家用电器相对指数趋势跟踪模型效果点评

Quantitative Models and Construction Methods - Model Name: Relative Index Trend Tracking Model for Home Appliances [2] - Model Construction Idea: The model assumes that the price movement of the target has strong local continuity, always following a certain trend. Reversal periods are shorter than trend continuation periods. In cases of narrow-range consolidation, the model assumes the continuation of the previous trend. By observing a short-term window, the price movement is expected to extend the local trend. When reversals occur, the price change direction at the start and end of the observation window will exceed the range caused by random fluctuations, eliminating the impact of randomness [3] - 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) during the period from day T-20 to day T (excluding day T) 3. If the absolute value of del exceeds N times Vol, the current price is considered to have exited the original oscillation range and formed a trend. The trend direction (long/short) corresponds to the sign of del. If the absolute value of del is less than or equal to N times Vol, the current movement is considered to continue the previous trend direction (same as day T-1) 4. For tracking, N is set to 1, considering the higher volatility of the stock market compared to the bond market, which provides more small-wave opportunities 5. The model evaluates returns in both long and short directions for home appliances and combines the results for final assessment Formula: $\text{If } |del| > N \cdot Vol, \text{trend direction} = \text{sign}(del)$ $\text{Else, trend direction} = \text{trend direction of } T-1$ [3] - Model Evaluation: The model is not suitable for direct application to the relative value of the SW First-Level Home Appliances Index due to prolonged periods of drawdown and lower annualized returns compared to the index's total return rate during the tracking period [4] Model Backtesting Results - Annualized Return: -4.09% [3] - Annualized Volatility: 14.89% [3] - Sharpe Ratio: -0.27 [3] - Maximum Drawdown: 18.49% [3] - Total Return Rate of Index During Period: 28.86% [3]