20260224 399006 Market Data Review Report (Based on Wyckoff Volume-Price Perspective)

Quantitative Analysis Report: 399006 (ChiNext Index)

Product Code: 399006
Analysis Date Range: 2025-12-26 to 2026-02-24
Report Generation Date: 2026-02-24

1. Trend Analysis and Market Phase Identification

As of 2026-02-24, the underlying 399006 opened at 3331.79, closed at 3308.26. The 5-day moving average is 3308.41, the 10-day MA is 3293.93, the 20-day MA is 3308.24. The daily change is 0.99%, weekly change 0.99%, monthly change -1.14%, quarterly change 3.28%, yearly change 3.28%.

• • Moving Average Alignment and Crossover Signals:
  • • Current Alignment: As of 2026-02-24, the closing price of 3308.26 is above all key moving averages (MA_5D: 3308.41, MA_10D: 3293.93, MA_20D: 3308.24, MA_30D: 3317.56, MA_60D: 3221.08). The price is closely aligned with the 5-day and 20-day MAs, slightly above the 10-day and 30-day MAs, indicating a neutral-to-strong consolidation pattern for the short-term trend. The medium-to-long-term moving averages (MA_20D > MA_30D > MA_60D) remain in a bullish alignment, suggesting the long-term uptrend structure remains intact.
  • • Crossover Signals: During the analysis period, the MA_5D crossed below the MA_20D from 2026-02-02 to 02-06, forming a short-term death cross, coinciding with the price correction from the 3398 high to the 3199 low. Currently, the MA_5D has turned upward and shows signs of crossing back above the MA_20D (difference only 0.17 points), hinting that the short-term downward momentum is exhausted and the market is entering a consolidation and recovery phase.
• • Price Action and Market Phase:
  • • Phase Division:
    1. 1. Accelerated Rally and High-Level Consolidation (2025-12-26 to 2026-01-12): Price rose rapidly from 3243 to 3388, accompanied by heavy volume (details in Part 2), consistent with the characteristics of the Markup phase in Wyckoff Theory.
    2. 2. Distribution and Pullback (2026-01-13 to 2026-02-06): After hitting a cycle high of 3398.05, the price showed heavy volume stagnation (01-13: volume surge with -1.96% change) followed by declining volume and price, eventually testing the 3199.14 low. This phase exhibited classic Distribution characteristics, where large investors transfer holdings to retail investors at highs.
    3. 3. Rebound and Test (2026-02-09 to Present): Price rebounded from the 3199 low to 3308, but the rebound lacked significant volume expansion (VOLUME_AVG_7D_RATIO remained below 1 for multiple days). The price is currently encountering resistance near the previous high-volume trading zone of 3300-3350. This is in the Secondary Test or consolidation and recovery phase following distribution, aiming to test whether supply is exhausted and if demand can regain dominance.

2. Volume-Price Relationship and Supply-Demand Dynamics

As of 2026-02-24, the underlying 399006 opened at 3331.79, closed at 3308.26. The trading volume was 22,806,548,900, with a daily change of 0.99%. The 7-day average volume is 22,850,036,805.00, with a 7-day volume ratio of 1.00.

• • Key Volume-Price Day Analysis:
  • • Demand Dominance (High Volume Rally):
    • • 2026-01-05: Price surged 2.85% on a volume of 27.19 billion, which was 1.32 times the 7-day average (VOLUME_AVG_7D_RATIO), signaling the start of a new rally.
    • • 2026-01-12: Price rose 1.82% on a volume of 42.11 billion (7th highest in the past decade), with a 7-day average volume ratio of 1.55. This was the climax of this rally, accompanied by extreme demand inflow.
  • • Supply Dominance (High Volume Stagnation/Decline):
    • • 2026-01-13: Price fell -1.96% on a massive volume of 43.38 billion (5th highest in the past decade), with VOLUME_AVG_14D_RATIO at 1.73 (13th highest in the past decade). This is the most typical distribution day, where heavy volume decline indicates overwhelming supply.
    • • 2026-01-14: Price rebounded 0.82%, but volume further expanded to 45.75 billion (4th highest in the past decade), with VOLUME_AVG_21D_RATIO reaching 1.88 (10th highest in the past decade). This day showed continued expansion of supply; despite the closing gain, the enormous volume indicates intense high-level turnover and strong selling pressure.
  • • Insufficient Demand (Low Volume Rebound):
    • • Rebound from 2026-02-12 to present: Price rebounded from 3276 to 3308, but the volume ratios to 7-day and 14-day averages (VOLUME_AVG_7D/14D_RATIO) were generally between 0.8-1.0, indicating the rebound lacks incremental capital support and weak demand.
  • • Panic Selling (High Volume Plunge):
    • • 2026-02-02: Price plunged -2.46% on a volume of 24.59 billion, with a VOLUME_AVG_7D_RATIO of 0.86. Although the absolute volume did not reach a new high, combined with the price breaking below key support, this can be viewed as a minor wave of Panic Selling, marking the end of the distribution phase.
• • Supply-Demand Shift: Data clearly shows a fundamental reversal in the supply-demand relationship on 2026-01-13. Prior to this, demand dominated the rally; afterward, supply dominated the correction. The current rebound, due to weak volume, indicates that while supply has diminished, demand has not effectively returned.

