麦高视野：ETF观察日志(2025-05-07)

Quantitative Models and Construction Methods Model Name: RSI (Relative Strength Index) - Model Construction Idea: The RSI is used to measure the speed and change of price movements, indicating whether a market is overbought or oversold[2] - Model Construction Process: - Calculate the average gain and average loss over a specified period (12 days) - Use the formula: $ RSI = 100 - 100 / (1 + RS) $, where RS is the ratio of average gain to average loss[2] - Model Evaluation: The RSI is a widely used momentum indicator that helps identify potential reversal points in the market[2] Model Name: NETBUY (Net Purchase Amount) - Model Construction Idea: NETBUY measures the net purchase amount of an ETF, indicating the flow of funds into or out of the ETF[2] - Model Construction Process: - Use the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $, where NAV(T) is the net asset value of the ETF on day T, and R(T) is the return of the ETF on day T[2] - Model Evaluation: NETBUY provides insights into investor sentiment and the demand for the ETF[2] Model Backtest Results RSI Model - RSI values for various ETFs: - Huatai-PB CSI 300 ETF: 58.20[4] - E Fund CSI 300 ETF: 53.92[4] - Huaxia CSI 300 ETF: 57.46[4] - China Southern CSI 500 ETF: 57.79[4] - Huaxia CSI 500 ETF: 57.62[4] - E Fund CSI 500 ETF: 57.58[4] - Huaxia SSE 50 ETF: 57.35[4] - E Fund SSE 50 ETF: 67.46[4] - China Southern CSI 1000 ETF: 58.00[4] - Huaxia CSI 1000 ETF: 58.42[4] - Huatai-PB CSI 2000 ETF: 61.76[4] - China Southern CSI 2000 ETF: 61.96[4] - Huaxia CSI 2000 ETF: 65.74[4] - Huatai-PB CSI A50 ETF: 56.96[4] - China Southern CSI A50 ETF: 56.38[4] - E Fund CSI A50 ETF: 56.85[4] - Huaxia CSI A100 ETF: 58.04[4] - China Southern CSI A100 ETF: 58.89[4] - China Southern CSI A500 ETF: 59.12[4] - Huaxia SSE STAR 50 ETF: 56.80[4] - E Fund SSE STAR 50 ETF: 57.74[4] - China Southern CSI STAR 100 ETF: 57.05[4] - Huaxia CSI STAR 100 ETF: 56.04[4] - E Fund GEM ETF: 55.45[4] - Huatai-PB GEM ETF: 55.44[4] - Huaxia Hang Seng Tech ETF: 55.49[4] - Huaxia Hang Seng ETF: 60.64[4] - Huaxia HK-HS ETF: 62.03[4] - Huaxia Nomura Nikkei 225 ETF: 61.12[4] - China Southern Nasdaq 100 ETF: 57.56[4] - China Southern S&P 500 ETF: 56.56[4] - Huatai-PB Saudi Arabia ETF: 40.43[4] - China Southern DAX ETF: 70.04[4] - China Southern CAC40 ETF: 61.34[4] NETBUY Model - Net Purchase Amount values for various ETFs: - Huatai-PB CSI 300 ETF: -18.85 billion[4] - E Fund CSI 300 ETF: -3.16 billion[4] - Huaxia CSI 300 ETF: -0.98 billion[4] - China Southern CSI 500 ETF: -1.73 billion[4] - Huaxia CSI 500 ETF: -0.18 billion[4] - E Fund CSI 500 ETF: -0.01 billion[4] - Huaxia SSE 50 ETF: -17.68 billion[4] - E Fund SSE 50 ETF: -0.99 billion[4] - China Southern CSI 1000 ETF: 4.79 billion[4] - Huaxia CSI 1000 ETF: 1.26 billion[4] - Huatai-PB CSI 2000 ETF: 0.63 billion[4] - China Southern CSI 2000 ETF: 0.15 billion[4] - Huaxia CSI 2000 ETF: 0.12 billion[4] - Huatai-PB CSI A50 ETF: -0.27 billion[4] - China Southern CSI A50 ETF: -0.63 billion[4] - E Fund CSI A50 ETF: -0.11 billion[4] - Huaxia CSI A100 ETF: 0.02 billion[4] - China Southern CSI A100 ETF: 0.00 billion[4] - China Southern CSI A500 ETF: -1.71 billion[4] - Huaxia SSE STAR 50 ETF: 6.81 billion[4] - E Fund SSE STAR 50 ETF: -0.64 billion[4] - China Southern CSI STAR 100 ETF: -0.14 billion[4] - Huaxia CSI STAR 100 ETF: 0.56 billion[4] - E Fund GEM ETF: 5.36 billion[4] - Huatai-PB GEM ETF: -0.13 billion[4] - Huaxia Hang Seng Tech ETF: 0.78 billion[4] - Huaxia Hang Seng ETF: -0.44 billion[4] - Huaxia HK-HS ETF: -0.13 billion[4] - Huaxia Nomura Nikkei 225 ETF: 0.16 billion[4] - China Southern Nasdaq 100 ETF: -0.62 billion[4] - China Southern S&P 500 ETF: -0.41 billion[4] - Huatai-PB Saudi Arabia ETF: 0.00 billion[4] - China Southern DAX ETF: 0.00 billion[4] - China Southern CAC40 ETF: 0.00 billion[4]