市场情绪监控周报（20251103-20251107）：本周热度变化最大行业为石油石化、综合-20251110

• The report introduces a "Total Heat Index" as a quantitative factor, which aggregates the browsing, watchlist, and click counts of individual stocks, normalized as a percentage of the total market on the same day, and then multiplied by 10,000. The value range of this index is [0, 10,000][7] - The "Total Heat Index" is used as a proxy variable for "sentiment heat" at the broader levels of broad-based indices, industries, and concepts. It is calculated by summing up the total heat indices of constituent stocks within each group[7] - A "Broad-Based Index Rotation Strategy" is constructed based on the weekly heat change rate (MA2) of broad-based indices. The strategy involves buying the broad-based index with the highest heat change rate at the end of each week. If the "Other" group has the highest change rate, the strategy remains in cash. The annualized return of this strategy since 2017 is 8.74%, with a maximum drawdown of 23.5%, and a return of 38.52% in 2025[13][16] - For industry-level heat, the same methodology is applied to calculate the weekly heat change rate (MA2) for Shenwan Level 1 and Level 2 industries. The report highlights that the Shenwan Level 1 industry with the highest positive heat change rate (MA2) this week is "Oil & Petrochemical," which increased by 48.6% compared to the previous week. The industry with the largest negative heat change rate is "Nonferrous Metals," which decreased by -14.2%[20][27] - At the concept level, the report constructs two simple portfolios: a "Heat TOP Portfolio" and a "Heat BOTTOM Portfolio." The "Heat TOP Portfolio" selects the top 10 stocks with the highest total heat within the top 5 concepts with the largest heat change rates. The "Heat BOTTOM Portfolio" selects the bottom 10 stocks with the lowest total heat within the same concepts. The "BOTTOM Portfolio" has historically achieved an annualized return of 15.71%, with a maximum drawdown of 28.89%, and a return of 42% in 2025[31][33]