Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints of the Report - The study explores the effectiveness of the NASDAQ Golden Dragon China Index in predicting the short - term trends of domestic stock indices. The quantitative timing strategy based on the previous night's performance of the NASDAQ Golden Dragon China Index can significantly outperform the corresponding benchmark indices, with a smoother net - value curve, enhancing returns and reducing the maximum historical drawdown, especially for the CSI 500 and CSI 1000 indices [4][37]. - This research expands investors' strategy toolkits and helps futures and options intraday traders optimize trading decisions and improve trading win - rates [4][37]. Summary by Relevant Catalogs 1. NASDAQ Golden Dragon China Index Introduction - It is a stock index compiled by the NASDAQ to track the stock price performance of Chinese companies listed in the US, regarded as a "barometer" of Chinese new - economy enterprises in US stocks. As of September 23, 2025, it has 73 constituent stocks, including Alibaba and Baidu, covering new - economy sectors such as the Internet, new energy, and consumer services. In terms of the number of constituent stocks, the optional consumer and information technology sectors have relatively large shares [9]. 2. Correlation Analysis between NASDAQ Golden Dragon China Index and Domestic Stock Indices - There is a significant positive correlation (correlation coefficients above 0.65) between the NASDAQ Golden Dragon China Index and the Shanghai 50, SSE 300, CSI 500, and CSI 1000 indices in the past three years, indicating that the previous night's movement of the NASDAQ Golden Dragon China Index affects the next - day movement of domestic stock indices [12][13]. - The Granger causality test on the NASDAQ Golden Dragon China Index and the SSE 300 and CSI 1000 indices shows that the lagged first - order NASDAQ Golden Dragon China Index has a certain predictive effect on domestic stock indices, and it can be used to predict the next - day movement of domestic stock indices statistically [16]. 3. Quantitative Timing Strategy Based on NASDAQ Golden Dragon China Index 3.1 Strategy Basic Logic - When (closing price - opening price)/opening price of the NASDAQ Golden Dragon China Index on the previous day is greater than X%, indicating that the K - line entity is at least a medium - sized positive line, go long on domestic stock indices at the opening price the next day and hold until closing [17]. 3.2 Historical Back - test Performance - Shanghai 50 Index Timing Strategy: Since 2018, the strategy has significantly outperformed the Shanghai 50 Index, with a compound annualized return of 7.63% (compared to 0.22% of the Shanghai 50 Index), and the maximum drawdown has decreased from - 44.43% to - 13.21% [19][22]. - SSE 300 Index Timing Strategy: The compound annualized return of the strategy is 8.42% (compared to 1.28% of the SSE 300 Index), and the maximum drawdown has decreased from - 45.6% to - 10.07% [23][24]. - CSI 500 Index Timing Strategy: The compound annualized return of the strategy can reach 11.05% (compared to 1.65% of the CSI 500 Index), and the maximum drawdown has decreased from - 41.68% to - 9.44% [28][29]. - CSI 1000 Index Timing Strategy: The compound annualized return of the strategy can reach 12.74% (compared to 0.63% of the CSI 1000 Index), and the maximum drawdown has decreased from - 45.38% to - 10.51% [33][36]. 4. Conclusion - The strategy based on the NASDAQ Golden Dragon China Index can significantly outperform the corresponding benchmark indices in the past seven - plus years, with a smoother net - value curve, enhancing returns and reducing the maximum historical drawdown, especially effective for the CSI 500 and CSI 1000 indices [37]. - The research expands investors' strategy toolkits and helps futures and options intraday traders optimize trading decisions and improve trading win - rates [37].
海外指数对国内股指预测有效性研究:期货择时系列专题(三)
Guo Lian Qi Huo·2025-09-23 09:33