轻工制造指数趋势跟踪模型效果点评

Quantitative Models and Construction Methods - Model Name: Light Industry Manufacturing Index Trend Tracking Model 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 shorter in duration compared to trend continuation. In cases of narrow-range consolidation, the model assumes the continuation of the previous trend. When observing a large-scale trend, the price movement within a short observation window will extend the local trend. Reversals are identified when price changes at the start and end of the observation window exceed the range caused by random fluctuations, eliminating the impact of randomness[3][4] Model Construction Process: - Calculate the difference del between the closing price on day T and day T-20 - Compute the volatility Vol for the period from day T-20 to day T (excluding day T) - 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 corresponds to the sign of del. If not, the trend direction is assumed to continue as per day T-1 - For stock markets with higher volatility, N is set to 1 for tracking - Combine the returns from both long and short directions to evaluate the strategy's overall performance 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][4] Model Evaluation: The model achieved high returns during the tracking period but experienced significant drawdowns in the early and middle stages. It is not suitable for direct application to the Light Industry Manufacturing Index[4] Model Backtesting Results - Light Industry Manufacturing Index Trend Tracking Model: - Annualized Return: 17.68%[3] - Annualized Volatility: 24.10%[3] - Sharpe Ratio: 0.73[3] - Maximum Drawdown: 24.90%[3] - Total Return of Index During Period: -16.46%[3]