房地产指数趋势跟踪模型效果点评

Quantitative Model and Construction - Model Name: Real Estate Index Trend Tracking Model [2] - Model Construction Idea: The model assumes that the price movement of the target has strong local continuity and is always in a certain trend. Reversal trends are shorter in duration compared to trend continuations. In cases of narrow-range consolidation, the model assumes the continuation of the previous trend. When in a large-scale trend, given a short observation window, the movement will follow the local trend within the window. 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. The model also assumes the ability to perform both long and short operations for more rigorous evaluation of relative returns. [3] - Model Construction Process: 1. Calculate the difference del between the closing price on day T and the closing price on day T-20: $ del = P_T - P_{T-20} $ [3] 2. Calculate the volatility Vol during the period from T-20 to T (excluding T): $ Vol = \sqrt{\frac{1}{n-1} \sum_{i=1}^{n} (P_i - \bar{P})^2} $ [3] 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 or short) corresponds to the sign of del. Otherwise, the trend direction remains the same as on day T-1. [3] 4. For tracking, the parameter N is set to 1, considering the higher volatility and more frequent small-wave opportunities in the stock market compared to the bond market. [3] 5. The combined results of both long and short returns are used as the final evaluation basis. [3] - Model Evaluation: The model effectively identifies trends in the real estate index. It performs well even when the index's total return is negative, achieving high annualized returns without significant long-term drawdowns. [4] Model Backtest Results - Annualized Return: 26.03% [3] - Annualized Volatility: 30.70% [3] - Sharpe Ratio: 0.85 [3] - Maximum Drawdown: 18.18% [3] - Total Return of the Index During the Period: -27.38% [3]