Quantitative Models and Construction Methods - **Model Name**: Broad-based Index Heat Rotation Strategy - **Model Construction Idea**: The model uses the weekly heat change rate (MA2) of broad-based indices to construct a rotation strategy. The idea is to buy the index with the highest heat change rate at the end of each week, or stay in cash if the "Others" group has the highest rate[7][13]. - **Model Construction Process**: 1. Calculate the total heat of constituent stocks for each broad-based index (CSI 300, CSI 500, CSI 1000, CSI 2000, and "Others") by summing up their individual heat indicators[8][11]. 2. Compute the weekly heat change rate for each group and smooth it using a 2-week moving average (MA2)[11][13]. 3. 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[13]. - **Model Evaluation**: The strategy demonstrates a reasonable annualized return and manageable drawdown, indicating its potential effectiveness in capturing short-term market sentiment[16]. Model Backtesting Results - **Broad-based Index Heat Rotation Strategy**: - Annualized Return: 8.74% (since 2017)[16] - Maximum Drawdown: 23.5%[16] - 2025 YTD Return: 10.1%[16] Quantitative Factors and Construction Methods - **Factor Name**: Total Heat Indicator - **Factor Construction Idea**: The total heat indicator aggregates the attention metrics (e.g., browsing, watchlist additions, and clicks) of individual stocks, normalized as a percentage of the market total, to serve as a proxy for market sentiment[7]. - **Factor Construction Process**: 1. For each stock, calculate the sum of browsing, watchlist additions, and clicks[7]. 2. Normalize the value as a percentage of the total market activity for the same day[7]. 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 and is used as a proxy for emotional intensity in broader market or sector-level analysis[7]. - **Factor Name**: Weekly Heat Change Rate (MA2) - **Factor Construction Idea**: This factor measures the weekly change in the total heat indicator, smoothed using a 2-week moving average, to identify trends in market sentiment[11][13]. - **Factor Construction Process**: 1. Compute the weekly change rate of the total heat indicator for each stock or group[11]. 2. Apply a 2-week moving average (MA2) to smooth the weekly change rate[11][13]. - **Factor Evaluation**: The smoothed heat change rate provides a stable and actionable signal for rotation strategies and sentiment analysis[13]. Factor Backtesting Results - **Total Heat Indicator**: - Range: [0, 10,000][7] - **Weekly Heat Change Rate (MA2)**: - CSI 300: +7.76% (highest among broad-based indices for the week)[16] - "Others" Group: -3% (lowest among broad-based indices for the week)[16] - **Concept Heat TOP/BOTTOM Portfolios**: - BOTTOM Portfolio Annualized Return: 15.71%[33] - BOTTOM Portfolio Maximum Drawdown: 28.89%[33] - 2025 YTD Return for BOTTOM Portfolio: 21.1%[33]

Group 1 - The football concept sector rose by 4.44%, ranking third among concept sectors, with 27 stocks increasing in value, including Kangliyuan which hit a 20% limit up [1] - Notable gainers in the football concept sector included Yuedu Media, Gongchuang Turf, Jinling Sports, Liujin Technology, and Xinghui Entertainment, which rose by 10.07%, 9.99%, 15.31%, 11.78%, and 7.32% respectively [1][2] - The sector saw a net inflow of 402 million yuan from main funds, with 16 stocks receiving net inflows, and 8 stocks exceeding 30 million yuan in net inflow, led by Zhongti Industry with 174 million yuan [2][3] Group 2 - The top stocks by net inflow ratio included Yuedu Media at 25.40%, Kevin Education at 19.27%, and Zhongti Industry at 15.95% [3] - The football concept sector's inflow rankings showed Zhongti Industry with a 6.49% increase and a turnover rate of 12.50%, while Yuedu Media had a 10.07% increase with a turnover rate of 7.70% [3][4] - Other notable stocks in the sector included Kangliyuan with a 20% increase and a turnover rate of 59.52%, and Xinghui Entertainment with a 7.32% increase and a turnover rate of 15.86% [3][4]

Group 1 - The core viewpoint of the news is that the China-South Korea Free Trade Zone concept has experienced a significant decline, with a drop of 3.07%, placing it among the top losers in the concept sector [1][2] - Within the China-South Korea Free Trade Zone concept, stocks such as Lianyungang and *ST Jinguang hit the daily limit down, while Qingdao King, Qingdao Port, and Rizhao Port saw notable declines [1][2] Group 2 - The China-South Korea Free Trade Zone concept faced a net outflow of 454 million yuan from major funds today, with 13 stocks experiencing net outflows, and 6 stocks seeing outflows exceeding 10 million yuan [2] - The stock with the highest net outflow was Qingdao King, which saw a net outflow of 260 million yuan, followed by Lianyungang and Rizhao Port with net outflows of 115 million yuan and 29 million yuan, respectively [2]

Group 1 - The core viewpoint of the news is that the military equipment restructuring concept has seen a significant increase, with a rise of 3.43%, ranking sixth among concept sectors [1][2] - Within the military equipment restructuring sector, seven stocks experienced gains, with Zhongguangxue hitting the daily limit, and other notable performers including Jianshe Industrial, Dong'an Power, and Hunan Tianyan, which rose by 5.39%, 2.54%, and 2.51% respectively [1][2] Group 2 - The military equipment restructuring sector attracted a net inflow of 152 million yuan from main funds today, with five stocks receiving net inflows [2][3] - Zhongguangxue led the net inflow with 63.15 million yuan, followed by Jianshe Industrial, Chang'an Automobile, and Changcheng Military Industry, which saw net inflows of 45.55 million yuan, 32.11 million yuan, and 11.35 million yuan respectively [2][3] - In terms of fund inflow ratios, Zhongguangxue, Jianshe Industrial, and Changcheng Military Industry had the highest net inflow rates at 28.81%, 7.91%, and 7.22% respectively [3]

