行业轮动周报：ETF资金持续净流出医药，雅下水电站成短线情绪突破口-20250728

• Model Name: Diffusion Index Model; Construction Idea: The model is based on the principle of price momentum, capturing industry trends through diffusion indices; Construction Process: The model tracks the weekly and monthly changes in the diffusion indices of various industries, ranking them accordingly. The formula for the diffusion index is not explicitly provided; Evaluation: The model has shown varying performance over the years, with significant drawdowns during market reversals[24][25][28] - Model Name: GRU Factor Model; Construction Idea: The model utilizes GRU (Gated Recurrent Unit) deep learning networks to process minute-level volume and price data, aiming to capture trading information; Construction Process: The model ranks industries based on GRU factors, which are derived from the deep learning network's analysis of trading data. The specific formula for GRU factors is not provided; Evaluation: The model has performed well in short cycles but has shown general performance in longer cycles[31][32][35] - Diffusion Index Model, Average Weekly Return: 0.89%, Excess Return Since July: -3.47%, Excess Return YTD: -0.45%[28] - GRU Factor Model, Average Weekly Return: 4.27%, Excess Return Since July: 1.34%, Excess Return YTD: -4.25%[35] - Factor Name: Diffusion Index; Construction Idea: The factor is based on the momentum of industry prices, capturing upward trends; Construction Process: The factor is calculated by observing the weekly and monthly changes in the diffusion indices of various industries. The specific formula is not provided; Evaluation: The factor has shown varying performance, with significant drawdowns during market reversals[24][25][28] - Factor Name: GRU Factor; Construction Idea: The factor is derived from GRU deep learning networks, capturing trading information from minute-level volume and price data; Construction Process: The factor is calculated by ranking industries based on the GRU network's analysis of trading data. The specific formula is not provided; Evaluation: The factor has performed well in short cycles but has shown general performance in longer cycles[31][32][35] - Diffusion Index Factor, Top Industries: Comprehensive Finance (1.0), Steel (1.0), Non-Bank Finance (0.999), Comprehensive (0.998), Non-Ferrous Metals (0.997), Home Appliances (0.995)[25] - GRU Factor, Top Industries: Banking (3.3), Real Estate (0.58), Oil & Petrochemicals (-1.26), Textile & Apparel (-1.73), Light Manufacturing (-2.49), Electric Power & Utilities (-2.83)[32]