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东方财富证券-策略专题：行业拥挤度在行业轮动中的应用-230606
【策略观点】 行业拥挤度对 A 股的行业板块走势有着相当大的影响。其中持仓拥挤度主要影响板块的中长期走势，交易拥挤度主要影响板块的短期走势。持仓拥挤的情况在历史上出现的次数相对较少，交易拥挤的情况出现次数相对较多一些。 ◆ 使用换手率和板块浮盈比例作为 2 个基础指标，构建出“交易泡沫度”指标，并设立预警规则，进行回测。结果表明，自 2010 年以来，凡是触发了交易拥挤预警的行业，之后跑输行业等权
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