——金融工程市场跟踪周报20260125：热点主题投资或仍占优-20260125

• The report discusses a quantitative timing model based on volume signals, which indicates a "bullish" view for all major indices except the ChiNext Index as of January 23, 2026[30][31][33] - A momentum sentiment indicator is introduced, calculated as the proportion of stocks in the CSI 300 Index with positive returns over the past N days. The indicator is smoothed using two moving averages (N1=50, N2=35). When the short-term average exceeds the long-term average, it signals a bullish market sentiment[32][34][36] - The moving average sentiment indicator is based on the eight moving averages (8, 13, 21, 34, 55, 89, 144, 233). The indicator assigns values of -1, 0, or 1 based on the position of the current price relative to these moving averages. A value greater than 5 indicates a bullish signal for the CSI 300 Index[40][44] - The cross-sectional volatility factor is analyzed, showing that the CSI 300 Index's cross-sectional volatility increased week-over-week, indicating an improved short-term alpha environment. Conversely, the cross-sectional volatility for the CSI 500 and CSI 1000 indices decreased, suggesting a deteriorated alpha environment[45][46] - The time-series volatility factor is also evaluated, revealing that the time-series volatility for the CSI 300, CSI 500, and CSI 1000 indices decreased week-over-week, indicating a worsening alpha environment. Over the past quarter, the CSI 300 Index's volatility was in the lower range of the past six months, while the CSI 500 and CSI 1000 indices were in the middle range[46][49]