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 2025 年 11 月 24 日 -致性下降, 多指标指 量化择时周报 20251123 量化策略 量家 | 1 . 情绪模型观点： 市场情绪得分周内冲高回落 | | --- | | 1.1 从分项指标出发：价量一致性、主力买入力量指标快速下降 5 | | ２．其他择时模型观点：银行短期得分快速提升，价值风格与 | | 小盘风格占优 …………………………………………………………………………………………………… 10 | | 2.1 银行行业短期得分快速提升，价值风格与小盘风格占优……………… 10 | | 3．风险提示………………………………………………………………………………………………………………………………………………………………………………………………………………………………………… ...

益 量 化 研 究 2025 年 11 月 24 日 价量一致性下降，多指标指向情绪 降温 ——量化择时周报 20251123 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 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 权 量 化 策 略 证 券 研 究 报 告 - ⚫ 市场情绪得分周内冲高回落：截至 11 月 21 日，市场情绪指标数值为 3.8，较上周五的 3.9 小幅降低，情绪出现下滑，从情绪角度来看观点偏空。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快速下降，市场交易活跃度不断走低。 ⚫ 价量共振走弱，市场短期情绪显著降温：本周价量一致性指标周内快速回落，资金关注度 与标的涨幅相关性明显降低，显示市场价量匹配程度下降，情绪快速走低；科创 50 相对 全 A 成交占比继续下滑并下穿布林带下界，反映风险偏好进一步 ...

期 货 眼 ·日 迹 每日早盘观察 银河期货研究所 2025 年 11 月 24 日 0 / 47 研究所 期货眼·日迹 | | | | 蛋白粕：供应压力阶段性体现 粕类承压回落 5 | | --- | | 白糖：国际糖价偏强 国内糖价走弱 5 | | 油脂板块：震荡行情延续 6 | | 玉米/玉米淀粉：现货偏强，盘面高位震荡 7 | | 生猪：供应压力继续增加 现货延续回落 8 | | 花生：花生现货稳定，花生短期底部震荡 9 | | 鸡蛋：需求表现一般蛋价稳中有落 9 | | 苹果：需求表现一般 果价稳定为主 10 | | 棉花-棉纱：基本面矛盾不大 棉价震荡为主 11 | | 钢材：钢价区间震荡，铁水仍有压减空间 13 | | --- | | 双焦：下跌风险得到释放 关注交易逻辑的切换 13 | | 铁矿：偏空思路对待 14 | | 铁合金：减产趋势下价格底部震荡 15 | | 金银震荡中等待方向 16 | 贵金属：美联储"鹰鸽"分歧加剧 | | --- | --- | | 铜：短期关注下方支撑 17 | | | 关注仓单转现 18 | 氧化铝：实质性减产仍未兑现 | | 沪铝压力减弱 19 | 电解铝 ...

黑色建材日报 2025-11-24 陈张滢 从业资格号：F03098415 交易咨询号：Z0020771 0755-23375161 chenzy@wkqh.cn 郎志杰 从业资格号：F3030112 交易咨询号：Z0023202 0755-23375125 langzj@wkqh.cn 万林新 从业资格号：F03133967 0755-23375162 wanlx@wkqh.cn 赵 航 从业资格号：F03133652 0755-23375155 zhao3@wkqh.cn 螺纹钢主力合约下午收盘价为 3057 元/吨, 较上一交易日涨 7 元/吨（0.229%）。当日注册仓单 43220 吨, 环比增加 2439 吨。主力合约持仓量为 151.3411 万手，环比减少 59912 手。现货市场方面, 螺纹钢天津汇 总价格为 3210 元/吨, 环比减少 10/吨; 上海汇总价格为 3220 元/吨, 环比增加 10 元/吨。 热轧板卷主力 合约收盘价为 3270 元/吨, 较上一交易日涨 3 元/吨（0.091%）。 当日注册仓单 116388 吨, 环比减少 0 吨。主力合约持仓量为 112.4623 ...

