量化择时周报：牛市格局仍在延续，主题投资重回主线-20260125

Quantitative Models and Construction Methods 1. Model Name: Timing System Model Model Construction Idea: The model uses the distance between the short-term moving average (20-day) and the long-term moving average (120-day) of the WIND All A Index to determine the market trend[2][7] Model Construction Process: - Define the short-term moving average (20-day) and long-term moving average (120-day) of the WIND All A Index - Calculate the difference between the two moving averages - If the short-term moving average is above the long-term moving average and the absolute difference exceeds 3%, the market is considered to be in an upward trend - Latest data: 20-day moving average = 6668, 120-day moving average = 6245, difference = 6.78%[2][7] Model Evaluation: The model effectively captures the market's upward trend and provides a clear signal for timing decisions[2][7] 2. Model Name: Industry Trend Allocation Model Model Construction Idea: This model identifies industry opportunities based on medium-term reversal expectations and performance trends[6][7] Model Construction Process: - Use medium-term reversal expectation signals to identify industries with potential recovery, such as innovative healthcare - Apply the TWO BETA model to recommend sectors like technology, commercial aerospace, space photovoltaics, and stablecoin concepts - Use performance trend signals to highlight opportunities in semiconductors, industrial metals, and chemicals[6][7] Model Evaluation: The model provides actionable insights into sector allocation, focusing on industries with strong growth potential or recovery signals[6][7] 3. Model Name: Position Management Model Model Construction Idea: This model determines the recommended equity allocation based on valuation levels and market trends[8] Model Construction Process: - Assess the valuation levels of the WIND All A Index using PE and PB ratios - Combine valuation levels with short-term trend signals to recommend an equity allocation - Current recommendation: 80% equity allocation for absolute return products based on the WIND All A Index[8] Model Evaluation: The model provides a systematic approach to managing equity exposure, balancing valuation and trend considerations[8] --- Model Backtesting Results 1. Timing System Model: - Moving average distance: 6.78% (absolute value > 3%, indicating an upward trend)[2][7] - Profitability effect: 2.7% (positive, supporting the upward trend)[2][7] 2. Industry Trend Allocation Model: - Recommended sectors: Innovative healthcare, technology, commercial aerospace, space photovoltaics, stablecoin concepts, semiconductors, industrial metals, and chemicals[6][7] 3. Position Management Model: - Recommended equity allocation: 80%[8] --- Quantitative Factors and Construction Methods No specific quantitative factors were explicitly mentioned in the report. The analysis primarily focuses on models rather than individual factors. --- Factor Backtesting Results No specific factor backtesting results were provided in the report. The focus remains on model-level performance and recommendations.