来源：市场资讯 （来源：吴说） 作者：新火研究院 声明：本文为转载内容，读者可通过原文链接获得更多信息。如作者对转载形式有任何异议，请联系我们，我们将按照作者要求进行修改。转载仅用于信息 分享，不构成任何投资建议，不代表吴说观点与立场。 2026 年新年开局，加密市场已逐步摆脱年末「流动性真空」和「大跌恐慌」阴霾，在流动性与情绪面 迎来强劲修复。随着美国现货ETF首两个交易日出现大额净流入，多平台恐慌贪婪指数也从恐慌区间回 升至中性。BTC 与 ETH 一度突破 93,000 美元及 3,200 美元关口，小币种同步集体反弹，其中 PEPE、WIF 等迷因币更是出现单周超 60% 的亮眼表现。由于短期上涨过快，市场可能存在技术性回调需求，但这 并不影响整体上涨趋势。 新火研究院认为，比特币有望在本次调整结束后冲击 10 万美元大关，该位置既是去年 10 月下跌开始后 的重要日线压力位，也是本轮行情的牛熊分界线。若能放量站稳 10 万美元，比特币有望在年内创下历 史新高。新火研究院认为，比特币有望在本次调整结束后冲击 10 万美元大关，该位置既是去年 10 月下跌开始后 的重要日线压力位，也是本轮行情的牛熊分界 ...

周五收盘，超过5000只股票下跌，百股跌停，沪深两市放量2500多亿。 这些数字背后，是无数散户割肉离场的脚步声。 就在市场被悲观情绪笼罩的当晚， 隔夜美股却全线收涨，道琼斯指数飙升493点，涨幅1.08%，就连与A股关联紧密的富时中国A50期货也探底回升，上涨0.71%。 这个突如其来的转折，让这 个周末变得不再平静。 证券行业资深分析师指出，成熟的投资者应该区分"决策质量"和"结果质量"。 基于系统性的风险控制规则做出的止损决定，即使事后看不是最低点，也属 于高质量的决策。 股市中不存在完美的买卖点，重要的是保持操作的一致性。 历史数据显示，过去一年中，类似"美股大涨 A50跟涨"的组合出现过17次。 其中有11次，A股在次一交易日出现高开。 但高开之后的表现却分化明显：6次 最终收涨，5次上演高开低走的剧情。 这个统计表明，外围市场的利好确实能够影响A股的开盘情绪，但随后的走势仍需看A股自身的状态。 周五A股市场的表现确实令人担忧。 主要指数不仅大幅低开，收盘时更是呈现破位下跌的态势。 技术面上，多个关键支撑位被一举跌破，图形变得难看。 更值得关注的是资金动向，尾盘不仅没有出现抄底资金，反而出现了放量下 ...

Group 1 - The Hong Kong stock market opened higher on October 27, with technology and semiconductor stocks showing strength [1] - The Hong Kong Stock Connect Technology ETF (513860) rose by 1.96% with a trading volume exceeding 30 million yuan, indicating strong investor interest [1] - Notable performers among the ETF's constituent stocks included Hongteng Precision, which increased by over 7%, and WuXi AppTec and WuXi Biologics, both rising by over 6% [1] Group 2 - According to Xinda Securities, the derivatives market is showing positive signals despite a reduction in positions, with the basis of the Shanghai 50 index futures turning to a premium, indicating improved sentiment in blue-chip stocks [2] - Huatai Securities noted that southbound capital has accumulated inflows exceeding 500 billion HKD since the second half of the year, suggesting a balanced risk outlook in the market [2] - The current high prosperity in sectors such as metals, materials, and energy, along with technology, contrasts with the recent bottoming or upward revision signs in consumer sectors and high-dividend stocks [2]

Market Performance - The three major A-share indices collectively rose, with the Shanghai Composite Index up 1.24%, the Shenzhen Component Index up 3.89%, and the ChiNext Index up 6.55% [1] - The total market turnover was 2.35 trillion yuan, a decrease of 233.5 billion yuan compared to the previous trading day [1] - Various ETFs showed positive performance, with the CSI A500 ETF rising 2.55%, the ChiNext 50 ETF up 8.06%, the Sci-Tech Innovation ETF up 7.34%, and the Sci-Tech 100 ETF up 4.7% [1] Reasons for the Rise - The market experienced a short-term rebound due to the release of profit-taking pressure following significant events from September 2 to September 4 [5] - A collective surge in the banking sector on September 4 afternoon significantly boosted the indices, indicating strong market support and improved investor confidence [5] - The VIX index suggests that market sentiment has stabilized, with a downward trend indicating no panic among investors [5] Future Outlook - The strengthening of the RMB and signs of foreign capital inflow are expected to continue supporting A-shares [7] - The relative attractiveness of the RMB has increased as the appeal of the USD has declined, marking the end of a three-year upward cycle since September 30, 2021 [9] - Active foreign capital has shown a net inflow for three consecutive weeks since August 15, 2023, indicating a potential trend reversal and further attraction of foreign investment [9] - Investors are encouraged to focus on broad-based index products such as the CSI A500 ETF, the 300 Enhanced ETF, and others [9]

