市场情绪监控周报（20250721-20250725）：本周热度变化最大行业为建筑装饰、建筑材料-20250728

Quantitative Models and Construction Methods 1. Model Name: Broad-based Index Rotation Strategy - Model Construction Idea: The strategy is based on the marginal changes in the "heat" (attention) of broad-based indices. By identifying the index with the highest weekly heat change rate, the strategy rotates into that index. If the "Other" group (stocks not included in the four main indices) has the highest heat change rate, the strategy remains in cash[7][13]. - Model Construction Process: 1. Calculate the weekly heat change rate for the components of four major indices (CSI 300, CSI 500, CSI 1000, CSI 2000) and the "Other" group. 2. Smooth the weekly heat change rate using a 2-week moving average (MA2). 3. At the end of each week, invest in the index with the highest MA2 heat change rate. If the "Other" group has the highest rate, remain in cash[13][16]. - Model Evaluation: The strategy demonstrates a clear logic of leveraging market sentiment shifts to generate returns[13]. --- Model Backtesting Results 1. Broad-based Index Rotation Strategy - Annualized Return: 8.74% since 2017[16] - Maximum Drawdown: 23.5%[16] - 2025 YTD Return: 20.9%[16] --- Quantitative Factors and Construction Methods 1. 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. It is normalized as a percentage of the total market and scaled by 10,000. This indicator serves as a proxy for market sentiment[7]. - Factor Construction Process: 1. Aggregate the browsing, watchlist, and click counts for each stock. 2. Normalize the aggregated value as a percentage of the total market. 3. Multiply the normalized value by 10,000 to obtain the total heat indicator, with a range of [0, 10,000][7]. - Factor Evaluation: The factor effectively captures market sentiment and can be used to identify mispricing due to overreaction or underreaction[7]. 2. 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. It reflects short-term sentiment dynamics[13][20]. - Factor Construction Process: 1. Calculate the weekly change rate of the total heat indicator for each stock. 2. Smooth the weekly change rate using a 2-week moving average (MA2)[13][20]. - Factor Evaluation: The factor is useful for identifying short-term sentiment-driven opportunities in broad-based indices, industries, and concepts[13][20]. 3. Factor Name: Concept Heat Ranking - Factor Construction Idea: This factor ranks concepts based on their weekly heat change rates. It identifies the top and bottom concepts for constructing portfolios[28][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 of the top 5 concepts. - BOTTOM Portfolio: Select the bottom 10 stocks with the lowest total heat within each of the top 5 concepts[31]. - Factor Evaluation: The factor captures the behavioral tendencies of investors, leveraging the rapid price adjustments in high-attention stocks[28][31]. --- Factor Backtesting Results 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] - 2025 YTD Return for BOTTOM Portfolio: 29.2%[33]