通信相对指数趋势跟踪模型效果点评

Quantitative Models and Construction Methods 1. Model Name: Relative Index Trend Tracking Model - Model Construction Idea: The model assumes that the price movement of the target has strong local continuity, where the price is always in a certain trend. Reversal trends are shorter in duration compared to trend continuations. In cases of narrow consolidation, the model assumes the continuation of the previous trend. For large-scale trends, a short observation window is used to capture the local trend. When a reversal occurs, the price change at the start and end of the observation window will exceed the range of random fluctuations, thus filtering out random noise[3][4] - Specific 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 day T-20 to day T (excluding day T) 3. If the absolute value of del exceeds N times Vol, the model identifies a trend breakout, with the trend direction determined by the sign of del 4. If the absolute value of del is less than or equal to N times Vol, the model assumes the continuation of the previous trend direction (same as day T-1) 5. For the stock market, where volatility is higher and small wave opportunities are more frequent, the parameter N is set to 1 6. The model tracks both long and short returns, combining them for final evaluation[3] - Formula: $ del = P_T - P_{T-20} $ $ Vol = \sqrt{\frac{1}{20} \sum_{i=1}^{20} (P_{T-i} - \bar{P})^2} $ where $P_T$ is the closing price on day T, and $\bar{P}$ is the average price over the observation window[3] - Evaluation: The model is not suitable for direct application to the relative value of the SW First-Level Communication Index. It showed a declining trend in net value during certain periods, with prolonged drawdowns and annualized returns lower than the index's total return over the same period[4] Model Backtesting Results 1. Relative Index Trend Tracking Model - Annualized Return: -6.09%[3] - Annualized Volatility: 24.89%[3] - Sharpe Ratio: -0.24[3] - Maximum Drawdown: 28.93%[3] - Total Return of the Index During the Period: 46.86%[3]