证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 2025 年 12 月 29 日 部分指标震荡修复，市场情绪有望 筑底 ——量化择时周报 20251228 相关研究 量 化 策 略 - ⚫ 市场情绪得分震荡回升：截至 12 月 26 日，市场情绪指标数值为 1.1，较上周五的 1.1 持 平，情绪得分震荡维稳，从情绪角度来看观点偏中性。从所有分项指标的变化来看，本周 情绪指数综合得分周内有所改善，市场交易活跃度出现反转回升迹象。 ⚫ 情绪出现修复改善，指标分化仍存：本周价量一致性指标周内维持震荡走势，周后段出现 明显回升，较前期有所改善，市场价量匹配程度回升，资金关注度与标的涨幅相关性增强， 情绪端呈现边际回暖；科创 50 相对万得全 A 成交占比延续下行趋势，反映高弹性板块参 与度仍偏低，风险偏好修复仍显不足；行业间交易波动率持续下降并下穿布林带上界，资 金在不同行业间切换节奏放缓，跨行业轮动意愿减弱，流动性边际趋缓；行业涨跌趋势性 指标维持在布林带上界附近震荡，行业观点一致性较 ...

风险提示。 市场系统性风险、海外市场波动风险、模型误设风险。 报告导读： 从技术面来看，情绪模型信号发出做多信号，A股市场或将开启新的一轮上 行。因此，我们认为，市场有望重回上行趋势。 下周（20251229-20251231，后文同）市场观点：市场有望重回上行趋势。 从量化指标上看，基于沪深300指数的流动性冲击指标周五为0.34，低于前一周 （0.41），意味着当前市场的流动性高于过去一年平均水平0.34倍标准差。上证50ETF期权成交量的PUT-CALL比率震荡上升，周五为0.88，高于前一周 （0.83），投资者对上证50ETF短期走势谨慎程度上升。上证综指和Wind全A五日平均换手率分别为1.06%和1.66%，处于2005年以来的69.45%和75.13%分位 点，交易活跃度有所上升。从宏观因子上看，上周人民币汇率震荡，在岸和离岸汇率周涨幅分别为0.46%、0.42%。日历效应上，2005年以来，上证综指、沪 深300、中证500、创业板指在12月下半月上涨概率分别为50%、55%、45%、40%，涨幅均值分别为1.2%、1.08%、-0.11%、-0.84%，涨幅中位数分别 为-0.07%、0. ...

- The report introduces a timing system that uses the distance between the 120-day long-term moving average and the 20-day short-term moving average of the WIND All A Index to determine market trends. The short-term moving average is above the long-term moving average, with a distance of 3.38%, which is significantly greater than 3%, indicating the market has returned to an upward trend[2][6][11] - The "profitability effect" is used as a core indicator to assess market conditions. The current market trend line is at 6237 points, and the profitability effect is 3.12%, which is significantly positive, suggesting the upward trend is likely to continue[5][7][11] - The "Mid-term Distress Reversal Expectation Model" signals a focus on retail, tourism, and other service-oriented consumption sectors[5][7][11] - The "TWO BETA Model" continues to recommend the technology sector, with a focus on domestic computing power and commercial aerospace[5][7][11] - The "Industry Trend Model" indicates that sectors such as communication, industrial metals, and energy storage are maintaining an upward trend[5][7][11] - The valuation metrics for the WIND All A Index show that the PE ratio is at the 85th percentile, indicating a relatively high level, while the PB ratio is at the 50th percentile, indicating a medium level[5][7][11] - Based on the "Position Management Model," the report suggests an 80% equity allocation for absolute return products using the WIND All A Index as the primary stock allocation benchmark[5][7][11]

