截至收盘，沪指报3635.13点，跌幅0.12%，成交7136亿元；深证成指报11128.67点，跌幅0.26%，成交 9967亿元；创业板指报2333.96点，跌幅0.38%，成交5041亿元。 新华财经北京8月8日电（胡晨曦）A股三大指数8月8日全天震荡调整，至收盘时均小幅下跌。盘面上， 新疆本地股逆势大涨，新疆交建、北新路桥等十余股涨停；雅江电站概念集体反弹，山河智能、国电南 自等涨停；高铁概念股震荡走强，金鹰重工涨停；卫星互联网概念盘中拉升，德恩精工、上海沪工涨 停。下跌方面，AI应用方向调整，金现代、鼎捷数智跌超10%。 华泰证券：市场对于短期煤价上涨的预期并无显著差异，而分歧点在于之后煤价在淡季的走势，其结果 也更容易影响明年长协谈判的价格。即使没有本轮"抓超产"带来的供给冲击，由于煤耗增加，2025年第 三季度环比2025年第二季度供需结余也会收紧1.1亿吨。参考2023年第四季度到2024年第一季度情况， 此次2025年第三季度环比2025年第二季度的边际收紧在1.2~1.6亿吨，对煤价持续反弹形成支撑。从龙 头公司盈利敏感性测算上来看，2025年第二季度可能形成煤炭龙头的业绩底。 消息面上 ...

Market Overview - On August 8, the Shanghai Composite Index reached a new high, stabilizing above 3600 points, but closed slightly down at 3635.13 points, a decrease of 0.12% [1][2] - The total trading volume in the Shanghai and Shenzhen markets was 1.74 trillion yuan, a decrease of 116.2 billion yuan compared to the previous trading day [1][2] - The market showed mixed performance with nearly 2800 stocks declining, while over 2400 stocks rose, including more than 70 stocks hitting the daily limit [1][2] Sector Performance - The industry sectors exhibited varied performance, with cement and building materials, transportation equipment, wind power equipment, engineering machinery, and gas sectors leading in gains [3] - Conversely, software development, semiconductors, internet services, education, and electric machinery sectors experienced the largest declines [3] Notable Stocks - The Yaxi Hydropower concept stocks were notably active, with companies like Design Institute, Deep Water Planning Institute, Tibet Tianlu, Dongfang Electric, and China Railway Construction rising significantly [4][5] - Specific stocks such as Deep Water Planning Institute rose by 20% to 34.98 yuan, while other notable gainers included Wuxin Shengzhuang (10.28%), Bayi Steel (10.13%), and Tianshan Shares (10.06%) [5][8] Xinjiang Market Activity - The establishment of the New Tibet Railway Company with a registered capital of 95 billion yuan has led to a surge in local Xinjiang stocks, with companies like Xiyu Tourism and Bayi Steel hitting the daily limit [6][7] - Multiple stocks in the Xinjiang region, including Tianshan Shares and Beixin Road Bridge, also saw significant gains, with many stocks closing at their upper limit [7][8] Gold Market Update - International gold prices surged past 3500 USD, prompting a rise in gold-related stocks [10][11] - As of 15:10, COMEX gold reached 3497.3 USD, reflecting a year-to-date increase of 32.51% [12] - The Shanghai Gold Exchange issued a notice urging members to enhance risk awareness and maintain market stability amid recent fluctuations [12][13] Leverage and Market Sentiment - Recent data indicates that leveraged funds have increased their positions in the ChiNext index for four consecutive days, with the margin balance surpassing 2 trillion yuan, suggesting a potential "slow bull" market trend [14]

Market Overview - The A-share market showed a positive trend today, with major indices mostly rising. The Shanghai Composite Index increased by 0.72% to close at 3559.72 points, while the Shenzhen Component rose by 0.86% to 11007.49 points. The ChiNext Index saw a slight increase of 0.87%, closing at 2296.88 points. Overall, 4002 stocks rose, 1291 fell, and 121 remained unchanged, with a total trading volume of 17000 billion yuan, an increase of 1289.37 billion yuan compared to the previous trading day [1][2]. Industry Performance - Among the Shenwan first-level industries, all sectors except for banking, comprehensive, computer, and home appliances experienced gains today. The leading sectors included construction materials, construction decoration, steel, non-ferrous metals, basic chemicals, and coal [1]. - The top-performing concept sectors included cement manufacturing, water conservancy and hydropower construction, major infrastructure projects in the west, excavators, robotics, rare earths, and various infrastructure-related sectors [2].

Quantitative Models and Construction Methods 1. Model Name: Broad-based Index Heat Rotation Strategy - **Model Construction Idea**: The strategy is based on the weekly heat change rate (MA2) of broad-based indices. By identifying the index with the highest heat change rate, the strategy aims to capture short-term market sentiment shifts[7][13][16] - **Model Construction Process**: 1. Group all A-share stocks into five categories: CSI 300, CSI 500, CSI 1000, CSI 2000, and "Others" 2. Calculate the total heat indicator for each group by summing the heat indicators of constituent stocks 3. Compute the weekly heat change rate for each group and apply a 2-week moving average (MA2) for smoothing 4. At the end of each week, invest in the index with the highest heat change rate (MA2). If the "Others" group has the highest rate, remain in cash[8][11][13] - **Model Evaluation**: The strategy demonstrates the ability to capture short-term sentiment-driven opportunities in the market[13] --- Backtesting Results of Models 1. Broad-based Index Heat Rotation Strategy - **Annualized Return**: 8.74% since 2017[16] - **Maximum Drawdown**: 23.5%[16] - **Cumulative Return (2025)**: 9.6%[16] --- Quantitative Factors and Construction Methods 1. Factor Name: Total Heat Indicator - **Factor Construction Idea**: The total heat indicator is used as a proxy for market sentiment, aggregating the attention metrics of individual stocks[7] - **Factor Construction Process**: 1. Define the total heat indicator for individual stocks as the sum of browsing, watchlist additions, and click counts 2. Normalize the indicator by dividing it by the total market value on the same day 3. Multiply the normalized value by 10,000 to scale the indicator within the range [0, 10,000][7] - **Factor Evaluation**: The factor effectively captures market sentiment at the stock level and can be aggregated to broader categories like indices, industries, or concepts[7] 2. Factor Name: Weekly Heat Change Rate (MA2) - **Factor Construction Idea**: This factor measures the short-term change in market sentiment by tracking the weekly variation in the total heat indicator[13] - **Factor Construction Process**: 1. Calculate the weekly change rate of the total heat indicator for each stock or group 2. Apply a 2-week moving average (MA2) to smooth out short-term fluctuations[13][20] - **Factor Evaluation**: The MA2 smoothing enhances the stability of the factor, making it suitable for identifying trends in market sentiment[13] 3. Factor Name: Concept Heat Ranking - **Factor Construction Idea**: This factor identifies the hottest and coldest concepts based on their weekly heat change rates, enabling the construction of sentiment-driven portfolios[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 concept - **BOTTOM Portfolio**: Select the bottom 10 stocks with the lowest total heat within each concept[31] - **Factor Evaluation**: The factor highlights the potential for excess returns by exploiting sentiment-driven mispricing in concept stocks[31] --- Backtesting Results of Factors 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] - **BOTTOM Portfolio Cumulative Return (2025)**: 18%[33]