国泰海通｜金工：量化择时和拥挤度预警周报（20250706）：市场上行趋势将会延续

Core Viewpoint - The market uptrend is expected to continue, supported by technical indicators and optimistic market sentiment [1][2]. Market Indicators - The liquidity shock indicator for the CSI 300 index was 1.19, lower than the previous week (1.36), indicating current market liquidity is 1.19 times above the average level of the past year [2]. - The PUT-CALL ratio for the SSE 50 ETF options decreased to 0.79 from 0.95, reflecting increased investor optimism regarding the short-term performance of the SSE 50 ETF [2]. - The five-day average turnover rates for the SSE Composite Index and Wind All A were 0.98% and 1.62%, respectively, maintaining trading activity at 66.75% and 75.52% percentiles since 2005 [2]. Macro Factors - The onshore and offshore RMB exchange rates experienced slight fluctuations, with weekly increases of 0.05% and 0.12%, respectively [2]. - China's official manufacturing PMI for June was 49.7, up from the previous value of 49.5 and above the expected 49.3; the Caixin manufacturing PMI for June was 50.4, higher than the previous 48.3 [2]. Technical Analysis - The Wind All A index broke above the SAR indicator on June 24, signaling a buy [2]. - The current market score based on the moving average strength index is 228, placing it in the 88.8% percentile since 2021 [2]. - The sentiment model score is 3 out of 5, with both trend and weighted models indicating positive signals [2]. Market Performance - The SSE 50 index rose by 1.21%, the CSI 300 index increased by 1.54%, the CSI 500 index went up by 0.81%, and the ChiNext index gained 1.5% during the last week [3]. - The overall market PE (TTM) stands at 20.0 times, positioned at the 60.1% percentile since 2005 [3]. Factor Crowding Observations - The crowding degree for high earnings growth factors has significantly increased [3]. - The crowding degrees for small-cap factors, low valuation factors, high earnings factors, and high earnings growth factors are 0.66, -0.10, -0.21, and 0.15, respectively [3]. - The industry crowding degrees are relatively high in banking, comprehensive, non-ferrous metals, retail, and non-bank financial sectors, with construction materials and steel showing notable increases [3].