量化周报 趋势未受到破坏 2025 年 10 月 12 日 ➢ 择时观点：趋势未受到破坏。当下流动性处于下行趋势，分歧度继续扩大， 景气度保持稳中有升，三维择时框架保持震荡下跌判断。从技术形态来看，沪深 300 快速突破中继吸筹平台后第一次遇到较大幅度回调，但回调未破坏上升需求 线，未来需要关注价格是否突破需求线以及下方关键水平线，目前来看上涨趋势 未受到破坏。 ➢ 指数监测：创新药大幅流入。近 1 周创新药、人工智能、电网设备主题、有 色矿业、中证有色等大幅流入。近 1 周中小 100、CS 长三角、上证 380、港股 通互联网、计算机指数份额流出最多。我们在报告《ETF 的聚类优选与热点趋势 策略构建》中构建了 ETF 的热点趋势策略，本周策略中主要包括半导体、有色、 国企改革、电池、碳中和等行业、以及成长风格等 ETF。 ➢ 资金共振：推荐电力设备及新能源、国防军工、有色金属。我们监控两融与 大单资金的共振情绪，选择两类资金都看好的行业。两融资金流上周在电力设备 及新能源中净流入最多，净流入 39.77 亿元；大单资金上周在电力及公用事业中 净流入最多，净流入 12.62 亿元。根据融资融券净流入与主动 ...

Quantitative Models and Construction - **Model Name**: Three-dimensional Timing Framework **Construction Idea**: Combines liquidity, divergence, and prosperity metrics to assess market timing and trends[7][14][19] **Construction Process**: 1. Define liquidity index, divergence index, and prosperity index 2. Combine these metrics into a three-dimensional framework to evaluate market conditions 3. Historical performance analysis shows its effectiveness in predicting market trends[7][14][19] **Evaluation**: Provides a comprehensive view of market timing by integrating multiple dimensions[7][14][19] - **Model Name**: ETF Hotspot Trend Strategy **Construction Idea**: Identifies ETFs with strong short-term market attention and constructs a risk-parity portfolio[30][31] **Construction Process**: 1. Select ETFs with simultaneous upward trends in highest and lowest prices 2. Use regression coefficients of the past 20 days to construct support-resistance factors 3. Choose top 10 ETFs with the highest turnover rates in the past 5 and 20 days 4. Build a risk-parity portfolio based on these ETFs[30][31] **Evaluation**: Effectively captures short-term market hotspots and enhances portfolio stability[30][31] - **Model Name**: Capital Flow Resonance Strategy **Construction Idea**: Combines financing and large-order capital flows to identify industries with strong resonance effects[33][35][38] **Construction Process**: 1. Define financing factor: Neutralize market capitalization and calculate the 50-day average of financing net buy minus net sell 2. Define large-order factor: Neutralize industry transaction volume and calculate the 10-day average of net inflows 3. Combine the two factors, excluding extreme industries and large financial sectors 4. Backtest results show annualized excess return of 13.5% and IR of 1.7 since 2018[33][35][38] **Evaluation**: Improves strategy stability by combining complementary factors[33][35][38] Model Backtesting Results - **Three-dimensional Timing Framework**: Historical performance demonstrates its ability to predict market trends effectively[14][19] - **ETF Hotspot Trend Strategy**: Weekly portfolio includes ETFs such as Hong Kong non-bank finance and communication equipment, showing strong market attention[30][31] - **Capital Flow Resonance Strategy**: Achieved absolute return of 0.3% and excess return of -1.7% last week[35][38] Quantitative Factors and Construction - **Factor Name**: Momentum **Construction Idea**: Measures stock price trends over a specific period[41][43] **Construction Process**: 1. Calculate 1-year minus 1-month return (mom_1y_1m) 2. Rank stocks based on momentum scores and construct portfolios[41][43] **Evaluation**: High-momentum stocks significantly outperform low-momentum stocks[41][43] - **Factor Name**: Liquidity **Construction Idea**: Evaluates stock liquidity and its impact on returns[41][43] **Construction Process**: 1. Define liquidity factor (liquidity) 2. Rank stocks based on liquidity scores and construct portfolios[41][43] **Evaluation**: High-liquidity stocks outperform low-liquidity stocks[41][43] - **Factor Name**: Value **Construction Idea**: Assesses stock valuation levels[41][43] **Construction Process**: 1. Define value factor (value) 2. Rank stocks based on valuation scores and construct portfolios[41][43] **Evaluation**: Low-valuation stocks underperform high-valuation stocks recently[41][43] - **Factor Name**: Alpha Factors (e.g., yoy_accpayable, yoy_or_q, cur_liab_yoy) **Construction Idea**: Measures financial metrics such as growth rates and profitability[45][47][49] **Construction Process**: 1. Calculate metrics like accounts payable growth (yoy_accpayable), quarterly revenue growth (yoy_or_q), and current liabilities growth (cur_liab_yoy) 2. Neutralize market capitalization and industry effects 3. Rank stocks based on factor scores and construct portfolios[45][47][49] **Evaluation**: Factors show strong excess returns, especially in large-cap stocks[45][47][49] Factor Backtesting Results - **Momentum Factor**: Weekly excess return of +2.05%[41][43] - **Liquidity Factor**: Weekly excess return of +3.38%[41][43] - **Value Factor**: Weekly excess return of -2.41%[41][43] - **Alpha Factors**: - yoy_accpayable: Weekly excess return of +3.51%[45][47] - yoy_or_q: Weekly excess return of +3.49%[45][47] - cur_liab_yoy: Weekly excess return of +3.37%[45][47] - roe_q_delta_adv: Weekly excess return of +2.80%[45][49]