大宗周期篇：价格景气为锚，情绪博弈为帆 20251121 摘要 大宗周期行业长期年化收益率和波动率高于市场基准，但需关注有色金 属的下伏比率。构建多维度跟踪框架，关注经济增长和物价拐点（社融 增速、PMI 价格分项、PPI），行业景气度（商品价格、政策变化、盈利 预期、财报），以及市场情绪（估值、成交量、换手率）以优化择时。 当前市场环境下，有色金属、煤炭和钢铁值得重点关注。有色金属受货 币、金融、避险属性及供需影响；煤炭与钢铁受国内供需及商品价格联 动影响；石油石化需关注需求驱动的油价上涨，警惕地缘冲突扰动。基 础化工关注景气优质公司。 政策变化对大宗周期子行业有重要催化作用，需结合估值及业绩拐点综 合考量。供给侧改革和碳中和行动提升行业景气，盈利压力大的煤炭、 钢铁、有色金属涨幅较大。不同子行业因盈利差异和政策力度预期不同， 反转弹性也有差异。 商品价格是观察大宗周期景气度的直接指标，权益行情弹性与持续性与 商品持续涨价预期密切相关，股市通常领先于商品价格见顶。关注制造 业 PMI 主要原材料购进价格指数、南华综合指数、PPI 及各子行业商品 价格（动力煤、焦煤、螺纹钢、金价、铜铝、锂等）。 Q&A 请简 ...

锂矿端：近期碳酸锂市场已呈现出情绪化特征，昨日价格突破10万元/吨，价格上涨核心支撑因素为近 期矿石供应短缺，但实际供需紧张程度并未达到当前价格所体现的水平，有一定的情绪因素影响。 材料端：近期市场核心关注材料厂商与头部电池厂的长协价格，以往头部电池厂的做法通常会是拖一 拖，今年不排除这种可能，但情况也不完全一样，因为今年电池厂下游客户的订单也排得很满，所以也 未必能够像以前那样拖很久。 早盘新能源板块回调幅度较大，主要系美联储降息节奏影响市场情绪，同时碳酸锂、铁锂正极、电解液 等细分板块前期上涨较快、交易相对充分，因此今日回调幅度相对较大。 综合而言，基本面并无明显变化，储能需求确定性向好，26Q1有望淡季不淡。但后续仍需持续关注市 场情绪，以及电池厂商后续排产情况，短期来看板块或将延续震荡态势。感兴趣的投资者可通过新能源 车ETF（159806）、光伏50ETF（159864）、创业板新能源ETF（159387）、碳中和50ETF（159861） 等产品，逢低布局板块投资机会。 基本面来看—— （文章来源：每日经济新闻） ...

