Quantitative Models and Construction Methods 1. Model Name: Broad-based Index Rotation Strategy - **Model Construction Idea**: The strategy is based on the marginal changes in the "heat" (attention) of broad-based indices. By identifying the index with the highest weekly heat change rate, the strategy rotates into that index. If the "Other" group (stocks not included in the four main indices) has the highest heat change rate, the strategy remains in cash[7][13]. - **Model Construction Process**: 1. Calculate the weekly heat change rate for the components of four major indices (CSI 300, CSI 500, CSI 1000, CSI 2000) and the "Other" group. 2. Smooth the weekly heat change rate using a 2-week moving average (MA2). 3. At the end of each week, invest in the index with the highest MA2 heat change rate. If the "Other" group has the highest rate, remain in cash[13][16]. - **Model Evaluation**: The strategy demonstrates a clear logic of leveraging market sentiment shifts to generate returns[13]. --- Model Backtesting Results 1. Broad-based Index Rotation Strategy - **Annualized Return**: 8.74% since 2017[16] - **Maximum Drawdown**: 23.5%[16] - **2025 YTD Return**: 20.9%[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Total Heat Indicator - **Factor Construction Idea**: The total heat indicator aggregates the attention metrics (e.g., browsing, watchlist additions, and clicks) of individual stocks. It is normalized as a percentage of the total market and scaled by 10,000. This indicator serves as a proxy for market sentiment[7]. - **Factor Construction Process**: 1. Aggregate the browsing, watchlist, and click counts for each stock. 2. Normalize the aggregated value as a percentage of the total market. 3. Multiply the normalized value by 10,000 to obtain the total heat indicator, with a range of [0, 10,000][7]. - **Factor Evaluation**: The factor effectively captures market sentiment and can be used to identify mispricing due to overreaction or underreaction[7]. 2. Factor Name: Weekly Heat Change Rate (MA2) - **Factor Construction Idea**: This factor measures the weekly change in the total heat indicator, smoothed using a 2-week moving average. It reflects short-term sentiment dynamics[13][20]. - **Factor Construction Process**: 1. Calculate the weekly change rate of the total heat indicator for each stock. 2. Smooth the weekly change rate using a 2-week moving average (MA2)[13][20]. - **Factor Evaluation**: The factor is useful for identifying short-term sentiment-driven opportunities in broad-based indices, industries, and concepts[13][20]. 3. Factor Name: Concept Heat Ranking - **Factor Construction Idea**: This factor ranks concepts based on their weekly heat change rates. It identifies the top and bottom concepts for constructing portfolios[28][31]. - **Factor Construction Process**: 1. Rank concepts by their weekly heat change rates. 2. Select the top 5 concepts with the highest heat change rates. 3. Construct two portfolios: - **TOP Portfolio**: Select the top 10 stocks with the highest total heat within each of the top 5 concepts. - **BOTTOM Portfolio**: Select the bottom 10 stocks with the lowest total heat within each of the top 5 concepts[31]. - **Factor Evaluation**: The factor captures the behavioral tendencies of investors, leveraging the rapid price adjustments in high-attention stocks[28][31]. --- Factor Backtesting Results 1. Total Heat Indicator - **No specific backtesting results provided** 2. Weekly Heat Change Rate (MA2) - **No specific backtesting results provided** 3. Concept Heat Ranking - **BOTTOM Portfolio Annualized Return**: 15.71%[33] - **BOTTOM Portfolio Maximum Drawdown**: 28.89%[33] - **2025 YTD Return for BOTTOM Portfolio**: 29.2%[33]

Group 1 - The horse racing concept sector declined by 2.40%, ranking among the top declines in concept sectors, with *ST Zhengping hitting the limit down, and companies like Luoniushan, Hainan Rubber, and Zhujiang Piano also experiencing significant declines [1] - Among the horse racing concept stocks, only two saw price increases, with Zhongmu Co. rising by 0.25% and Xinhua Dou by 0.15% [1] - The horse racing concept sector experienced a net outflow of 138 million yuan from main funds today, with Luoniushan leading the outflow at 94.32 million yuan [2] Group 2 - The top gainers in concept sectors included Sora concept (2.98%), lithography machines (2.79%), and multimodal AI (2.30%), while the Hainan Free Trade Zone and horse racing concept were among the largest decliners [2] - The main fund outflow rankings for the horse racing concept included Luoniushan (-5.54%), *ST Zhengping (-4.88%), and Hainan Rubber (-5.45%) [2] - The trading turnover rate for Luoniushan was 10.64%, while *ST Zhengping had a turnover rate of 4.64% [2]