3. Volatility and Market Sentiment

As of 2026-02-24, the underlying 399006 opened at 3331.79. The 7-day intraday volatility is 0.18, with a 7-day intraday volatility volume ratio of 0.78. The 7-day historical volatility is 0.31, with a 7-day historical volatility volume ratio of 1.05. The RSI is 51.38.

• • Volatility Levels and Changes:
  • • High Volatility: During the distribution phase in early-mid January, volatility significantly expanded. For example, on 2026-01-20, PARKINSON_VOL_7D reached 0.2866 and HIS_VOLA_7D reached 0.2657, both recent highs. HIS_VOLA_RATIO_7D_21D exceeded 1.2 multiple times in late January and early February, showing short-term volatility far exceeding medium-term levels, reflecting heightened market tension and significant divergence.
  • • Volatility Contraction: Recently (2026-02-24), PARKINSON_VOL_7D has dropped to 0.1796, and HIS_VOLA_RATIO_7D_14D is 1.05. Volatility has contracted significantly from its highs, indicating market sentiment shifting from panic to观望和犹豫 (watching and hesitation).
• • Overbought/Oversold Status:
  • • RSI_14 reached 66.96 on 2026-01-12, entering a short-term overbought zone, then declined following a bearish divergence with the price top.
  • • The current RSI_14 is 51.38, in the neutral zone, showing neither overbought nor oversold pressure. The sentiment indicator provides no clear directional guidance.

4. Relative Strength and Momentum Performance

• • Periodic Returns:
  • • Short-term (MTD): -1.14%, indicating weak momentum, consistent with the market being in a corrective recovery phase.
  • • Medium-term (QTD/YTD): +3.28% and +3.28% respectively, showing positive year-to-date returns, indicating the medium-term upward momentum has not been completely reversed.
  • • Long-term (TTM_36): +36.20%, confirming the long-term uptrend remains intact.
• • Momentum Validation: Medium-term momentum remains positive, but short-term momentum has weakened, aligning with the phase assessment of "long-term trend up, medium-term entering adjustment, short-term consolidation".

5. Large Investor ("Smart Money") Behavior Identification

• • Distribution Behavior Confirmation:
  • • Timing: Concentrated from 2026-01-13 to 01-15.
  • • Evidence: Around the 3398 high area, record-high volume transactions for the past decade occurred (historical rankings 4th, 5th, 7th), accompanied by price stagnation or decline. VOLUME_AVG_14/21/30D_RATIO metrics also reached high historical rankings for the past decade (10th, 11th, 13th, 15th, 17th). This aligns with the classic Wyckoff characteristic of "professional capital quietly distributing while the public buys fervently".
• • Current Behavior Inference:
  • • Near the panic low in early February (3199), there was no comparable high-volume absorption, suggesting smart money did not aggressively accumulate.
  • • The recent low-volume rebound to the 3300-3350 resistance zone suggests smart money may be conducting a secondary test, observing whether selling pressure (supply) in this area has diminished and the strength of follow-up buying (demand), preparing for the next move. Currently, follow-up buying appears insufficient.

6. Support/Resistance Level Analysis and Trading Signals

• • Key Price Levels:
  • • Resistance Levels:
    1. 1. Major Resistance: 3398.05 (2026-01-12 high, start of distribution).
    2. 2. Near-term Resistance: 3350-3360 zone (2026-02-09, 10 rebound highs, and lower boundary of the late-January high-volume trading zone).
  • • Support Levels:
    1. 1. Major Support: 3199.14 (2026-02-06 pullback low, panic selling level).
    2. 2. Near-term Support: 3275-3285 zone (2026-02-13 low and recent consolidation platform lower boundary).
• • Comprehensive Wyckoff Events and Trading Signals:
  • • Current Phase Judgment: The market is in the secondary test and consolidation recovery period following the distribution phase. The long-term trend is upward, but the medium-term faces supply pressure, and the short-term lacks direction.
  • • Trading Signal: Watch, or cautiously bearish bias.
  • • Operational Suggestions:
    1. 1. Long Strategy: Patience is advised. A valid entry signal requires waiting for the price to break through and hold above the near-term resistance zone of 3350-3360 on expanded volume (VOLUME_AVG_7D_RATIO > 1.2), signifying demand regaining dominance and overcoming supply in the distribution area. Initial stop-loss can be set below 3275.
    2. 2. Short Strategy: The risk-reward ratio is unfavorable in the current area. If the price shows another low-volume rebound or high-volume stagnation near the 3350-3360 resistance zone, it could be considered an opportunity for selling on strength, with a target towards 3275 and a stop-loss above 3398.
  • • Future Validation Points:
    1. 1. Bullish Validation: Price breaks through 3360 with volume, and pullbacks occur on low volume (scarce supply).
    2. 2. Bearish Validation: Price fails to hold above 3350 and breaks below the 3275 support again on high volume, confirming a continuation pattern and opening a path down to 3199.
    3. 3. Neutral Continuation: Price continues to consolidate between 3275-3350 with low volume.

Disclaimer: This report is based on historical data and quantitative model analysis and does not constitute any investment advice. Markets involve risks, and investing requires caution.

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