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麦高事业：ETF观察日志(2025-06-12)
Mai Gao Zheng Quan·2025-06-13 02:51

Quantitative Models and Construction Methods Model Name: RSI (Relative Strength Index) - Construction Idea: RSI measures the magnitude of recent price changes to evaluate overbought or oversold conditions in the price of a stock or other asset[2] - Detailed Construction Process: - Calculate the average gain and average loss over a specified period (12 days) - Use the formula: $ RSI = 100 - 100 / (1 + RS) $ where RS is the average gain divided by the average loss[2] - Evaluation: RSI > 70 indicates the market is in an overbought condition, while RSI < 30 indicates the market is in an oversold condition[2] Model Name: NETBUY (Net Purchase Amount) - Construction Idea: NETBUY calculates the net purchase amount of an ETF based on its net asset value (NAV) and return[2] - Detailed Construction Process: - Use the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $ where NETBUY(T) is the net purchase amount, NAV(T) is the net asset value on day T, NAV(T-1) is the net asset value on the previous trading day, and R(T) is the return on day T[2] Model Backtesting Results - RSI Model, RSI values for various ETFs: - Huatai-PB CSI 300 ETF: 59.63[4] - E Fund CSI 300 ETF: 59.08[4] - ChinaAMC CSI 300 ETF: 59.30[4] - Harvest CSI 300 ETF: 58.93[4] - Tianhong CSI 300 ETF: 58.51[4] - Southern CSI 500 ETF: 61.53[4] - ChinaAMC CSI 500 ETF: 61.49[4] - Harvest CSI 500 ETF: 60.75[4] - E Fund CSI 500 ETF: 61.56[4] - ChinaAMC SSE 50 ETF: 52.77[4] - E Fund SSE 50 ETF: 54.31[4] - CCB SSE 50 ETF: 50.97[4] - Huatai-PB CSI 2000 ETF: 61.30[4] - Southern CSI 2000 ETF: 62.21[4] - ChinaAMC CSI 2000 ETF: 64.83[4] - Ping An CSI A50 ETF: 52.58[4] - Dacheng CSI A50 ETF: 53.33[4] - E Fund CSI A50 ETF: 53.38[4] - ChinaAMC CSI A100 ETF: 54.52[4] - GF CSI A100 ETF: 53.52[4] - Guotai CSI A500 ETF: 58.13[4] - Southern CSI A500 ETF: 58.98[4] - GF CSI A500 ETF: 58.87[4] - ChinaAMC SSE STAR 50 ETF: 40.85[4] - E Fund SSE STAR 50 ETF: 41.06[4] - ICBC SSE STAR 50 ETF: 41.47[4] - Bosera SSE STAR 100 ETF: 56.52[4] - Penghua SSE STAR 100 ETF: 56.74[4] - ChinaAMC SSE STAR 100 ETF: 57.03[4] - E Fund GEM ETF: 59.93[4] - Tianhong GEM ETF: 59.90[4] - GF GEM ETF: 60.01[4] - ChinaAMC Hang Seng Tech ETF: 54.81[4] - ChinaAMC Hang Seng ETF: 63.75[4] - ChinaAMC HK-Hang Seng ETF: 63.63[4] - Huaan Mitsubishi UFJ Nikkei 225 ETF: 63.21[4] - ChinaAMC Nomura Nikkei 225 ETF: 62.65[4] - GF Nasdaq 100 ETF: 59.68[4] - Guotai Nasdaq 100 ETF: 60.09[4] - Bosera S&P 500 ETF: 63.67[4] - Penghua Dow Jones Industrial Average ETF: 58.87[4] - Huatai-PB Southern East Asia Saudi Arabia ETF: 44.60[4] - Huaan Germany (DAX) ETF: 51.84[4] - Huaan France CAC40 ETF: 56.31[4] Quantitative Factors and Construction Methods Factor Name: RSI (Relative Strength Index) - Construction Idea: RSI measures the magnitude of recent price changes to evaluate overbought or oversold conditions in the price of a stock or other asset[2] - Detailed Construction Process: - Calculate the average gain and average loss over a specified period (12 days) - Use the formula: $ RSI = 100 - 100 / (1 + RS) $ where RS is the average gain divided by the average loss[2] - Evaluation: RSI > 70 indicates the market is in an overbought condition, while RSI < 30 indicates the market is in an oversold condition[2] Factor Name: NETBUY (Net Purchase Amount) - Construction Idea: NETBUY calculates the net purchase amount of an ETF based on its net asset value (NAV) and return[2] - Detailed Construction Process: - Use the formula: $ NETBUY(T) = NAV(T) - NAV(T-1) * (1 + R(T)) $ where NETBUY(T) is the net purchase amount, NAV(T) is the net asset value on day T, NAV(T-1) is the net asset value on the previous trading day, and R(T) is the return on day T[2] Factor Backtesting Results - RSI Factor, RSI values for various ETFs: - Huatai-PB CSI 300 ETF: 59.63[4] - E Fund CSI 300 ETF: 59.08[4] - ChinaAMC CSI 300 ETF: 59.30[4] - Harvest CSI 300 ETF: 58.93[4] - Tianhong CSI 300 ETF: 58.51[4] - Southern CSI 500 ETF: 61.53[4] - ChinaAMC CSI 500 ETF: 61.49[4] - Harvest CSI 500 ETF: 60.75[4] - E Fund CSI 500 ETF: 61.56[4] - ChinaAMC SSE 50 ETF: 52.77[4] - E Fund SSE 50 ETF: 54.31[4] - CCB SSE 50 ETF: 50.97[4] - Huatai-PB CSI 2000 ETF: 61.30[4] - Southern CSI 2000 ETF: 62.21[4] - ChinaAMC CSI 2000 ETF: 64.83[4] - Ping An CSI A50 ETF: 52.58[4] - Dacheng CSI A50 ETF: 53.33[4] - E Fund CSI A50 ETF: 53.38[4] - ChinaAMC CSI A100 ETF: 54.52[4] - GF CSI A100 ETF: 53.52[4] - Guotai CSI A500 ETF: 58.13[4] - Southern CSI A500 ETF: 58.98[4] - GF CSI A500 ETF: 58.87[4] - ChinaAMC SSE STAR 50 ETF: 40.85[4] - E Fund SSE STAR 50 ETF: 41.06[4] - ICBC SSE STAR 50 ETF: 41.47[4] - Bosera SSE STAR 100 ETF: 56.52[4] - Penghua SSE STAR 100 ETF: 56.74[4] - ChinaAMC SSE STAR 100 ETF: 57.03[4] - E Fund GEM ETF: 59.93[4] - Tianhong GEM ETF: 59.90[4] - GF GEM ETF: 60.01[4] - ChinaAMC Hang Seng Tech ETF: 54.81[4] - ChinaAMC Hang Seng ETF: 63.75[4] - ChinaAMC HK-Hang Seng ETF: 63.63[4] - Huaan Mitsubishi UFJ Nikkei 225 ETF: 63.21[4] - ChinaAMC Nomura Nikkei 225 ETF: 62.65[4] - GF Nasdaq 100 ETF: 59.68[4] - Guotai Nasdaq 100 ETF: 60.09[4] - Bosera S&P 500 ETF: 63.67[4] - Penghua Dow Jones Industrial Average ETF: 58.87[4] - Huatai-PB Southern East Asia Saudi Arabia ETF: 44.60[4] - Huaan Germany (DAX) ETF: 51.84[4] - Huaan France CAC40 ETF: 56.31[4]