PACIFIC SECURITIES(SH:601099) Tai Ping Yang Zheng Quan·2025-04-07 14:46Quantitative Model and Construction - Model Name: Utility Index Trend Tracking Model [3] - 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 significantly shorter than trend continuation periods. In cases of narrow-range consolidation, the model assumes the continuation of the previous trend. When observing a large-scale trend, a short observation window is used to capture 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 random noise. [4] - 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, matching the direction on day T-1. 5. For stock markets with higher volatility compared to bond markets, N is set to 1 for tracking. 6. Combine the returns from both long and short directions to evaluate the final strategy 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, and $ \bar{P} $ is the average price over the observation window. [4] - Model Evaluation: The model is not suitable for direct application to the Utility Index due to its inability to achieve significant cumulative returns and its poor adaptability during periods of continuous market fluctuations, leading to sustained drawdowns. [5] Model Backtesting Results - Annualized Return: -16.67% [4] - Annualized Volatility: 15.99% [4] - Sharpe Ratio: -1.04 [4] - Maximum Drawdown: 32.10% [4] - Total Return of Index During Period: -0.35% [4]