电力设备指数趋势跟踪模型效果点评

• Model Name: Electricity Equipment Index Trend Tracking Model[2] - Model Construction Idea: The model assumes that the price trend of the target has good local continuity, and the target price is always in a certain trend. The duration of the reversal trend is significantly shorter than the trend continuation time. If there is a narrow range consolidation, it is assumed to continue the previous trend[3] - Model Construction Process: - Calculate the difference (del) between the closing price on day T and the closing price on day T-20 - Calculate the volatility (Vol) from day T-20 to day T (excluding) - If the absolute value of del is greater than N times Vol, it is considered that the current price has deviated from the original oscillation range and formed a trend. The trend direction corresponds to the positive or negative of del. If it is less than or equal to N times Vol, it is considered that the current trend continues, and the trend direction is the same as day T-1 - Considering the more intense fluctuations in the stock market compared to the bond market, small wave opportunities are more frequent, so N=1 is used for tracking - The return of both long and short directions of electricity equipment is considered, and the combined result is used as the final evaluation basis[3] - Model Evaluation: The model is not suitable for direct use on the Shenwan First-Level Electricity Equipment Index due to long periods of drawdown and inability to achieve good cumulative returns during certain periods[4] Model Backtest Results - Annualized Return: 13.52%[3] - Annualized Volatility: 29.91%[3] - Sharpe Ratio: 0.45[3] - Maximum Drawdown: 27.32%[3] - Total Return Rate of the Index During the Period: -22.56%[3]