钢铁相对指数趋势跟踪模型效果点评

Quantitative Model and Construction - Model Name: Relative Index Trend Tracking Model for Steel Industry - Model Construction Idea: The model assumes that the price movement of the target has strong local continuity, with prices always in a certain trend. Reversal trends are assumed to last significantly shorter than trend continuation periods. In cases of narrow consolidation, the model assumes the continuation of the previous trend. For large-scale trends, given a short observation window, the movement is expected to follow the local trend within the window. 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 price is considered to have exited 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 movement is considered a continuation of the previous trend (same direction as day T-1) 5. For the steel industry, N is set to 1 to capture smaller wave opportunities due to higher market volatility compared to bonds 6. The model tracks both long and short returns, combining them for final evaluation[3] - Model Evaluation: The model is not suitable for direct application to the relative value of the SW First-Level Steel Index. It underperformed during the tracking period, with significant downward trends in specific sub-periods. The model's annualized return was lower than the total return of the index, and it remained in a drawdown state for most of the tracking period[4] Model Backtest Results - Annualized Return: -15.42%[3] - Annualized Volatility: 15.00%[3] - Sharpe Ratio: -1.03[3] - Maximum Drawdown: 34.62%[3] - Total Return of Index During Period: -9.08%[3]