金融工程指数量化系列：高值偏离修复模型（浮动迫损版）

Group 1: Overview of the High-Value Deviation Repair Model - The basic stop-loss strategy involves calculating the relative closing price of individual industry indices against the CSI 300 and the corresponding drawdown curve [3][24] - The maximum value of the effective drawdown is selected as a threshold, and signals are generated based on the drawdown curve exceeding this threshold [3][24] - Most industries show similar performance in returns under different parameter conditions, except for agriculture, electronics, home appliances, and computer sectors [10][21] Group 2: Floating Stop-Loss Strategy - The floating stop-loss strategy calculates the relative closing price and drawdown curve similar to the basic strategy, with adjustments made to the stop-loss position based on market movements [24][40] - The strategy has shown significant improvement in the computer industry compared to the original strategy [27][39] - Industries such as agriculture, electronics, pharmaceuticals, and social services have experienced substantial drawdown compression [31][72] Group 3: Performance Analysis - The maximum drawdown compression effect is superior in the floating stop-loss strategy compared to the original strategy, particularly in the pharmaceutical and electronics sectors [41][80] - The floating stop-loss strategy has limited improvement in overall returns but has helped compress drawdown times for certain industries [84][81] - The effectiveness of the floating stop-loss strategy varies by industry, with banks and pharmaceuticals showing notable enhancements in return ratios [80][81] Group 4: Future Outlook - Future research will focus on the impact of localized stop-loss models on strategy effectiveness [87] - Improvements will be made to the secondary entry model, expanding beyond a single approach [87]