Shanghai Securities·2025-06-25 10:46Quantitative Models and Construction Methods - Model Name: A-Share Industry Rotation Model Model Construction Idea: The model uses six factors—funds, valuation, sentiment, momentum, overbought/oversold, and profitability—to build a scoring system for evaluating industry performance comprehensively [4][18] Model Construction Process: - Funds: Calculated using industry main fund net inflow rate - Valuation: Based on the industry’s valuation percentile over the past year - Sentiment: Derived from the proportion of stocks with positive returns within the industry - Momentum: Measured using the MACD indicator - Overbought/Oversold: Assessed using the RSI indicator - Profitability: Based on the consensus forecast EPS percentile of the industry over the past year [18] Model Evaluation: The model provides a comprehensive scoring mechanism to identify high-performing industries and low-performing ones [4][18] - Model Name: Consensus Stock Selection Model Model Construction Idea: The model combines momentum, valuation, and price factors with high-frequency fund flow data to select stocks with the highest similarity between fund flow trends and price trends [5][21] Model Construction Process: - Step 1: Identify high-performing secondary industries over the past 30 days - Step 2: Calculate momentum, valuation, and price increase frequency for stocks within these industries - Step 3: Use high-frequency fund flow data to compute fund inflow/outflow changes for each stock - Step 4: Select stocks with the highest similarity between fund flow trends and price trends within the top-performing secondary industries [21] Model Evaluation: The model effectively identifies stocks with strong alignment between fund flow and price trends, aiding in stock selection [5][21] --- Model Backtesting Results - A-Share Industry Rotation Model: - Funds: Non-bank financial (-), Food & Beverage (++), Electronics (+) - Valuation: Non-bank financial (+++), Food & Beverage (+++), Electronics (++) - Sentiment: Non-bank financial (+++), Food & Beverage (+++), Electronics (+++) - Momentum: Non-bank financial (+++), Food & Beverage (+++), Electronics (---) - Overbought/Oversold: Non-bank financial (+++), Food & Beverage (+++), Electronics (+) - Profitability: Non-bank financial (+++), Food & Beverage (+++), Electronics (+) - Overall Score: Non-bank financial (6), Food & Beverage (5), Electronics (4) [19][20] - Consensus Stock Selection Model: - Selected Stocks: - Components: Fullsun Technology, Huizhou Crystal, Hongxin Electronics, Dongshan Precision - Oil Service Engineering: Tongyuan Petroleum, China Offshore Oil Services, Potential Energy Trust, Zhongman Petroleum - Accessories: Deep China A, D&A Shares, Zhou Dasheng, Mingpai Jewelry, Laishen Tongling [22] --- Quantitative Factors and Construction Methods - Factor Name: Funds Construction Idea: Measure industry fund inflow/outflow to assess capital movement [18] Construction Process: Use net inflow rate of main funds within the industry [18] - Factor Name: Valuation Construction Idea: Evaluate industry valuation percentile over the past year [18] Construction Process: Calculate the percentile of industry valuation within the past year [18] - Factor Name: Sentiment Construction Idea: Assess the proportion of stocks with positive returns within the industry [18] Construction Process: Calculate the percentage of stocks with positive returns in the industry [18] - Factor Name: Momentum Construction Idea: Use MACD indicator to measure industry momentum [18] Construction Process: Apply MACD formula to industry-level data [18] - Factor Name: Overbought/Oversold Construction Idea: Use RSI indicator to evaluate industry overbought/oversold conditions [18] Construction Process: Apply RSI formula to industry-level data [18] - Factor Name: Profitability Construction Idea: Assess consensus forecast EPS percentile over the past year [18] Construction Process: Calculate the percentile of consensus forecast EPS within the past year [18] --- Factor Backtesting Results - Funds: Non-bank financial (-), Food & Beverage (++), Electronics (+) - Valuation: Non-bank financial (+++), Food & Beverage (+++), Electronics (++) - Sentiment: Non-bank financial (+++), Food & Beverage (+++), Electronics (+++) - Momentum: Non-bank financial (+++), Food & Beverage (+++), Electronics (---) - Overbought/Oversold: Non-bank financial (+++), Food & Beverage (+++), Electronics (+) - Profitability: Non-bank financial (+++), Food & Beverage (+++), Electronics (+) [19][20]