Group 1 - The military equipment restructuring concept has declined by 4.64%, ranking among the top declines in the concept sector, with companies like Changcheng Military Industry, Huachuang Technology, and Zhongguang Optical leading the declines [1] - The military equipment restructuring concept experienced a net outflow of 1.041 billion yuan in main funds today, with six stocks seeing net outflows, and five stocks having outflows exceeding 30 million yuan [2] - The stock with the highest net outflow is Changcheng Military Industry, which saw a net outflow of 791 million yuan, followed by Chang'an Automobile, Huachuang Technology, and Hunan Tianyan with net outflows of 111 million yuan, 56.65 million yuan, and 49.12 million yuan respectively [2] Group 2 - The top decliners in the military equipment restructuring concept include Changcheng Military Industry with a decline of 7.86%, Huachuang Technology with a decline of 6.58%, and Zhongguang Optical with a decline of 6.08% [2] - The trading volume for Changcheng Military Industry was 15.52%, while the trading volume for Huachuang Technology was 3.27% [2] - The only stock in the military equipment restructuring concept that saw a positive net fund flow was Jianshe Industrial, with a net inflow of 33.09 million yuan [2]

Group 1 - The high-pressure oxygen chamber concept increased by 1.55%, ranking second among concept sectors, with three stocks rising, including a 20% limit up for Tiebian Heavy Industry [1] - The leading gainers in the high-pressure oxygen chamber sector were International Medicine and Yinkang Life, which rose by 0.93% and 0.20% respectively [1] - The sector saw a net inflow of 0.50 billion yuan from main funds, with Tiebian Heavy Industry receiving the highest net inflow of 1.03 billion yuan [2][3] Group 2 - The main fund inflow ratios for Tiebian Heavy Industry, International Medicine, and Jinling Pharmaceutical were 29.36%, 10.10%, and 5.54% respectively [3] - The trading performance of stocks in the high-pressure oxygen chamber sector showed varied results, with Tiebian Heavy Industry leading in both price increase and fund inflow [3][4] - Stocks such as Weiao and Innovation Medical experienced significant declines, with net outflows of -3214.35 million yuan and -4427.60 million yuan respectively [4]

Group 1 - Kuaishou concept stocks fell by 1.31%, ranking among the top declines in the concept sector, with leading decliners including Liou Co., Shengtian Network, and Shiji Hengtong [1] - Among the Kuaishou concept stocks, six stocks saw price increases, with Yuanlong Yatu, Lishang Guochao, and Yiwan Yichuang rising by 0.63%, 0.56%, and 0.40% respectively [1] - The Kuaishou concept sector experienced a net outflow of 1.984 billion yuan in main funds, with 43 stocks seeing net outflows, and five stocks exceeding 100 million yuan in outflows [2] Group 2 - The top net outflow stock was Liou Co., with a net outflow of 422 million yuan, followed by Meiri Interactive, Zhongwen Online, and Tianyu Digital Science with net outflows of 148 million yuan, 125 million yuan, and 116 million yuan respectively [2] - The stocks with the highest net inflows in the Kuaishou concept sector included Lishang Guochao, Yuanlong Yatu, and Huamei Holdings, with net inflows of 11.88 million yuan, 8.51 million yuan, and 2.76 million yuan respectively [2][4]

| 概念 | 今日涨跌幅（%） | 概念 | 今日涨跌幅（%） | | --- | --- | --- | --- | | 雅下水电概念 | 11.77 | MLOps概念 | -1.80 | | 民爆概念 | 6.04 | 智谱AI | -1.60 | | 水泥概念 | 4.58 | 华为盘古 | -1.56 | | 抽水蓄能 | 3.89 | 快手概念 | -1.31 | | 煤炭概念 | 3.83 | AI PC | -1.27 | | 特钢概念 | 3.26 | 数字水印 | -1.25 | | 水利 | 2.94 | 华为昇腾 | -1.20 | | 房屋检测 | 2.90 | 语音技术 | -1.19 | | 猪肉 | 2.86 | ERP概念 | -1.17 | | 高压氧舱 | 2.63 | 财税数字化 | -1.17 | 资金面上看，今日水泥概念板块获主力资金净流出11.61亿元，其中，16股获主力资金净流入，6股主力 资金净流入超3000万元，净流入资金居首的是天山股份，今日主力资金净流入1.16亿元，净流入资金居 前的还有冀东装备、中国能建、华新水泥等，主力资金分别净流入1.11亿元、8 ...

