2026年01月05日 市场情绪逐步修复， 价量: 速上升 -量化择时周报 20260104 量化策略 相关研究 证券分析师 沈思逸 A0230521070001 shensv@swsresearch.com 邓虎 A0230520070003 denqhu@swsresearch.com 联系人 沈思逸 A0230521070001 shensy@swsresearch.com 请务必仔细阅读正文之后的各项信息披露与声明 ○ 市场情绪逐步修复：截至 12 月 31 日，市场情绪指标数值为 1.35，较上周五的 1.1 小幅 增加,情绪得分逐步修复,从情绪角度来看观点看多。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同样较上周有所提升，市场交易活跃度出现反转回升迹象。 情绪指标逐步修复,价量一致性快速上升：本周价量一致性指标周内快速上升,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 ...

Group 1: Market Sentiment Model Insights - The market sentiment score has rapidly increased to 3.9 as of November 14, up from 3 the previous week, indicating a further recovery in market sentiment and a bullish outlook [2][8] - The price-volume consistency indicator has stabilized and rebounded, showing a phase of sentiment recovery after a previous decline, with increased trading activity and a positive correlation between price elasticity and attention to stocks [11][12] - The overall trading volume for the entire A-share market increased by 1.56% week-on-week, with an average daily trading volume of 20,438.27 billion yuan, indicating sustained market activity [15] Group 2: Industry Trends and Performance - The short-term trend scores for industries such as beauty care, pharmaceuticals, banking, food and beverage, and textiles have shown upward momentum, with steel, electric equipment, construction decoration, environmental protection, and coal being the strongest short-term performers [40][41] - The industry trend consistency has significantly improved, breaking through the upper Bollinger Band, indicating a stronger consensus on industry outlooks and enhancing the beta effect of sector indices [25][28] - The financing balance ratio continues to rise, reflecting an increase in market leverage sentiment and a more active trading atmosphere in the financing market [29][31] Group 3: Industry Crowding and Investment Opportunities - The correlation coefficient between industry crowding and weekly price changes is 0.60, indicating a significant positive relationship, with high crowding in sectors like basic chemicals, agriculture, and forestry, which have seen high price increases [44][46] - Sectors with high crowding but low price increases, such as electric equipment and environmental protection, may have potential for catch-up gains if fundamental catalysts arise [44] - Low crowding sectors like communication, electronics, and computers, which have seen lower price increases, present opportunities for gradual long-term investment as risk appetite improves [44][46]

Group 1 - Market sentiment indicators show a slight increase to 3.25, maintaining a high level and a bullish outlook, although there is a need to monitor for potential turning points as scores show a slight decline during the week [9][12][30] - The price-volume consistency indicator remains elevated, indicating high levels of market activity, while the PCR combined with VIX has shifted from positive to negative, suggesting a change in market sentiment [12][23][24] - Total trading volume for the week showed a slight decline but remained strong, with daily trading volumes exceeding 1.6 trillion RMB on most days, indicating robust market activity [17][30] Group 2 - The report highlights that sectors with high trading congestion, such as machinery, defense, and non-ferrous metals, have seen significant price increases, but caution is advised due to potential valuation and sentiment corrections [30][34][36] - The report identifies that the small-cap growth style is currently favored, with the RSI model indicating a preference for growth stocks, although the 5-day RSI shows a rapid decline compared to the 20-day RSI, warranting further observation [30][39][41] - The report provides a detailed analysis of sector performance, with machinery, light industry, and defense showing the strongest short-term trends, particularly machinery scoring a perfect 100 [30][31][32]

Group 1 - The market sentiment index has risen to 3.2, up from 1.8 the previous week, indicating a bullish outlook, but caution is advised as high sentiment levels can lead to sensitive directional changes [10][4][8] - The price-volume consistency indicator has increased, suggesting higher capital activity and reduced divergence in market sentiment, while the financing ratio continues to decline [13][4] - The total trading volume for the week remained high, with the peak on Thursday at 1961.849 billion RMB and a significant drop on Friday to 1619.884 billion RMB [17][4] Group 2 - The industry performance shows a clear upward trend in anti-involution related sectors, with basic chemicals and electronics leading the gains, while automotive, environmental, and oil sectors lag behind [26][29] - The short-term scores for most industries have generally decreased, with computer, media, communication, and food and beverage sectors showing slight increases [33][34] - The model indicates a preference for small-cap growth styles, with the RSI model also suggesting a growth style advantage, although the 5-day RSI has decreased compared to the 20-day RSI [36][37]