Market Performance - The Sci-Tech 50 Index increased by 2.85% over the last five trading days, while the ChiNext Index rose by 3.90%. The large-cap value index fell by 0.02%, and the large-cap growth index increased by 2.70%. The Shanghai 50 Index gained 1.37%, and the small-cap index represented by the CSI 2000 rose by 3.55%. The sectors of non-ferrous metals and national defense performed well, while beauty care and social services lagged behind [1]. Valuation Levels - As of December 26, 2025, the static PE ratio of the CSI All Share Index is at the 82nd percentile. The Shanghai 50 and CSI 300 both stand at 74%, while the ChiNext Index is close to 59%. The CSI 500 and CSI 1000 are at 62% and 64%, respectively. The valuation of the ChiNext Index is relatively at the historical median level [1]. Risk Premium - The risk premium, calculated as the inverse of the static PE of the CSI All Share Index minus the yield of the 10-year government bond, is at 2.69% as of December 26, 2025. The two standard deviation boundary is at 4.70% [1]. Fund Flows - In the last five trading days, ETF inflows amounted to 41.6 billion yuan, and the margin trading balance increased by approximately 45.7 billion yuan. The average daily trading volume across the two markets was 1.9454 trillion yuan [2]. Thematic Investment - The latest thematic investment configuration includes sectors such as chemicals, non-bank financials, communications, and satellite industries. Specific indices mentioned are the CSI Sub-Industry Chemical Index, CSI 300 Non-Bank Financial Index, CSI All Share Communication Equipment Index, and the National Satellite Communication Industry Index [2][3]. AI and Machine Learning Application - The application of convolutional neural networks (CNN) for modeling price and volume data has been explored, focusing on standardizing chart data to predict future prices and mapping learned features to industry themes [10].

Group 1 - The market sentiment score has slightly decreased to 1.1 as of December 21, down from 1.35 the previous week, indicating a neutral outlook despite a recent rebound on Friday [1][6] - The overall sentiment index has shown significant improvement this week, with signs of a rebound in market trading activity [1][6] - The price-volume consistency indicator has improved, suggesting a better correlation between capital attention and stock price increases, although the risk appetite remains insufficient as indicated by the declining proportion of the STAR 50 index's trading volume [1][9] Group 2 - The total trading volume for the entire A-share market decreased by 9.86% week-on-week, with an average daily trading volume of 17,604.84 billion yuan, reflecting a decline in market activity compared to the previous week [1][12] - The short-term scores for industries such as beauty care, pharmaceuticals, non-bank financials, agriculture, and retail have shown upward trends, with the communication sector having the highest short-term score of 79.66 [1][33] - The correlation between trading congestion and weekly price changes is strong, with high congestion sectors like retail and light manufacturing leading in gains, while sectors with lower congestion such as power equipment and computers lag behind [1][38] Group 3 - The current model indicates a preference for small-cap and growth styles, with the 5-day RSI showing a decline relative to the 20-day RSI, suggesting potential weakening of signals [1][42] - The financing balance ratio continues to rise, reaching a new high for the phase, indicating increased risk appetite and active capital utilization in the market [1][22] - The main capital inflow has broken through the fluctuation range, reflecting a stronger willingness of institutional funds to enter the market, which supports a bullish momentum [1][28]

2025 年 12 月 22 日 市场情绪细分指标出现修复、改善 ——量化择时周报 20251221 相关研究 证券分析师 沈思逸 A0230521070001 shensy@swsresearch.com 邓虎 A0230520070003 denghu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 权 益 量 化 研 究 证 券 研 究 报 告 请务必仔细阅读正文之后的各项信息披露与声明 本研究报告仅通过邮件提供给 中庚基金 使用。1 量 化 策 略 - ⚫ 市场情绪得分周内继续回落：截至 12 月 21 日，市场情绪指标得分为 1.1，较上周五的 1.35 小幅降低，但周五情绪得分出现回升，从情绪角度来看观点偏中性。从所有分项指 标分数之和的变化来看，本周情绪指数综合得分周内出现较明显改善，市场交易活跃度出 现反转回升迹象。 ⚫ 情绪出现修复改善，指标分化仍存：本周价量一致性指标较上周出现一定改善，市场价量 匹配程度回升，资金关注度与标的涨幅相关性增强，情绪端边际回暖；科创 50 相对全 A 成交占比仍处下行通道，风险偏好修复 ...

报告导读： 从技术面来看，情绪模型信号依旧处于弱势震荡状态；与此同时，均线强弱指 数同样处于震荡区间。因此，我们认为，市场短期震荡格局较难被打破。 下周（ 20251222-20251226 ，后文同）市场观点： 市场短期震荡格局较难被打破。 从量化指标上看，基于沪深 300 指数的流动性冲击指标周五为 0.41 ，低于前一周（ 0.51 ），意味着当前市场的流动性高于过去一年平均水平 0.41 倍标准差。上证 50ETF 期权成交量的 PUT-CALL 比率震荡下降，周五为 0.83 ，低于前一周（ 1.08 ），投资者对上证 50ETF 短期走势谨慎程度下降。上证综指和 Wind 全 A 五日平均换手率分别为 1.05% 和 1.60% ，处于 2005 年以来的 68.85% 和 73.75% 分位点，交易活跃度有所下降。从宏观因子上看，上周人民币汇率震荡，在岸和离岸汇率周涨幅分别为 0.2% 、 0.28% 。事件驱动上， 1. 上周美股市场出现震荡。道琼斯工业指数、标普 500 指数和纳斯达克指数周收益率分别为 -0.67% 、 0.1% 、 0.48% 。根据 Wind ，美国 11 月非农就业人 ...

