金融工程 证券研究报告 |深度研究报告 2026/2/25 金融工程指数量化系列—— 高值偏离修复模型（突破型双位点） 证券分析师: 刘晓锋 执业资格证书编码: S1190522090001 证券分析师: 孙弋轩 执业资格证书编码: S1190525080001 P2 目录 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 1、分档止损策略（突破型单位点） 2、分档止损策略（双位点） 3、后续展望 4、风险提示 1、分档止损策略（突破型单位点） 分档止损策略（突破型单位点）： 8、X取5-10分别进行测试。 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 1、计算单个行业指数相对沪深300收盘价cl，以及cl对应的回撤曲线W。 2、使用迭代法计算cl的有效回撤V，若无法得到V，则直接判定该行业不适合此策略。 3、选取V的最大值的80%作为阈值T（T为正数），当W值大于T时，信号值s为1（看多），当W值 为0时，信号值s为0（平仓），当W为其他值时，信号值s等于前值。 4、将每次买入点b0与前高h0之间的空间化为X等分，则每一等分的空间为s0。 5、买入后，当收盘价cl首次高于b0+2*s0时 ...

Group 1 - The main stocks with significant capital outflow include Kunlun Wanwei (-1.83 billion), Zhaoyi Innovation (-1.175 billion), and Tianfu Communication (-1.077 billion) [1] - The sectors affected by the capital outflow include Media, Electronics, and Communication, with notable declines in stock prices for companies like Kunlun Wanwei (-7.83%), Zhaoyi Innovation (-3.77%), and Tianfu Communication (-3.57%) [2][3] - Other companies experiencing substantial capital outflow include GCL-Poly Energy (-0.907 billion), BlueFocus (-0.786 billion), and Hengtong Optic-Electric (-0.761 billion) [1] Group 2 - The total capital outflow from the top 20 stocks indicates a trend of investor withdrawal from these sectors, particularly in Media and Electronics [1][2] - Companies like China Duty Free (-0.563 billion) and Guangku Technology (-0.510 billion) also show significant capital outflow, reflecting broader market concerns [3] - The overall market sentiment appears negative, with many stocks experiencing declines in both capital flow and stock price [2][3]

强化执法威慑，是维护市场秩序的重要手段。2025年以来，市场监管总局共立案调查13起违法实施经营 者集中案件，对5起案件公开作出行政处罚，罚款金额共计870万元。 从企业主体和行业类型看，6起案件涉及国有企业、4起涉及民营企业、3起涉及外资企业，业务涵盖零 售、工程和建筑施工、半导体、人力资源服务、电力电缆等领域。从裁量情节看，5起公开处罚的案件 均不具有排除、限制竞争效果，处以500万元以下罚款，1起因"自首"从轻处罚，5起因"首次违法""积极 配合调查""建立反垄断合规制度"等下调了罚款数额。 市场监管总局反垄断二司副司长胡品洁介绍，从违法情形看，主要涉及四类行为：一是经营者达到申报 标准，但未依法事前申报就实施了集中；二是集中申报后，在审查阶段，未经批准实施；三是经营者违 反附加限制性条件审查决定；四是集中虽未达到申报标准，但有证据证明集中具有或者可能具有排除、 限制竞争效果，市场监管总局已依法要求申报，但经营者未依法申报而实施集中。 "处罚不是目的，希望通过执法，督促企业依法合规经营，认真履行申报义务和附条件承诺，维护市场 公平竞争秩序。"胡品洁提示广大经营者注意3点合规要求。首先是应报尽报。集中达到 ...

A股马年首个交易日迎来普涨，多数核心指数的涨幅都在1%～2%。从2010年以来的统计数据来看，春节假期过后，A股短期实现"开门红"的概率较高。 不过，今年春节假期期间，在港股市场大热的AI大模型、机器人，以及假期数据不错的消费板块今天在A股"意外"遇冷，真正领跑的却是石化、建材、基础 化工、有色金属、煤炭、钢铁等一众"老登"资产。 券商：春季行情仍将延续 今日，A股市场呈现普涨格局，多数核心指数的涨幅都落在1%-2%的区间，其中上证指数上涨 0.87%，收于 4117.41 点，重回 4100 点上方。相比之下，科技 板块走势相对偏弱，科创50、科创100指数分别下跌0.34%、1.55%。 | 指数 | T-20 | T-10 | T-5 | T+5 | T+10 | T+20 | T+ | | --- | --- | --- | --- | --- | --- | --- | --- | | 万得全A | -1.10% | 0.41% | 1.43% | 1.77% | 2.71% | 4.06% | 4.83 | | 上证指数 | -0.86% | 0.44% | 1.01% | 1.04% | 1.6 ...