Group 1 - The overall market is experiencing a sentiment recovery after a brief fluctuation, with risk appetite being a key theme for the market [1] - Since August 15, there has been a continuous inflow of funds into equity ETFs and leveraged funds, indicating a relatively positive willingness to participate in the market [1] - Attention should be paid to the implied volatility in the market; a significant increase during an upward trend may require caution against speculative overheating, while an increase during a downward trend could present opportunities for stabilization trades [1] Group 2 - As of the end of August, listed companies will begin to release their mid-year reports, with growth in performance and expectations potentially serving as trading cues [1]

Group 1 - The core viewpoint of the article highlights the recovery of market sentiment, with glass and coking coal experiencing a rebound after a period of decline [1] - The article discusses the use of monitoring tools to capitalize on volatile market conditions, suggesting that these tools can help traders navigate fluctuations effectively [1] Group 2 - The article emphasizes the importance of understanding market dynamics and utilizing technology to enhance trading strategies during periods of market turbulence [1] - It suggests that traders should remain vigilant and adaptable to changing market conditions to maximize potential gains [1]

Group 1 - Market sentiment indicators have improved, with the sentiment score rising from -0.9 to -0.25, indicating a shift towards a more bullish outlook [9][13][18] - The increase in industry trading congestion and the positive shift in the PCR combined with the VIX index reflect a recovery in market sentiment [13][18] - The total trading volume in the A-share market has shown a significant increase, with the highest daily trading volume reaching 1,736.61 billion RMB [18][19] Group 2 - The construction materials sector has shown a significant upward trend, with a short-term trend score increase of 21.05% [32][33] - The model indicates that small-cap growth stocks are currently favored, with a strong signal for small-cap stocks and a rapid increase in the 5-day RSI relative to the 20-day RSI [32][37] - The sectors with the strongest short-term trends include defense, media, communication, and computer industries [32][33]

Group 1 - The market sentiment indicator has risen to 2 as of May 16, indicating a continued upward repair of market sentiment over 17 consecutive trading days since the low on April 18, with a bullish model perspective [9][3][7] - Future improvements in market sentiment require dual support from trading volume and investment themes, as the A-share market shows signs of sentiment recovery, but risk appetite has declined and industry trend scores have turned negative [12][3] - The overall trading volume in the A-share market has shown a downward trend, with total trading volume on Friday reaching 1.12 trillion RMB and daily trading volume dropping to 95.291 billion shares [14][3][12] Group 2 - The trend scores for various industries have turned negative, indicating a lack of investment themes in the current market [20][3] - The short-term trend scores for industries such as comprehensive services and transportation have significantly increased, with scores rising nearly 60% [24][3][25] - The overall market style is shifting towards large-cap stocks, although the growth style remains dominant [27][3][28]