Group 1: Energy - The international oil price fell overnight, with the Brent 01 contract down 0.8%. The geopolitical risk premium of the Russia-Ukraine conflict was suppressed, and the oil price rebound due to geopolitical factors was limited. The market is expected to be weak and volatile [1] - Low-sulfur fuel oil is stronger than high-sulfur fuel oil. The low-sulfur market is supported by supply disruptions and strong diesel cracking, while the high-sulfur market is expected to face supply increases in the medium term [21] - The cost support for asphalt is weakening, and the demand is expected to decline seasonally. The market sentiment is bearish [22] - The expected import cost of liquefied petroleum gas (LPG) is rising in December. The demand from both the chemical and combustion sectors is improving, and the LPG market is expected to be strong [23] Group 2: Metals - Precious metals are oscillating at a high level. The employment data is mixed, and the Fed officials' statements are divided. The possibility of the Fed keeping interest rates unchanged in December is high. Attention should be paid to the directional breakthrough on the technical side [2] - Copper prices fell overnight due to a stronger dollar and weak demand. Short positions can be held with a stop-loss at 87,000 yuan [3] - Aluminum prices fluctuated narrowly. The Fed's interest rate cut prospects are uncertain, and the aluminum market may continue to adjust. Attention should be paid to the support of the middle Bollinger Band [4] - Zinc prices are expected to oscillate in the range of 22,200 - 23,000 yuan/ton. The inventory structure is gradually being repaired, and there is still profit potential for cross-market arbitrage [7] - Lead prices are supported by low inventory levels, but the external market is under pressure due to high inventory. The import window for aluminum ingots may open, and the upward momentum of aluminum prices is insufficient [8] - Nickel prices are weakening. The macro risk is increasing, and the support from the upstream price rebound is weakening. The inventory of nickel and stainless steel is increasing [9] - Tin prices are oscillating. The environmental rectification in Malaysia has limited impact on the market. The import of tin concentrate in China has improved slightly, but the resumption of supply from Myanmar is not strong. Short positions can be held with a stop-loss at 295,000 yuan [10] - Lithium carbonate prices are strengthening. The downstream demand is strong, and the inventory is decreasing. The technical analysis shows a range breakthrough, and a buy-on-dip strategy can be adopted [11] - Polycrystalline silicon prices are falling. The photovoltaic demand is weak, and the actual supply-demand improvement is limited. The price is expected to oscillate in the short term [12] - Industrial silicon prices are undergoing a technical correction. The downstream demand for polycrystalline silicon and organic silicon is expected to improve, which may boost the price [13] Group 3: Building Materials - Steel prices rebounded at night. The demand for rebar and hot-rolled coils is improving, but the supply pressure is gradually easing. Attention should be paid to the environmental protection restrictions in Tangshan [14] - Iron ore prices are oscillating. The supply is strong, and the demand is weak. The market is expected to be range-bound in the short term [15] - Coke and coking coal prices are expected to be weak and oscillating. The supply of carbon elements is abundant, and the downstream demand is stable, but the steel mills' profit is average, and the pressure on raw material prices is high [16][17] - Manganese silicon and silicon iron prices are falling. The market expects coal supply to increase, which may lower the cost. The demand is stable, but the supply is high, and the bottom support may weaken [18][19] Group 4: Chemicals - Urea prices are oscillating narrowly. The Indian tender results will affect the market sentiment. The agricultural demand is weakening, but the industrial demand is improving, and the inventory is decreasing [24] - Methanol prices are in a weak position. The overseas supply is high, and the demand is expected to decline. The market is expected to remain weak in the short term [25] - Pure benzene prices are rebounding, but the sustainability is uncertain. The supply pressure is easing, and the demand is expected to improve, but the export to the US faces challenges [26] - Styrene prices are supported by cost and supply reduction. The demand from the European market is strong [27] - Polypropylene, polyethylene, and propylene prices are expected to be weak. The supply is high, and the demand is low, and the supply-demand contradiction is increasing [28] - PVC and caustic soda prices are falling. The cost support is weakening, and the demand is insufficient. Attention should be paid to the cost changes and profit margins [29] - PX and PTA prices are oscillating. The supply from overseas may be affected, and the demand is weakening. The market is cautiously bullish [30] - Ethylene glycol prices are expected to be bearish. The supply is increasing, and the demand is weakening. A short strategy can be adopted [31] - Short fiber and bottle chip prices are under pressure. The demand is weakening, and the prices are expected to follow the raw material prices [32] Group 5: Agricultural Products - Soybean and soybean meal prices are oscillating. The US soybean planting area is expected to increase, and the impact of La Nina on South American soybean production needs to be monitored. A buy-on-dip strategy can be considered after the correction [36] - Soybean oil and palm oil prices are affected by the US biodiesel policy. The palm oil price may have bottomed out [37] - Rapeseed and rapeseed oil prices are under pressure. The import volume has decreased, and the demand is weak. A bearish strategy is recommended [38] - Corn prices are oscillating. The supply is increasing, and the demand is improving. The Dalian corn futures 01 contract may continue to decline [40] - Hog prices are at a low level. The futures market is trading on the potential supply pressure in the future. The pig price may form a double bottom in the first half of next year [41] - Egg prices are rebounding strongly. The spot price is stable. Attention should be paid to whether the previous price decline has ended [42] - Cotton prices are range-bound. The US cotton export sales are increasing, but the domestic demand is average. The Zhengzhou cotton futures are expected to be range-bound in the short term [43] - Sugar prices are oscillating. The international market supply is sufficient, and the domestic market is focusing on the new season's production estimate. The production in Guangxi is expected to be good [43] - Apple prices are oscillating at a high level. The short-term price is strong due to low inventory, but the long-term inventory pressure may exist. Attention should be paid to the inventory reduction [44] Group 6: Others - The container shipping index (European line) is expected to be stable in early December and may improve in late December. The 02 contract may be slightly discounted compared to the 12 contract, and the far-month contracts are expected to be low and oscillating [20] - Wood prices are oscillating. The low inventory supports the price, and a wait-and-see strategy is recommended [45] - Pulp prices are falling. The supply is abundant, and the demand is weak. The market is expected to remain weak in the short term [46] - Stock index futures are falling. The A-share market is volatile, and the external market is uncertain. A wait-and-see strategy is recommended, and attention can be paid to stable, consumer, and cyclical sectors [47] - Treasury bond futures are falling. The market is trading lightly, and the structure is differentiated. The change in market risk preference may bring new opportunities [48]