Core Viewpoint - The spring market excitement for 2026 has partially shifted to January, with a round of growth style realization before the festival, combined with regulatory easing and significant ETF outflows. It is expected that the overall index in February will mainly fluctuate, with a stronger performance anticipated after the festival. In this environment, a "structure-first, index-second" approach may be more suitable [1][8]. Group 1: Investment Focus Areas - **Technology Growth: AI + Humanoid Robots**: Focus on midstream components (gear reducers, servo motors, sensors, actuators), core materials, and some main body manufacturers. The resonance between the Spring Festival Gala and overseas world model progress may lead to a shift from "event-driven" to "scene landing" throughout the year. The computing chain includes storage chips, optical modules, PCB/IC substrates, and data center distribution and liquid cooling in power equipment, directly supporting the capital expenditure expansion of overseas cloud vendors. It is recommended to focus on large-cap leaders and some high-growth niche leaders while controlling overall valuation and position concentration to prevent short-term crowded trades and overseas volatility-induced pullbacks [2][9]. - **Cyclical Price Increases: Oil, Petrochemicals + Non-ferrous Metals + Building Materials/Chemicals**: Due to the rebound in oil prices and bulk commodity prices, marginal improvement in PPI, and the rhythm of the "14th Five-Year Plan" infrastructure commencement, it is suggested to pay attention to oil, petrochemicals, and oil and gas services. Additionally, focus on non-ferrous metals like copper and aluminum, steel building materials, and some chemical products with more sustainable price increases [3][10]. - **High Dividend Yield: Banks + Energy + Telecom/Public Utilities**: Before the festival, A-shares showed a clear preference for dividend and defensive sectors due to external disturbances and regulatory easing, with banks and food and beverage sectors being favored. After the festival, it may be beneficial to continue using high-dividend sectors like banks, energy, telecom, and public utilities as a base, which can hedge against overseas volatility and geopolitical risks while providing stable absolute returns in the context of macroeconomic stabilization and strong dividend yield and valuation attractiveness [4][11]. - **Domestic Consumption: Automotive Chain + Home Appliances + Travel Consumption**: Supported by the old-for-new policy and Spring Festival consumption data, the automotive and automotive electronics, home appliances, and white goods components benefit from the old-for-new policy and sales recovery. In the context of rising external demand and tariff uncertainties, these consumption directions, which are mainly driven by domestic demand and are policy-friendly, may exhibit both defensive and offensive characteristics [5][12].

Market Overview - The Shanghai Composite Index increased by 0.41% to close at 4082.07 points, with a weekly high of 4142.56 points [1] - The Shenzhen Component Index rose by 1.39% to 14100.19 points, reaching a peak of 14296.48 points [1] - The ChiNext Index saw a 1.22% increase, closing at 3275.96 points, with a high of 3348.48 points [1] - In the global market, the Nasdaq Composite fell by 2.1%, the Dow Jones Industrial Average decreased by 1.23%, and the S&P 500 dropped by 1.39% [1] - In the Asia-Pacific region, the Hang Seng Index rose by 0.03%, while the Nikkei 225 Index increased by 4.96% [1] New Stock Issuance - Two new stocks were issued during the week: Tongbao Optoelectronics (920168.BJ) on February 9, 2026, and Tongling Technology (920187.BJ) on February 11, 2026 [2] Margin Trading - The total margin trading balance in the Shanghai and Shenzhen markets was 25,797.58 billion yuan, with a financing balance of 25,640.12 billion yuan and a securities lending balance of 157.46 billion yuan [3] - The margin trading balance decreased by 752.4 billion yuan compared to the previous week [3] - The Shanghai market's margin trading balance was 13,113.7 billion yuan, down by 356.66 billion yuan, while the Shenzhen market's balance was 12,683.88 billion yuan, down by 395.74 billion yuan [3] - A total of 3,486 stocks had margin buying, with 184 stocks having over 1 billion yuan in buying amounts, led by Xinyi Technology (103.25 billion yuan), Zhongji Xuchuang (98.63 billion yuan), and Wangsu Science and Technology (74.22 billion yuan) [3] Fund Issuance - Seven new funds were issued during the week, including Guoshou Anbao Enhanced Return Bond E, Huafu Anhua Bond D, Dongfanghong Monetary F, Bank of China Health Life Mixed C, Huitianfu Tiantianle Double Win Bond E, Nuoan Selected Return Mixed C, and Changsheng Electronic Information Theme Mixed C [5] Share Buybacks - Eight companies announced share buybacks, with the highest amounts executed by Luxshare Precision (002475), Hengyi Petrochemical (000703), Linyang Energy (601222), Kaiying Network (002517), and Huitai Medical (688617) [7] - The industries with the highest buyback amounts were electronics, petroleum and petrochemicals, and public utilities [8]