4月29日，沪指震荡，A股全天成交额1.04万亿元；收盘上涨个股超3500只，其中收盘股价涨停的有76股。 行业方面，美容护理、塑料制品、化学制品、汽车零部件等行业涨超2%。PEEK材料、染料、减速器、人形 机器人等概念涨幅居前。 19股收盘价创历史新高 不含近一年上市的次新股，今日共有19股收盘价创历史新高。从行业属性来看，食品饮料、汽车、美容护理 行业股价创历史新高的个股较为集中，均有3股出现在名单中。 收盘价创历史新高股中，今日股价平均上涨7.43%，涨停的有新瀚新材（301076）、中旗新材（001212） 等，涨幅居前的有雷迪克（300652）、联合化学（301209）、唯科科技（301196）等。 | | | 4月29日收盘价创历史新高股涨幅排名 | | | | --- | --- | --- | --- | --- | | 代码 | 简称 | 收盘价 | 日涨幅 | 行业 | | | | (元) | (%) | | | 301076 | 新潮新材 | 41.17 | 19.99 | 基础化工 | | 300652 | 雷迪克 | 73.97 | 18.54 | 汽车 | | 301209 | 联 ...

Group 1 - The PEEK materials concept saw a significant increase of 5.60%, leading the sector in gains, with 25 stocks rising, including notable performers like Juxailong and Xinhang New Materials, which hit the 20% limit up [1] - The top gainers in the PEEK materials sector included Zhongxin Fluorine Materials with a limit up, and other stocks like Fuheng New Materials and Zhongyan Co., which rose by 15.07%, 9.55%, and 7.92% respectively [1] - Conversely, the stocks that experienced the largest declines included China General Nuclear Power Technology, Shuanglin Co., and Brothers Technology, which fell by 2.96%, 0.92%, and 0.21% respectively [1] Group 2 - The PEEK materials sector attracted a net inflow of 400 million yuan from main funds, with 19 stocks receiving net inflows, and 5 stocks seeing inflows exceeding 30 million yuan [1] - Zhongxin Fluorine Materials led the net inflow with 171 million yuan, followed by Water Co., Xinhang New Materials, and Juxailong with net inflows of 159 million yuan, 129 million yuan, and 52.82 million yuan respectively [1] - The top three stocks by net inflow ratio were Zhongxin Fluorine Materials at 23.56%, Juxailong at 19.87%, and Water Co. at 17.38% [2]

Group 1 - The noise control concept sector increased by 2.20%, ranking 6th among concept sectors, with 14 stocks rising, including Del's shares, Xiangyuan New Materials, and Evergrande High-tech, which rose by 8.52%, 6.97%, and 4.24% respectively [1][2] - The main capital inflow into the noise control concept sector was 4.93 million yuan, with Del's shares receiving the highest net inflow of 15.91 million yuan, followed by Tiansheng New Materials, Weiye Shares, and Guochuang High-tech [2][3] - The net inflow ratios for Weiye Shares, Tiansheng New Materials, and Guochuang High-tech were 11.62%, 9.31%, and 8.07% respectively, indicating strong investor interest in these stocks [3] Group 2 - The noise control concept sector had a total of 14 stocks with varying performance, with some stocks like Longhua Technology, Xinlaifu, and Kairun Shares showing declines of 1.46%, 1.23%, and 0.09% respectively [1][2] - The trading volume and turnover rates for the top stocks in the noise control sector were notable, with Del's shares having a turnover rate of 8.33% and Tiansheng New Materials at 8.18% [3] - The overall market sentiment reflected a mixed performance across various sectors, with some sectors like PEEK materials and dyes showing positive gains while others like supercritical power generation and shipping concepts faced declines [2]

Market Performance - The controllable nuclear fusion concept sector declined by 0.87%, ranking among the top losers in the concept sector, with *ST Lihang hitting the limit down [1] - Among the stocks in this sector, 27 stocks saw price increases, with Xinhongye, Yingliu Co., and HuoDuan Intelligent leading the gains at 6.83%, 3.70%, and 3.20% respectively [1] Capital Flow - The controllable nuclear fusion concept sector experienced a net outflow of 277 million yuan, with 35 stocks seeing net outflows, and 16 stocks with outflows exceeding 10 million yuan [1] - The stock with the highest net outflow was XueRen Co., with a net outflow of 47.1 million yuan, followed by LanShi Heavy Industry, China Energy Construction, and China Nuclear Power with net outflows of 40.3 million yuan, 36.3 million yuan, and 32.4 million yuan respectively [1] Top Gainers and Losers - The top gainers in the controllable nuclear fusion concept sector included Shanghai Electric, HaiLu Heavy Industry, and Yingliu Co., with net inflows of 50.2 million yuan, 31.7 million yuan, and 28.6 million yuan respectively [1][3] - The top losers included XueRen Co. (-3.24%), LanShi Heavy Industry (-5.64%), and China Energy Construction (-0.45%) [2][3]