Core Viewpoint - The A-share market has reached new highs in 2023, with all three major indices showing positive growth, indicating a strong market sentiment and potential for continued upward movement [1][2]. Market Performance - As of July 22, 2023, the Shanghai Composite Index rose by 0.62% to 3581.86, the Shenzhen Component Index increased by 0.84% to 11099.83, and the ChiNext Index gained 0.61% to 2310.86 [2]. - The total trading volume in the Shanghai and Shenzhen markets was 1.89 trillion yuan, an increase of 193.1 billion yuan compared to the previous trading day, with over 2500 stocks rising and more than a hundred stocks hitting the daily limit [2]. Sector Performance - The infrastructure sector showed strong performance, particularly in cement stocks, which experienced a surge in limit-up stocks. Other sectors such as coal, organic silicon, pork, liquor, precious metals, and Hainan Free Trade Zone also saw significant gains [4]. - Specific stocks in the hydropower sector, including Poly Union, China Power Construction, and Jiangnan Chemical, saw nearly 20 stocks hit the daily limit [5]. - The coal sector experienced a notable afternoon rally, with companies like Lu'an Environmental Energy, Jinkong Coal Industry, and Shanmei International seeing eight stocks hit the daily limit [6]. Capital Flow - Main capital inflows were observed in the coal, machinery equipment, and precious metals sectors, while outflows were noted in pharmaceuticals, public utilities, and education sectors [7]. - Individual stocks such as Great Wall Military Industry, Kweichow Moutai, and Tebian Electric Apparatus received net inflows of 929 million yuan, 782 million yuan, and 578 million yuan, respectively [8]. - Conversely, stocks like Northern Rare Earth, Wolong Electric Drive, and Construction Industry faced net outflows of 883 million yuan, 701 million yuan, and 676 million yuan, respectively [9]. Institutional Insights - Guorong Securities suggests that the market's upward trend is likely to continue [10]. - Dexun Securities notes that the indices are steadily rising, showcasing a healthy structure of price increase and volume growth, with strong bullish momentum and improved market sentiment [11]. - Zhongtai Securities indicates that the current market sentiment is high, fueled by recent large-scale infrastructure announcements, and suggests maintaining a relatively optimistic outlook while focusing on sectors like robotics and low-altitude economy [11].

Core Viewpoint - The A-share cement sector has shown strong performance in the late trading session, with multiple stocks reaching the daily limit up [1] Group 1: Stock Performance - Tianshan Co., Guotong Co., Western Construction, Tibet Tianlu, Sichuan Jinding, Huaxin Cement, Conch Cement, and Shangfeng Cement are among the companies that hit the daily limit up [1]

Market Overview - The A-share market continued its upward trend, with the Shanghai Composite Index reaching a new high for the year, closing up 0.72% at 3559.79 points, while the Shenzhen Component Index rose 0.86% and the ChiNext Index increased by 0.87% [2][7] - The total trading volume in the Shanghai and Shenzhen markets was 1.70 trillion yuan, with sectors such as building materials, construction decoration, and steel leading the gains, while banking, computers, and home appliances lagged [2][7] - In the Hong Kong market, the Hang Seng Index closed up 0.68% at 24994.14 points, marking the highest level since February 2022 [2][7] Important News - The President of the European Council, Costa, and the President of the European Commission, von der Leyen, are scheduled to visit China on July 24, 2025, where they will meet with President Xi Jinping and Premier Li Qiang for the 25th China-EU Leaders' Meeting [3][7] - The "Housing Rental Regulations" have been announced and will take effect on September 15, 2025, aimed at standardizing housing rental activities and promoting high-quality development in the rental market [8]

Market Overview - The market opened high and closed strong, with both the Shanghai Composite Index and the ChiNext Index reaching new highs for the year, closing at 3559.79 and 2296.88 respectively, with increases of 0.72% and 0.87% [2][4] - The total trading volume in the Shanghai and Shenzhen markets reached 1.7 trillion, an increase of 128.9 billion compared to the previous trading day [6] Sector Performance - The top-performing sectors included construction materials (6.06%), construction decoration (3.79%), and steel (3.44%), while the underperforming sectors were banking (-0.77%) and computer technology (-0.31%) [3][4] - Concept indices showed strong performance in sectors such as civil explosives (8.51%) and cement (6.85%), while sectors like cross-border payment (CIPS) and digital currency saw declines of -0.90% and -0.67% respectively [3][4] Future Outlook - The report indicates a positive outlook for the market, supported by strong performance in major infrastructure stocks and a favorable macroeconomic environment, with expectations for continued growth in domestic demand and technology sectors [4][6] - Key upcoming events include the Politburo meeting at the end of the month, which will provide further policy direction for the second half of the year, and the Federal Reserve's interest rate meeting [6]