituent stocks 3. Compute the weekly heat change rate for each group and apply a 2-week moving average (MA2) for smoothing 4. 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[8][11][13] - Model Evaluation: The strategy demonstrates the ability to capture short-term sentiment-driven opportunities in the market[13] --- Backtesting Results of Models 1. Broad-based Index Heat Rotation Strategy - Annualized Return: 8.74% since 2017[16] - Maximum Drawdown: 23.5%[16] - Cumulative Return (2025): 9.6%[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Total Heat Indicator - Factor Construction Idea: The total heat indicator is used as a proxy for market sentiment, aggregating the attention metrics of individual stocks[7] - Factor Construction Process: 1. Define the total heat indicator for individual stocks as the sum of browsing, watchlist additions, and click counts 2. Normalize the indicator by dividing it by the total market value on the same day 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 at the stock level and can be aggregated to broader categories like indices, industries, or concepts[7] 2. Factor Name: Weekly Heat Change Rate (MA2) - Factor Construction Idea: This factor measures the short-term change in market sentiment by tracking the weekly variation in the total heat indicator[13] - Factor Construction Process: 1. Calculate the weekly change rate of the total heat indicator for each stock or group 2. Apply a 2-week moving average (MA2) to smooth out short-term fluctuations[13][20] - Factor Evaluation: The MA2 smoothing enhances the stability of the factor, making it suitable for identifying trends in market sentiment[13] 3. Factor Name: Concept Heat Ranking - Factor Construction Idea: This factor identifies the hottest and coldest concepts based on their weekly heat change rates, enabling the construction of sentiment-driven portfolios[31] - Factor Construction Process: 1. Rank concepts by their weekly heat change rates 2. Select the top 5 concepts with the highest heat change rates 3. Construct two portfolios: - TOP Portfolio: Select the top 10 stocks with the highest total heat within each concept - BOTTOM Portfolio: Select the bottom 10 stocks with the lowest total heat within each concept[31] - Factor Evaluation: The factor highlights the potential for excess returns by exploiting sentiment-driven mispricing in concept stocks[31] --- Backtesting Results of Factors 1. Total Heat Indicator - No specific backtesting results provided 2. Weekly Heat Change Rate (MA2) - No specific backtesting results provided 3. Concept Heat Ranking - BOTTOM Portfolio Annualized Return: 15.71%[33] - BOTTOM Portfolio Maximum Drawdown: 28.89%[33] - BOTTOM Portfolio Cumulative Return (2025): 18%[33]