轻工制造指数偏离修复模型效果点评

Model Overview - The model assumes that the price movements of the target relative to the reference benchmark exhibit repeated cycles of deviation and regression, with a limit to the degree of deviation, but without requiring a clear periodicity for each cycle [5] - The target for the model is the Shenwan Level 1 Light Industry Manufacturing Index relative to the CSI 300 Index [5] - Data preprocessing rules for the target include normalization [5] Strategy Evaluation - The total return of the strategy during the tracking period is -2.39%, while the buy-and-hold return for the target is -5.28%, resulting in an excess return of 2.89% [6] - The maximum drawdown recorded is 41.48%, with the longest drawdown period lasting 1179 trading days [6] - The model's net value experienced a significant increase during the mid-tracking period, followed by a prolonged period of stability, ultimately declining below the initial value [6] Model Applicability - The strategy's applicability to the Light Industry Manufacturing Index is considered limited, as the final drawdown is significantly large and the overall excess performance of the model is poor [6] - The model's effectiveness is primarily based on statistical backtesting, which may not hold in future market conditions [6]