量化择时周报：牛市格局，聚焦哪些板块？-20260111

• The report introduces a market timing system based on the distance between the short-term moving average (20-day) and the long-term moving average (120-day) of the WIND All A Index. The system identifies market trends by observing whether the short-term moving average is above the long-term moving average and the absolute difference exceeds 3%. The latest data shows the 20-day moving average at 6394 and the 120-day moving average at 6142, with a difference of 4.10%, indicating an upward trend[6][11]. - The profitability effect is used as a core indicator to assess market conditions. The current profitability effect is 5.28%, which is significantly positive, suggesting that the market is likely to continue its upward trend[6][11]. - The industry trend allocation model highlights sectors with strong upward trends, including AI applications, commercial aerospace, computing power, industrial metals, and energy storage. Additionally, the mid-term reversal expectation model signals opportunities in media and innovative healthcare sectors[6][11]. - The TWO BETA model recommends focusing on technology sectors, particularly AI applications and commercial aerospace[6][11]. - The valuation metrics for the WIND All A Index show that the PE ratio is near the 90th percentile, indicating a relatively high valuation, while the PB ratio is at the 50th percentile, reflecting a moderate valuation level. Based on these metrics and the market trend, the allocation model suggests an 80% equity position for absolute return products[7][11]. - Backtesting results for the market timing system show that the WIND All A Index increased by 5.11% over the past week, with small-cap stocks (CSI 1000) rising by 7.03%, mid-cap stocks (CSI 500) by 7.92%, and large-cap indices (HS300 and SSE50) by 2.79% and 3.4%, respectively. Sector-wise, defense and media performed strongly, with defense rising by 14.56%, while banking and transportation lagged, with banking declining by 1.88%[2][5][6].