Shanghai Securities·2025-08-12 10:13Quantitative Models and Construction Methods 1. 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[16] - Model Construction Process: - Funds: Uses the net inflow rate of main funds in the industry as the primary data - Valuation: Based on the valuation percentile of the industry over the past year - Sentiment: Proportion of rising constituent stocks as the main data source - Momentum: Uses the MACD indicator as the primary data source - Overbought/Oversold: Relies on the RSI indicator - Profitability: Based on the consensus forecast EPS percentile of the industry over the past year[16] - Model Evaluation: The model provides a comprehensive scoring mechanism to identify high-performing and low-performing industries, aiding in sector rotation decisions[16] 2. Model Name: Consensus Stock Selection Model - Model Construction Idea: Combines momentum, valuation, and price factors with high-frequency fund flow data to identify stocks with high similarity between fund flow trends and price trends[21] - Model Construction Process: - Selects high-performing secondary industries over the past 30 days - Calculates momentum, valuation, and frequency of price increases for stocks within these industries - Uses high-frequency minute-level fund flow data to compute fund inflow/outflow changes for each stock - Selects stocks with the highest similarity between fund flow trends and price trends within the top three secondary industries[21] --- Model Backtesting Results 1. A-Share Industry Rotation Model - Top-Scoring Industries: - Agriculture, Forestry, Animal Husbandry, and Fishery: Score 10 - Non-Ferrous Metals: Score 9 - Home Appliances: Score 6 - Low-Scoring Industries: - Media: Score -9 - Social Services: Score -8 - Computers: Score -8[18][19] 2. Consensus Stock Selection Model - Selected Industries: - Steel (e.g., Baosteel, Bengang Steel Plates) - Components (e.g., Huilun Crystal, GaoHua Technology) - Minor Metals (e.g., Jinduicheng Molybdenum, Xiyang Shares)[22] --- Quantitative Factors and Construction Methods 1. Factor Name: Funds - Construction Idea: Measures the net inflow of main funds in the industry - Construction Process: Aggregates daily transactions of ≥10,000 shares or ≥200,000 RMB to calculate net fund inflow for each industry[11] 2. Factor Name: Valuation - Construction Idea: Evaluates the relative valuation percentile of the industry over the past year - Construction Process: Uses historical valuation data to determine the percentile ranking of the current valuation[16] 3. Factor Name: Sentiment - Construction Idea: Reflects market sentiment through the proportion of rising stocks in the industry - Construction Process: Calculates the percentage of stocks with positive price changes within the industry[16] 4. Factor Name: Momentum - Construction Idea: Captures the trend strength of the industry - Construction Process: Utilizes the MACD indicator to measure momentum[16] 5. Factor Name: Overbought/Oversold - Construction Idea: Identifies overbought or oversold conditions in the industry - Construction Process: Applies the RSI indicator to assess these conditions[16] 6. Factor Name: Profitability - Construction Idea: Measures the earnings potential of the industry - Construction Process: Uses the consensus forecast EPS percentile over the past year as the primary metric[16] --- Factor Backtesting Results 1. Funds Factor - Top Industries (5-day net inflow): - Banking: 39.08 billion RMB - Textiles and Apparel: 0.61 billion RMB - Non-Ferrous Metals: -0.97 billion RMB[12] - Top Industries (30-day net inflow): - Comprehensive: -9.49 billion RMB - Banking: -13.75 billion RMB - Beauty and Personal Care: -26.15 billion RMB[13][14] 2. Valuation Factor - Top-Scoring Industries: - Non-Ferrous Metals: +++ - Comprehensive: +++ - Beauty and Personal Care: +++[18][19] 3. Sentiment Factor - Top-Scoring Industries: - Non-Ferrous Metals: +++ - Agriculture, Forestry, Animal Husbandry, and Fishery: ++ - Textiles and Apparel: ++[18][19] 4. Momentum Factor - Top-Scoring Industries: - Non-Ferrous Metals: +++ - Transportation: +++ - Comprehensive: +++[18][19] 5. Overbought/Oversold Factor - Top-Scoring Industries: - Agriculture, Forestry, Animal Husbandry, and Fishery: Neutral - Non-Ferrous Metals: Neutral - Home Appliances: Neutral[18][19] 6. Profitability Factor - Top-Scoring Industries: - Non-Ferrous Metals: +++ - Comprehensive: +++ - Home Appliances: +[18][19]