申万一级有色金属趋势跟踪模型效果点评

Quantitative Models and Construction Methods - Model Name: Trend Tracking Model for SW First-Level Nonferrous Metals Index Model Construction Idea: The model assumes that the price movement of the target has strong local continuity, always following a certain trend. Reversal trends are assumed to last significantly shorter than trend continuations. In cases of narrow-range consolidation, the model assumes the continuation of the previous trend. When a major trend exists, the price movement within a short observation window will likely follow the local trend. If a reversal occurs, the price change at the start and end of the observation window will exceed the range caused by random fluctuations, thus eliminating the impact of randomness[2][3]. Model Construction Process: 1. Calculate the difference between the closing price on day T and day T-20, denoted as del. 2. Calculate the volatility (Vol) from day T-20 to day T (excluding T). 3. If the absolute value of del exceeds N times Vol, it is considered that the current price has broken out of the original oscillation range and formed a trend. The trend direction (long/short) corresponds to the sign of del. 4. If the absolute value of del is less than or equal to N times Vol, the current trend is assumed to continue, and the trend direction is the same as on day T-1. 5. For the stock market, where volatility is higher and small wave opportunities are more frequent, N is set to 1 for tracking. 6. The combined results of long and short returns are used as the final evaluation basis[3]. Model Evaluation: The model is not suitable for direct application to the SW First-Level Nonferrous Metals Index, as it failed to achieve significant cumulative returns during the evaluation period and showed poor adaptability in most timeframes[4]. Model Backtesting Results - Trend Tracking Model for SW First-Level Nonferrous Metals Index: - Annualized Return: -4.71%[3] - Annualized Volatility: 24.98%[3] - Sharpe Ratio: -0.19[3] - Maximum Drawdown: 25.42%[3] - Total Return of the Index During the Period: -0.03%[3]