PACIFIC SECURITIES(SH:601099) Tai Ping Yang Zheng Quan·2025-06-09 14:44Quantitative Model and Construction Model Name: Relative Index Trend Tracking Model for Social Services - 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 trends are shorter in duration compared to trend continuations. In cases of narrow-range consolidation, the model assumes the continuation of the previous trend. For large-scale trends, given a short observation window, the movement will follow the local trend within the window. When a reversal occurs, the price change at the start and end of the observation window will significantly exceed the range caused by random fluctuations, thus eliminating the impact of randomness[3] - Model Construction Process: 1. Calculate the difference between the closing price on day T and the closing price on 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/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 to continue the previous trend direction (same as T-1) 5. For tracking, N is set to 1, considering the higher volatility of the stock market compared to the bond market, which provides more short-term opportunities 6. The model evaluates the combined results of long and short returns for the social services sector relative to the CSI 300 index[3] - Model Evaluation: The model is not suitable for direct application to the relative value of the SW First-Level Social Services Index due to its poor cumulative return performance during most of the backtesting period. However, it showed strong performance during a short period of rapid net value growth[4] --- Model Backtesting Results Relative Index Trend Tracking Model for Social Services - Annualized Return: -2.87%[3] - Annualized Volatility: 21.22%[3] - Sharpe Ratio: -0.14[3] - Maximum Drawdown: 23.32%[3] - Total Return: -20.18%[3]