Quantitative Models and Construction Methods 1. Model Name: Market Sentiment Timing Model - **Model Construction Idea**: This model is designed to quantify market sentiment using a structured approach, incorporating multiple sub-indicators to assess the overall sentiment direction [7][8] - **Model Construction Process**: 1. Sub-indicators used include: industry trading volatility, industry trading congestion, price-volume consistency, Sci-Tech 50 trading proportion, industry trend, RSI, main buying force, PCR combined with VIX, and financing balance proportion [8] 2. Each sub-indicator is scored based on its sentiment direction and position within Bollinger Bands, with scores categorized as (-1, 0, 1) [8] 3. The final sentiment structure indicator is calculated as the 20-day moving average of the summed scores, oscillating around the zero axis within the range of [-6, 6] [8] - Formula: $ \text{Sentiment Indicator} = \text{20-day MA of (Sum of Sub-indicator Scores)} $ - **Model Evaluation**: The model effectively captures market sentiment fluctuations, with significant sentiment recovery observed since April 2024 [8][9] 2. Model Name: Moving Average Sequence Scoring (MASS) Model - **Model Construction Idea**: This model evaluates the long-term and short-term trends of indices by analyzing the relative positions of moving averages over different time horizons [20] - **Model Construction Process**: 1. For a given period \( N \) (e.g., \( N=360 \) for long-term, \( N=60 \) for short-term), calculate scores for \( N \) moving averages [20] 2. If a shorter moving average \( k \) is above the longer moving average \( k+1 \), assign a score of 1; otherwise, assign 0 [20] 3. Normalize the scores to a range of 0-100 and compute the average score for the index at a specific time point [20] 4. Calculate the 100-day and 20-day moving averages of the trend scores to generate buy/sell signals [20] - Formula: $ \text{Trend Score} = \frac{\text{Sum of Scores}}{N} \times 100 $ - **Model Evaluation**: The model provides clear signals for trend reversals, with recent results indicating a shift towards growth-oriented sectors [20][21] 3. Model Name: RSI Style Timing Model - **Model Construction Idea**: This model uses the Relative Strength Index (RSI) to evaluate the relative strength of different market styles (e.g., growth vs. value, small-cap vs. large-cap) [24] - **Model Construction Process**: 1. Calculate the net value ratio of two style indices (e.g., growth/value) over a fixed period [24] 2. Compute the RSI using the formula: $ \text{RSI} = 100 - \frac{100}{1 + \frac{\text{Average Gain}}{\text{Average Loss}}} $ - Where "Gain" represents average positive changes, and "Loss" represents average negative changes over \( N \) days [24] 3. Compare the 20-day RSI with the 60-day RSI to determine the dominant style [24] - **Model Evaluation**: The model indicates a clear shift from large-cap value to small-cap growth styles, with strong confirmation from recent RSI trends [24][27] --- Model Backtesting Results 1. Market Sentiment Timing Model - Sentiment Indicator Value: 1.5 as of May 9, 2025, indicating a positive sentiment recovery [9] 2. Moving Average Sequence Scoring (MASS) Model - Short-term signals: Positive for indices such as CSI 300, CSI A500, and ChiNext, with short-term scores ranging from 33.90 to 40.68 [36] - Long-term signals: Positive for most indices, with long-term scores exceeding 66.57 for indices like ChiNext [36] 3. RSI Style Timing Model - Growth/Value RSI: Growth-dominant with RSI values of 57.91 (short-term) and 55.24 (long-term) for the CSI Growth/Value index [27] - Small/Large Cap RSI: Small-cap dominant with RSI values of 59.84 (short-term) and 60.16 (long-term) for the Small/Large Cap index [27] --- Quantitative Factors and Construction Methods 1. Factor Name: Price-Volume Consistency - **Factor Construction Idea**: Measures the stability of market sentiment based on the alignment of price and volume movements [8] - **Factor Construction Process**: 1. Calculate the correlation between price changes and trading volume over a fixed period [8] 2. Assign scores based on the strength of the correlation, with higher scores indicating stronger consistency [8] - **Factor Evaluation**: The factor showed significant improvement in recent weeks, contributing to the overall sentiment recovery [11][16] 2. Factor Name: RSI - **Factor Construction Idea**: Reflects the relative strength of buying vs. selling pressure over a specific period [24] - **Factor Construction Process**: 1. Compute average gains and losses over \( N \) days [24] 2. Use the RSI formula to calculate the index value [24] - **Factor Evaluation**: RSI values above 50 indicate strong buying pressure, with recent results favoring growth and small-cap styles [24][27] --- Factor Backtesting Results 1. Price-Volume Consistency - Recent Score: Increased to 1 as of May 9, 2025, indicating improved alignment between price and volume [12] 2. RSI - Growth/Value RSI: Growth-dominant with short-term RSI of 57.91 [27] - Small/Large Cap RSI: Small-cap dominant with short-term RSI of 59.84 [27]

Group 1 - The core viewpoint of the article indicates that market sentiment is recovering, with a model perspective leaning towards bullishness as the sentiment index rose to 0.8 as of April 30, following a continuous upward trend for eight trading days since the low on April 18 [2][3] - The A-share market continues to show signs of sentiment recovery, with notable improvements in the main buying power indicator and price-volume consistency indicator, both of which have increased scores compared to the previous week [3][4] - The model suggests that sectors such as beauty care, public utilities, banking, and oil and petrochemicals have short-term bullish signals, while most other sectors, including real estate, retail, and construction decoration, have seen significant declines in short-term scores [13][14] Group 2 - The model indicates that the overall market continues to favor large-cap and value styles, although there is a short-term strengthening trend in growth and small-cap styles [15][16] - The main funds have seen a net outflow from the Sci-Tech Innovation Board, with a cumulative net outflow exceeding 2.72 billion RMB over three trading days, indicating a shift in investment focus [8][10] - The recent trading volume for the entire A-share market was approximately 1.2 trillion RMB on Wednesday, showing stability compared to the previous week [5]