CMS·2025-08-09 14:14Quantitative Models and Construction Methods DTW Timing Model - Model Name: DTW Timing Model - Model Construction Idea: The model is based on the principle of similarity and the DTW algorithm, focusing on price and volume timing[1][5][14] - Model Construction Process: - The model examines the similarity between current index trends and historical trends, selecting several historical segments with high similarity as references[25] - It calculates the weighted average future price change and weighted standard deviation of the selected historical segments (weights are the inverse of the distance)[25] - Based on the average future price change and standard deviation, trading signals are generated[25] - The model uses the DTW distance algorithm instead of the Euclidean distance for similarity measurement, as DTW distance can better handle time series mismatches[27] - Improved DTW algorithms such as Sakoe-Chiba and Itakura Parallelogram are introduced to overcome the "over-bending" issue in traditional DTW algorithms[29][30][35] - Model Evaluation: The model has shown stable excess returns in general market conditions, although it faced some drawdowns during periods of sudden macroeconomic policy changes[16] Foreign Capital Timing Model - Model Name: Foreign Capital Timing Model - Model Construction Idea: The model is based on the divergence between foreign and domestic related assets[1][14] - Model Construction Process: - The model uses two foreign-listed assets related to A-shares: FTSE China A50 Index Futures (Singapore market) and Southern A50 ETF (Hong Kong market)[34] - It constructs two indicators from FTSE China A50 Index Futures: premium and price divergence, forming the FTSE China A50 Index Futures timing signal[34] - It constructs a price divergence indicator from Southern A50 ETF, forming the Southern A50 ETF timing signal[34] - The timing signals from both assets are combined to form the foreign capital timing signal[34] - Model Evaluation: The model has shown good performance with high annualized returns and low maximum drawdowns[20][23] Model Backtest Results DTW Timing Model - Absolute Return: 25.79% since November 2022[5][16] - Excess Return: 16.83% relative to CSI 300[5][16] - Maximum Drawdown: 21.32%[5][16] - Absolute Return (2024): 23.98% on CSI 300[18] - Excess Return (2024): 2.76%[18] - Maximum Drawdown (2024): 21.36%[18] - Win Rate (2024): 53.85%[18] - Profit-Loss Ratio (2024): 2.93[18] Foreign Capital Timing Model - Absolute Return (2024): 29.11% for long strategy[5][23] - Maximum Drawdown (2024): 8.32% for long strategy[5][23] - Annualized Return (2014-2024): 18.96% for long-short strategy, 14.19% for long strategy[20] - Maximum Drawdown (2014-2024): 25.69% for long-short strategy, 17.27% for long strategy[20] - Daily Win Rate (2014-2024): Nearly 55%[20] - Profit-Loss Ratio (2014-2024): Both exceed 2.5[20]