国泰海通｜金工：量化择时和拥挤度预警周报（20260220）——中盘股或先开启上行趋势

Core Viewpoint - The article suggests that mid-cap stocks, particularly the CSI 500 index, may initiate an upward trend following the Chinese New Year, despite negative signals from major indices based on technical analysis [1][2]. Market Overview - In the pre-holiday period (February 9-13, 2026), the Shanghai Composite Index decreased by 0.12%, while the CSI 300 Index increased by 0.36%. The CSI 500 Index rose by 1.88%, and the ChiNext Index increased by 1.22% [3]. - The current market PE (TTM) stands at 23.2 times, which is at the 81.5% percentile since 2005 [3]. - Historical data indicates that the CSI 500 and ChiNext indices have performed well in the five trading days following the Chinese New Year since 2005 [3]. Quantitative Indicators - The liquidity shock indicator for the CSI 300 Index was 2.52 on Friday, lower than the previous week’s 6.21, indicating current market liquidity is 2.52 times the average level over the past year [2]. - The PUT-CALL ratio for the Shanghai 50 ETF options decreased to 0.91 from 0.96, suggesting reduced caution among investors regarding the short-term outlook for the Shanghai 50 ETF [2]. - The five-day average turnover rates for the Shanghai Composite Index and Wind All A were 1.10% and 1.70%, respectively, indicating a decline in trading activity [2]. Macro Factors - The onshore and offshore RMB exchange rates experienced a weekly increase of 0.41% [2]. - January's CPI in China was reported at 0.2% year-on-year, lower than the previous value of 0.8% and the expected 0.44% [2]. - The PPI year-on-year was -1.4%, better than the previous -1.9% and the expected -1.45% [2]. - New RMB loans in January amounted to 4.71 trillion yuan, exceeding the expected 4.50 trillion yuan and the previous 679.4 billion yuan [2]. - M2 money supply grew by 9% year-on-year, surpassing the expected 8.41% and the previous 8.5% [2]. Industry Insights - The article notes that the industry crowding degree is relatively high in sectors such as comprehensive, non-ferrous metals, basic chemicals, telecommunications, and electronics, with significant increases in the crowding degree for comprehensive and retail sectors [4].