深度学习因子1月超额0.98%，本周热度变化最大行业为有石油石化、有色金属：市场情绪监控周报（20260126-20260130）-20260202

• The DecompGRU model was used to construct a weekly long-only stock selection portfolio, holding the top 200 stocks with the highest integrated scores equally weighted The portfolio is rebalanced weekly based on the updated factor values from the previous Friday's closing prices Stocks with price limits or suspension are excluded, and transaction costs are not considered The benchmark is the CSI All Share Equal Weight Index[8][10] - The DecompGRU model's individual stock scores were aggregated to construct an ETF rotation portfolio The ETF pool is limited to industry and thematic ETFs, retaining only the ETF with the highest average daily trading volume over the past five days if multiple ETFs track the same index The portfolio is rebalanced weekly, holding 2-6 ETFs per period, with a benchmark of the Wind Thematic ETF Index[11][13] - A sentiment factor was constructed using user behavior data from Tonghuashun, aggregating stock-level heat indicators (browsing, watchlist, and click counts) normalized as a percentage of the total market and scaled by 10,000 This aggregated heat indicator serves as a proxy for "sentiment heat" at the broad-based index, industry, and concept levels[15][19][28] - A simple rotation strategy was built based on the weekly heat change rate (MA2) of broad-based indices, buying the index with the highest heat change rate on the last trading day of each week If the "Others" group has the highest change rate, the strategy remains in cash The strategy achieved an annualized return of 8.74% since 2017, with a maximum drawdown of 23.5%[21][24] - A concept-level sentiment strategy was constructed by selecting the top 5 concepts with the highest weekly heat change rates, excluding the bottom 20% of stocks by market capitalization within each concept From each concept, the top 10 stocks by total heat were equally weighted to form the "TOP" portfolio, while the bottom 10 stocks formed the "BOTTOM" portfolio The BOTTOM portfolio achieved an annualized return of 15.71% with a maximum drawdown of 28.89%[39][41][42] - The DecompGRU TOP200 portfolio achieved a cumulative absolute return of 74.91% and an excess return of 38.96% relative to the CSI All Share Equal Weight Index since its inception on March 31, 2025 The portfolio's maximum drawdown was 10.08%, with a weekly win rate of 68.18% and a monthly win rate of 100% In January 2026, the portfolio's absolute return was 8.99%, with an excess return of 0.98%[10] - The ETF rotation portfolio achieved a cumulative absolute return of 40.08% and an excess return of 5.93% relative to the Wind Thematic ETF Index since its inception on March 18, 2025 The portfolio's maximum drawdown was 7.82%, with a weekly win rate of 64.44% and a monthly win rate of 70% In January 2026, the portfolio's absolute return was 10.98%, with an excess return of 3.37%[13][14] - The broad-based index heat momentum strategy achieved a cumulative return of 6.6% in 2026[24] - The concept-level sentiment BOTTOM portfolio achieved a cumulative return of 3.7% in 2026[42]