20260226 000001.SH Market Data Review Report (Based on Wyckoff Volume-Price Perspective)

Understood. In my capacity as a Wyckoff Quantitative Analyst, I will analyze the provided data for the Shanghai Composite Index (000001.SH).

Wyckoff Volume-Price Analysis Report on the Shanghai Composite Index (000001.SH)

Product Code: 000001.SH
Analysis Period: 2025-12-29 to 2026-02-26
Report Generation Time: 2026-02-26

1. Trend Analysis and Market Phase Identification

As of February 26, 2026, for the target 000001.SH: opening price 4151.07, closing price 4146.63, 5-day moving average 4122.54, 10-day MA 4110.79, 20-day MA 4113.34, daily change -0.01%, weekly change 1.58%, monthly change 0.70%, quarterly change 4.48%, year-to-date change 4.48%.

Price-Moving Average Relationship:

• • Long-Term Trend: Throughout the analysis period, the closing price has consistently remained above the 60-day moving average (MA_60D), indicating that the market's long-term upward structure remains intact.
• • Medium-to-Short-Term Trend Evolution:
  • • Upward Phase (Late December 2025 to Mid-January 2026): Starting around 3965, the price rapidly broke through all short-term moving averages (MA_5D, MA_10D, MA_20D, MA_30D), reaching a peak (4165-4190 points) between January 12-14. During this period, the moving averages formed a standard bullish alignment (price > MA5 > MA10 > MA20 > MA30), indicating a strong uptrend.
  • • Correction and Consolidation Phase (Late January to Late February 2026): The price retreated from its peak, with MA_5D and MA_10D first flattening and then crossing below MA_20D. As of February 26, although the price (4146.63) has regained its position above all short-term moving averages, MA_5D (4122.54) remains below MA_10D (4110.79). The moving average system is converging, indicating a significant weakening of medium-to-short-term upward momentum and the market entering a high-level consolidation pattern.

Market Phase Inference (Based on Wyckoff Theory):
Combining price action with subsequent volume-price analysis, after reaching the 4190 high in mid-January, the market most likely completed the "Markup" phase and entered the early stages of the "Distribution" phase. The failure to sustain upward momentum after hitting a new high and the shift to wide-range consolidation are typical characteristics of large investors exchanging positions (supply) at high levels. The current market is oscillating within the distribution range, searching for direction.

2. Volume-Price Relationship and Supply-Demand Dynamics

As of February 26, 2026, for the target 000001.SH: opening price 4151.07, closing price 4146.63, volume 65170282600, daily change -0.01%, volume 65170282600, 7-day average volume 55988826857.14, 7-day volume ratio 1.16.

Key Days and Anomalous Volume Analysis:

1. 1. Demand Climax & Distribution Signal (2026-01-12 to 2026-01-14):
   • • On January 12, the price rose 1.09% with a surge in volume (83.95B); the VOLUME_AVG_14D_RATIO reached a high of 1.466, marking a peak volume for the period. However, over the next two days (Jan 13, 14), the price turned downward (-0.64%, -0.31%) after hitting new highs, while volume remained at extreme highs (86.84B, 95.26B).
   • • Interpretation: This is a classic case of "high volume without upward momentum / decline". Record-breaking volume (historical ranking: Jan 14 volume was the 6th highest in the past decade) accompanied by the inability of the price to make new highs indicates massive supply (selling) entering the market at the peak, overwhelming demand. This is a strong "Distribution" warning signal in Wyckoff theory.
2. 2. Panic Selling (Selling Climax) & Shakeout (2026-02-02):
   • • The price plunged -2.48% with significantly expanded volume (73.30B). The HIS_VOLA_7D_14D ratio surged to 1.397 (ranking 5th in the past decade), and PARKINSON_VOL_7D rose to 0.143 (a phase high), indicating intense short-term volatility.
   • • Interpretation: This was a "high-volume plunge" driven by panic. Considering the subsequent price action, the decline quickly found support and rebounded around the 4000 level, possibly constituting a "Shakeout", i.e., washing out weak long positions in preparation for a potential subsequent rebound or test of the lower bound of the distribution range.
3. 3. Rebound Demand Test (2026-01-26 to 2026-02-26):
   • • The market rebounded from the early February lows, but overall volume showed a contracting trend. For example, on February 25, the price rebounded 0.72% with volume of 72.48B (VOLUME_AVG_14D_RATIO=1.137); on February 26, the price slightly declined with volume further dropping to 65.17B (VOLUME_AVG_14D_RATIO=1.034).
   • • Interpretation: During the rebound, volume failed to surpass the levels seen in mid-to-late January and even fell below recent averages. This indicates that demand (buying power) did not significantly strengthen during the rebound, resulting in a "low-volume rebound". The foundation for the rise is not solid; supply may be temporarily on the sidelines but has not disappeared.

Supply-Demand Conclusion: The market experienced a critical turning point from demand dominance to supply dominance in mid-January. Currently, supply demonstrates strong control in the historical high-price zone, while subsequent demand during the rebound appears weak. The supply-demand balance has tilted towards the supply side.

3. Volatility and Market Sentiment

As of February 26, 2026, for the target 000001.SH: opening price 4151.07, 7-day intraday volatility 0.08, 7-day intraday volatility volume ratio 0.62, 7-day historical volatility 0.13, 7-day historical volatility volume ratio 0.64, RSI 57.96.

