金融工程周报：多政策提振消费，主力资金继续流入金融板块-20250706

Quantitative Models and Construction Methods - Model Name: A-Share Industry Rotation Model Model Construction Idea: The model uses six factors—capital, valuation, sentiment, momentum, overbought/oversold, and profitability—to build a scoring system for industry evaluation[17] Model Construction Process: - Capital Factor: Based on industry net inflow rate of major funds - Valuation Factor: Uses the valuation percentile of the industry over the past year - Sentiment Factor: Derived from the proportion of rising constituent stocks - Momentum Factor: Based on MACD indicator - Overbought/Oversold Factor: Uses RSI indicator - Profitability Factor: Based on the consensus forecast EPS percentile of the industry over the past year[17] Model Evaluation: The model provides a comprehensive scoring system to assess industry rotation trends[17] - Model Name: Consensus Stock Selection Model Model Construction Idea: The model identifies high-growth industries and selects stocks with high similarity between high-frequency capital flow trends and stock price trends[20] Model Construction Process: - Filters high-growth industries at the Shenwan secondary industry level based on the past 30-day performance - Calculates momentum, valuation, and frequency of price increases for stocks within these industries - Uses high-frequency minute-level capital flow data to compute changes in inflow/outflow for each stock - Selects stocks with the highest similarity between capital flow trends and price trends within the top-performing secondary industries[20] Model Evaluation: The model effectively identifies stocks with strong capital flow and price trend alignment[20] --- Model Backtesting Results - A-Share Industry Rotation Model: - Top Scoring Industries: Comprehensive (+10), Non-ferrous Metals (+10), Electronics (+7)[18][19] - Low Scoring Industries: Banking (-15), Petrochemicals (-9), Transportation (-8)[19] - Consensus Stock Selection Model: - Selected Industries: Communication Equipment, Ground Armament II, Components[21] - Selected Stocks: - Communication Equipment: New Yisheng, Move Communication, Feiling Kesi, Hengtong Optoelectronics, Meixin Technology - Ground Armament II: Great Wall Military Industry, Optical Shares, Inner Mongolia First Machine, Sweet Qin Equipment, Ganfa Technology - Components: Jingwang Electronics, Deep South Circuit, Fangbang Shares, Zhongjing Electronics, Shenghong Technology[21] --- Quantitative Factors and Construction Methods - Factor Name: Capital Factor Construction Idea: Measures industry net inflow rate of major funds[17] Construction Process: Aggregates daily net inflow data for transactions exceeding 10,000 shares or 200,000 yuan[12] Evaluation: Reflects the strength of capital flow within industries[17] - Factor Name: Valuation Factor Construction Idea: Uses industry valuation percentile over the past year[17] Construction Process: Calculates the relative valuation position of the industry within a one-year window[17] Evaluation: Indicates whether an industry is undervalued or overvalued[17] - Factor Name: Sentiment Factor Construction Idea: Based on the proportion of rising constituent stocks[17] Construction Process: Computes the percentage of stocks within the industry that have increased in price[17] Evaluation: Captures market sentiment towards the industry[17] - Factor Name: Momentum Factor Construction Idea: Uses MACD indicator to measure price trends[17] Construction Process: Applies MACD calculations to industry-level data[17] Evaluation: Identifies industries with strong upward or downward trends[17] - Factor Name: Overbought/Oversold Factor Construction Idea: Uses RSI indicator to assess market conditions[17] Construction Process: Calculates RSI values for industries to determine overbought or oversold conditions[17] Evaluation: Helps identify potential reversals in industry trends[17] - Factor Name: Profitability Factor Construction Idea: Based on consensus forecast EPS percentile over the past year[17] Construction Process: Aggregates EPS forecasts and calculates relative percentile rankings[17] Evaluation: Reflects the earnings potential of industries[17] --- Factor Backtesting Results - Capital Factor: Comprehensive (++), Non-ferrous Metals (++), Electronics (++), Banking (---), Petrochemicals (---), Transportation (---)[19] - Valuation Factor: Comprehensive (+++), Non-ferrous Metals (++), Electronics (+), Banking (-), Petrochemicals (---), Transportation (---)[19] - Sentiment Factor: Comprehensive (-), Non-ferrous Metals (+++), Electronics (+++), Banking (--), Petrochemicals (---), Transportation (---)[19] - Momentum Factor: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+), Banking (--), Petrochemicals (---), Transportation (---)[19] - Overbought/Oversold Factor: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+), Banking (--), Petrochemicals (---), Transportation (---)[19] - Profitability Factor: Comprehensive (+++), Non-ferrous Metals (+++), Electronics (+++), Banking (---), Petrochemicals (---), Transportation (---)[19]