证券研究报告 | 金融工程 2025 年 12 月 21 日 企稳但反转仍待观察，短期维持防御观点 ——A 股趋势与风格定量观察 20251221 1. 当前市场观察 ❑ 择时上，维持中性偏谨慎的观点，市场虽有震荡企稳迹象但尚未见明显反转 走势；风格上，继续维持大盘风格占优观点： 1）宏观层面，日央行加息"利空"虽已落地，但全球流动性风险尚未出 清。在此前的周报中，我们强调由于日央行加息路径相对稳健且美元弱势情 况下日元并未积累空头头寸，此次日央行加息事件或不存在对市场的明显冲 击。从本周亚洲市场的走势上来看，基本符合预期，即上半周略有回调但周 五事件落地后明显反弹。不过，需要注意的是，虽然不宜高估日央行加息影 响，但也不宜低估，其导致全球流动性有所收紧的客观现实仍存在，且目前 市场认为明年 1 月美联储降息概率仍中等偏低，后续大概率仍会对此进行博 弈。因此，宏观层面风险有所缓解，但尚未完全解除警报。 2）交易层面仍需等待持续的价量反转信号。量能层面，本周全 A 日均成交 额约 1.95 万亿，而当前标准化交易量能指标仍处于过去 5 年中位数水平之 下，目前市场量能有所回暖但未升至强势区间。价格层面，当前市场 ...

量化择时和拥挤度预警周报（20251221） [Table_Authors] 郑雅斌(分析师) 市场短期震荡格局较难被打破 本报告导读： 从技术面来看，情绪模型信号依旧处于弱势震荡状态；与此同时，均线强弱指数同 样处于震荡区间。因此，我们认为，市场短期震荡格局较难被打破。 投资要点： 金 融 工 程 周 报 证 券 研 究 报 告 | [Table_Summary] 下周（20251222-20251226，后文同）市场观点：市场短期震荡格局 | | --- | | 较难被打破。从量化指标上看，基于沪深 300 指数的流动性冲击指 | | 标周五为 0.41，低于前一周（0.51），意味着当前市场的流动性高于 | | 过去一年平均水平 倍标准差。上证 期权成交量的 0.41 50ETF PUT | | CALL 比率震荡下降，周五为 0.83，低于前一周（1.08），投资者对 | | 上证 50ETF 短期走势谨慎程度下降。上证综指和 Wind 全 A 五日平 | | 均换手率分别为 1.05%和 1.60%，处于 年以来的 68.85%和 2005 | | 73.75%分位点，交易活跃度有所下降。从宏观因子 ...

[Table_Page] 金融工程|定期报告 2025 年 12 月 21 日 证券研究报告 [Table_Title] 金融工程：AI 识图关注非银、卫 A 股量化择时研究报告 [Table_Summary 市场回顾（本期是指 ] 2025 年 12 月 15 日—2025 年 12 月 19 日） 结构表现 (涨幅) 中证 100 沪深 300 中证 500 中证 800 中证 1000 国证 2000 -0.82% -0.28% 0.00% -0.21% -0.56% -0.37% 行业表现 强度前五：商贸零售、非银金融、美容护理、社会服务、基础 化工。 强度后五：电子、电力设备、机械设备、综合、通信。 市场估值 指数估值 ↓：深证指数 行业估值 相对 PE 较低：食品饮料、建筑装饰、电力设备、美容护理、 煤炭。 相对 PE 较高：计算机、电子、农林牧渔、传媒、商贸零售。 市场情绪 新高比例 ↓:创近 60 日新高个股数占比从前一期的 8.5%降至 7.7%。 新低比例 ↓:创近 60 日新低个股数占比从前一期的 20%降至 6.4%。 均线结构 ↓:多头排列减空头排列个股占比从前一期的-15%降至-2 ...