Volatility Analysis:

• • Panic and Trend Acceleration: At the end of the January rally and during the early February decline, short-term historical volatility (HIS_VOLA_7D) and Parkinson volatility (PARKINSON_VOL_7D) spiked sharply. The short-term/long-term volatility ratios (e.g., HIS_VOLA_RATIO_7D_14D) reached multi-year highs (e.g., the February 9 value ranked 5th highest in the past decade), confirming extreme market sentiment and trend acceleration.
• • Volatility Contraction and Sentiment Normalization: By February 26, short-term volatility had significantly subsided. PARKINSON_RATIO_7D_14D fell to 0.623 (ranking 11th lowest in the past decade), and HIS_VOLA_RATIO_7D_14D dropped to 0.642. This indicates market sentiment has calmed from panic, and volatility is in a state of compression, which typically precedes a new directional move.

RSI Sentiment Indicator:

• • RSI_14 reached a peak of 81.40 in the overbought zone on January 12 (ranking 17th highest in the past decade), confirming extreme optimism.
• • Subsequently, RSI declined, briefly touching the oversold zone at 39.85 during the February 2 plunge but rebounded quickly without forming a bullish divergence.
• • The current RSI_14 is 57.96, in a neutral-to-strong zone, showing no clear overbought or oversold signals, which aligns with the price's high-level consolidation pattern.

4. Relative Strength and Momentum Performance

Periodic Return Analysis:

• • Short-Term Momentum (WTD): Exhibits sharp fluctuations, rapidly switching between up weeks (e.g., +2.99% for the week of Jan 5) and down weeks (e.g., -2.83% for the week of Feb 2), indicating significant market divergence and unstable trend momentum.
• • Medium-Term Momentum (MTD/QTD/YTD): As of February 26, the year-to-date (YTD) return is 4.48%. However, note that most of these gains were accumulated in early January, with February overall in a state of retracement and consolidation. Momentum has significantly weakened since peaking in January.
• • Conclusion: The target's short-term momentum has vanished, medium-term momentum has slowed, and overall relative strength is weakening.

5. Large Investor (Smart Money) Behavior Identification

Based on the above volume-price, volatility, and trend analysis, the operational intent of large investors can be inferred:

1. 1. Distribution Activity: The "extreme volume without upward momentum" that appeared in the 4160-4190 range in mid-January is clear evidence of smart money engaging in Distribution. The enormous volume implies large capital exchanging positions with retail investors chasing the high. Historical ranking data confirms the extremity of volume in this zone.
2. 2. Observation and Testing: The failure of volume to expand effectively during the post-plunge rebound in February indicates that smart money is not conducting large-scale "secondary accumulation" at these levels. They are more likely observing or using the oscillation to adjust their portfolio structure. The high-volume decline on February 2 can be interpreted as a Test of the lower support (around 4000), triggering panic selling.
3. 3. Current Intent: As the price rebounds to the lower edge of the prior distribution range (4140-4160), the contracting volume suggests smart money lacks the will to break out upward. They may be using the consolidation to complete the remaining distribution or waiting for clearer fundamental signals.

6. Support/Resistance Level Analysis and Trading Signals

Key Price Levels:

• • Primary Distribution Zone / Strong Resistance Zone: 4160 - 4190 points. Formed by the historically high-volume transactions on January 12-14, this is the upper bound of the supply-dominated zone, presenting heavy pressure.
• • Secondary Resistance / Consolidation Pivot: 4100 - 4120 points. This area has repeatedly acted as resistance on rebounds or support on pullbacks recently, representing a short-term balance zone.
• • Key Support Zone: 4000 - 4020 points. Formed by the panic-selling low on February 2 (4015.75) and the subsequent rebound starting point, this is a crucial support level for the phase.
• • Ultimate Support: 3950 - 3960 points (60-day MA and the starting point of the late-December rally).

Comprehensive Trading Signals and Operational Recommendations:

• • Market State Judgment: Cautiously Bearish. The market is in a high-level consolidation following distribution, with supply-demand dynamics favoring supply. Smart money shows no intent to be long, and volatility compression suggests an impending breakout.
• • Core Operational Logic: Sell/short at resistance zones, or remain on the sidelines awaiting directional confirmation.
• • Specific Recommendations:
  1. 1. Aggressive Strategy (Bearish):
     • • Entry Zone: Price rebounds into the 4160-4180 range and shows signs of upward exhaustion on 30-minute or hourly charts (e.g., long upper shadows, small real bodies).
     • • Stop Loss: Set above 4190, i.e., above the peak of the distribution zone.
     • • Targets: First target 4100, second target 4020.
  2. 2. Conservative Strategy (Observation):
     • • The current price (4146) is in a neutral zone; observation is recommended.
     • • Bullish Confirmation Point: Price needs to break above 4190 with significant volume (clearly exceeding recent average) and hold above it to invalidate the distribution hypothesis and turn bullish.
     • • Bearish Confirmation Point: Price breaks below 4100 with significant volume and further breaches the 4020 support, confirming the start of a downtrend, allowing for trend-following shorts.
  3. 3. Existing Positions: It is recommended to reduce or hedge long positions in the 4160-4180 zone.

Conclusion: After a strong January rally, the Shanghai Composite Index displayed clear signs of smart money distribution at historical high levels. The current market is in a low-volume consolidation pattern with volatility compressed to low levels. In the absence of fresh demand (manifested as high-volume advances), the probability of the market breaking down through support and reverting to the mean (e.g., the 60-day MA) is higher than that of a successful breakout to new highs. Investors should prioritize risk control and avoid blindly chasing longs below key resistance levels.

Disclaimer: This report/interpretation is solely for market analysis and research based on publicly available information and does not constitute any investment advice or operational guidance. The author strives for objectivity and fairness but makes no guarantees regarding accuracy or completeness. The market involves risks; investment requires caution. Any investment actions taken based on this report are at the investor's own risk.

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