石油石化指数趋势跟踪模型效果点评

Quantitative Models and Construction Methods - Model Name: Oil and Petrochemical Index Trend Tracking Model - Model Construction Idea: The model assumes that the price movement of the target has strong local continuity, where prices are always in a certain trend. Reversal periods are significantly shorter than trend continuation periods. In cases of narrow consolidation, the model assumes the continuation of the previous trend. For large-scale trends, a short observation window is used to capture the local trend. When a reversal occurs, the price change at the start and end of the observation window will exceed the range caused by random fluctuations, thus filtering out random noise[3][4] - Model Construction Process: 1. Calculate the difference between the closing price on day T and day T-20, denoted as del 2. Calculate the volatility (Vol) over the period from T-20 to T (excluding T) 3. If the absolute value of del exceeds N times Vol, the current price is considered to have broken out of the original oscillation range, forming a trend. The trend direction (long or short) corresponds to the sign of del 4. If the absolute value of del is less than or equal to N times Vol, the current trend is considered to continue, and the trend direction remains the same as on day T-1 5. For the stock market, where volatility is higher and small wave opportunities are more frequent, N is set to 1 for tracking 6. The model considers both long and short returns for the oil and petrochemical index, combining the results for final evaluation[3] - Model Evaluation: The model's net value showed a consistent downward trend, with significant drawdowns during specific periods. It is deemed unsuitable for direct application to the Shenwan Level-1 Oil and Petrochemical Index[4] Model Backtesting Results - Annualized Return: -24.35%[3] - Annualized Volatility: 19.77%[3] - Sharpe Ratio: -1.23[3] - Maximum Drawdown: 44.48%[3] - Total Return of the Index During the Period: -6.61%[3]