Group 1 - European stock markets declined, with the Stoxx 600 index closing down 0.5%, driven by losses in financial services, media, and tourism sectors, while personal care and utilities outperformed the market [1] - Novo Nordisk's stock plummeted after its new weight-loss injection drug underperformed compared to a competing product from Eli Lilly in a recent trial [1] - The European Parliament's major political groups announced a suspension of legislative work to approve the US-EU trade agreement following the US Supreme Court's overturning of Trump's global tariff measures, leading to new global tariffs announced by Trump [1] Group 2 - KBC Securities' global equity head noted that the current options seem limited and less impactful, which could be beneficial for consumer stocks, but concerns remain about market participants' willingness to endure upcoming volatility from tariff news [3] - Investors are already grappling with worries over high valuations and the disruptive impact of artificial intelligence, with tariff-related news adding complexity to the market landscape [3] - Significant upcoming events include Trump's State of the Union address and Nvidia's earnings report, with potential for increased volatility in software stocks following the release of Anthropic's new model [3]

Core Insights - The report suggests adopting a "steady first, with growth in mind" approach to maintain gains in the second half of the spring market and to reserve space for future positioning [2][15] - The spring market of 2026 began on December 17, 2025, driven by favorable policies and early capital allocation, leading to a strong performance in the A-share market, with the Shanghai Composite Index achieving 17 consecutive days of gains [9][13] - The convertible bond market experienced rapid growth followed by volatility, with median prices and conversion premiums reaching historical highs, indicating a significant reduction in the safety cushion of bonds [9][10] Market Trends - Historical data from 2017 to 2025 indicates that the market typically experiences a "rise then fall" pattern from the Spring Festival to the National People's Congress (NPC) [13][14] - The report highlights that during the period from the Spring Festival to the NPC, the market is likely to see a "spring surge," with small-cap growth stocks outperforming, particularly in TMT and high-end manufacturing sectors [13][14] - As the NPC approaches, the market may shift towards defensive sectors like pharmaceuticals and utilities, with high valuations in convertible bonds facing potential compression due to stock adjustments [13][14] Investment Strategy - The report recommends a balanced investment strategy, transitioning from aggressive profit-seeking to balancing returns and risks as the market moves into the NPC and Q1 earnings preview phase [15] - It emphasizes the importance of selecting convertible bonds with solid performance and reasonable pricing, while also considering high-quality, high-priced convertible bonds with clear growth prospects [15] - The report identifies sectors such as AI computing, semiconductors, non-ferrous metals, and post-cycle industries like consumption and real estate as favorable for convertible bonds due to improving supply-demand dynamics and favorable policy catalysts [15]

| 序号 | 代码 | 名称 | 最新价 | 涨跌幅 | 今开 | 最高 | 最低 | 昨收 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 1 | 00840 | 天业节水 | 0.231 | 22.22% | 0.248 | 0.248 | 0.231 | 0.189 | | 2 | 08115 | 上海青浦消防 | 15.000 | 20.00% | 12.500 | 15.000 | 12.500 | 12.500 | | 3 | 01527 | 天洁环境 | 2.120 | 12.17% | 1.880 | 2.130 | 1.880 | 1.890 | | 4 | 00390 | 中国中铁 | 4.860 | 8.48% | 4.550 | 4.860 | 4.550 | 4.480 | | 5 | 08348 | 滨海泰达物流 | 0.420 | 7.69% | 0.420 | 0.420 | 0.420 | 0.390 | | 6 | 01057 | 浙江世宝 | 6.160 | 6.57% | 5.780 | 6.170 ...

智通财经APP获悉，根据一项调查，尽管现在才刚步入3月，但策略师们认为，本周欧洲股市创下的历 史新高已是投资者今年能盼到的最好光景。调查显示，17位策略师的预测中值认为，欧洲斯托克600指 数2026年收官时将较周三创下的630点历史收盘高点基本持平。策略师们表示，支撑该地区股市的顺风 因素大多已兑现，而对企业盈利实现两位数增长的预期似乎要求过高。 好消息是，很少有策略师预测会出现大幅下跌，因为政府支出和低利率预计将提振欧洲经济。汇丰控股 仍是最大的多头，其目标点位为670点，意味着仍有近7%的上涨空间。只有TFS Derivatives和美国银行 两家策略师认为存在10%或更大跌幅的风险。 除泡沫时期或衰退期外，这已接近历史上的最高估值水平。与此同时，市场对季度财报的期望值，尤其 是对下半年财报的期望值，已经高到了令人担忧失望情绪会出现的地步。 法国兴业银行策略师罗兰·卡洛扬表示："我们仍认为2026年实现两位数盈利增长的预期存在风险，尤其 是在下半年。这可能会将股指略微推低至当前水平以下，尤其是考虑到市场目前正以较高的估值倍数来 消化这些高预期。"他将最新的财报季定性为积极但并不突出。 花旗集团全球及欧洲 ...