汽车指数趋势跟踪模型效果点评

Investment Rating - The industry is rated as "Positive," expecting an overall return exceeding the CSI 300 Index by more than 5% in the next six months [9]. Core Insights - The model assumes that the price trends of the underlying assets exhibit strong local continuity, with trend reversals occurring less frequently than trend continuations. It also posits that narrow consolidations will follow the previous trend [3]. - The model's annualized return is 6.26%, with a volatility of 25.15%, a Sharpe ratio of 0.25, and a maximum drawdown of 32.95% [3]. - The evaluation period for the model is from March 7, 2023, to March 18, 2025, focusing on the Shenwan Level 1 Automobile Index [3][4]. Summary by Sections Model Overview - The model is designed to track the Shenwan Level 1 Automobile Index, utilizing a specific algorithm to determine price trends based on the difference between closing prices over a set period [3]. - The model signals are based on both long and short positions, with a focus on capturing price movements that exceed a defined volatility threshold [3]. Performance Evaluation - The model showed stable performance from March 7, 2023, to July 26, 2023, but experienced a drawdown from August 28, 2023, to February 5, 2024, before reaching a new historical high [4]. - Overall, the model's net value has been on a downward trend for a significant portion of the evaluation period, indicating that it may not be suitable for direct application to the Shenwan Level 1 Automobile Index [4].