申万一级食品饮料趋势跟踪模型效果点评

Quantitative Model and Construction - Model Name: Food and Beverage Trend Tracking Model [2] - Model Construction Idea: The model assumes that the price movement of the target has strong local continuity, always following a certain trend. Reversal periods are shorter than trend continuation periods. In cases of narrow consolidation, the model assumes the continuation of the previous trend. When observing a major trend, a short observation window is used to track the local trend. If a reversal occurs, the price movement at the start and end of the observation window will exceed the range caused by random fluctuations, eliminating the impact of randomness. [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 day T). 3. If the absolute value of del exceeds N times Vol, the current price is considered to have exited 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 direction is assumed to continue, following the direction of day T-1. 5. For stock markets with higher volatility, N is set to 1 for tracking. 6. The combined results of long and short positions are used for final evaluation. Formula: $ del = P_{T} - P_{T-20} $ $ Vol = \sqrt{\frac{1}{20} \sum_{i=1}^{20} (P_{T-i} - \bar{P})^2} $ where $ P_{T} $ is the closing price on day T, $ P_{T-20} $ is the closing price on day T-20, and $ \bar{P} $ is the average price over the observation period. [3] - Model Evaluation: The model is not suitable for directly tracking the Food and Beverage Index due to its inability to achieve excess returns over the tracking period. While it performed well during certain periods (e.g., June 4, 2024, to September 18, 2024), achieving historical highs, it struggled in other market conditions, especially during range-bound periods. [4] Model Backtesting Results - Annualized Return: -12.31% [3] - Annualized Volatility: 23.84% [3] - Sharpe Ratio: -0.52 [3] - Maximum Drawdown: 36.61% [3] - Total Return of Index During Period: -22.69% [3]