盘面在午间突坠，交易终端的绿色变成刺眼的红，席位上人们忘了午饭只顾盯着报价屏幕，来自券商中国和Coinglass的数据显示，24小时内 合约爆仓金额超10亿美元，爆仓人数达18.35万，最大单笔近9651万美元（来源：券商中国、Coinglass）。 在交易所的撮合日志里，溢价、滑点与止损相互纠结，Hyperliquid的一笔接近千万的爆仓像一条撕裂的缝隙，市场对流动性的依赖在这一刻 暴露无遗（来源：Coinglass）。 美联储的利率预期像一根看不见的手在拨动市场情绪，CME"美联储观察"给出的12月降息概率不足五成，交易员对宽松预期的松动直接折射 到风险资产的定价上（来源：券商中国、CME）。 在一家场外交易的咖啡桌上，几位做市商低声交流，他们把这次下跌归结为多因素集合——获利了结、机构撤出、宏观不确定性与杠杆多头 的被迫平仓，语气冷静，却又不掩疲惫，事实在数字里无言证明（来源：Nansen、Glassnode、CryptoQuant）。 市场情绪指数显示极度恐惧，数据平台CoinMarketCap的追踪让这类情绪有了可量化的输出，屏幕上的颜色愈发暗沉，恐惧不是单一的瞬间， 而是逐步累积的行为后果（来源： ...

三、现在该买黄金吗？三类人群策略不同 面对当前金价回调，是否入手需结合自身需求、风险偏好与资金规划综合判断： 结尾总结：黄金不是"提款机"，而是"安全垫" 黄金价格下跌，既是风险释放，也是机会酝酿。但需清醒认识到：黄金无法让人一夜暴富，却能在市场 动荡时提供"压舱石"般的保障。 对于普通投资者而言，与其纠结"现在买不买"，不如先问自己"是否了 解黄金的投资逻辑""能否承受短期波动""是否持有3年以上"。 一、金价为何突然暴跌？三大推手浮出水面 近期黄金市场的剧烈波动，本质是货币政策预期与市场情绪的双重博弈。 二、黄金投资"三难"：为何多数人赚不到钱？ 尽管黄金长期被视为"避险资产"，但世界黄金协会中国区CEO王立新直言："投资黄金有三难——了解 市场难、择时难、持有难。" 市场永远充满不确定性，但理性与耐心，永远是投资最好的朋友。 1. 美联储"鹰派转向"：原本市场预期美联储将放缓加息步伐，甚至释放降息信号，但最新数据显示 美国通胀粘性超预期，美联储官员频繁释放"高利率维持更久"的言论，导致美元指数强势反弹， 黄金作为无息资产承压下行。 2. 全球风险偏好回升：地缘政治紧张局势暂缓，股市、加密货币等风险资产吸 ...

（原标题：黄金、比特币大震荡：传统投资逻辑不灵了？｜财经早察） 11月19日黄金和比特币价格在经历暴跌后有所回调，但想必前些天的震荡行情一定让不少人心惊肉跳。 今天咱们来复盘一下最近比特币和黄金的刺激行情，风险资产和避险资产一起下跌，如此"反常"现象， 到底什么原因？ 我们先看比特币。11月18日，比特币一度跌破9万美元，这可是最近7个月内头一回啊！相信大家还有印 象，10月6日，比特币还曾经飙升到12.6万美元之上，刷新历史最高纪录，但仅仅几天之后，美国总统 特朗普出人意料的关税言论，导致全球市场震荡，比特币也开始坐上了过山车。短短一个多月，直接把 今年的涨幅全跌没了。 为什么呢？这是宏观预期、政策效应和市场情绪等因素叠加影响的结果。 第一，美国市场宏观预期变了。这是最关键的原因。最近啊，美联储内部在关于12月要不要降息的问题 上分歧更大了，有官员认为美国通胀还没达到理想水平呢，不能降；还有一派就说了，现在劳动力市场 不行啊，得赶紧继续降息、保持宽松来挽救就业和居民消费呀。市场一看，好家伙，你们美联储内部要 达成共识，短时间内看来是没戏了，那12月的降息也有可能会泡汤。美国金融市场就像一个游泳池，美 元就是 ...