交通运输指数跟踪模型效果点评

Quantitative Model and Construction - Model Name: Transportation Index 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 periods are shorter than trend continuation periods. In cases of narrow-range consolidation, the model assumes the continuation of the previous trend. When a major trend exists, given a short observation window, the movement will follow the local trend within the window. 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] - 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. If the absolute value of del is less than or equal to N times Vol, the current movement is considered to continue the previous trend direction (same as day T-1) 4. For tracking, N is set to 1, considering the higher volatility and smaller wave opportunities in the stock market compared to the bond market 5. Combine the returns from both long and short directions to evaluate the model's overall performance[3] - Model Evaluation: The model is not suitable for direct application to the Transportation Index due to its inability to achieve significant cumulative returns during the tested period. Additionally, the model's drawdown is relatively large compared to its annualized return[4] Model Backtesting Results - Annualized Return: 2.27%[3] - Annualized Volatility: 16.87%[3] - Sharpe Ratio: 0.13[3] - Maximum Drawdown: 13.66%[3] - Total Return of Index During Period: -9.74%[3]