指数化配置系列研究（5）：捕捉更确定的趋势：ETF日内动量策略2.0

Core Conclusions - The report upgrades the original intraday momentum strategy to version 2.0, addressing issues such as execution difficulties, premature exits, and profit retracement, resulting in improved applicability and enhanced risk-reward ratios [1][2] - The improved strategy utilizes delayed exits and tiered profit-taking to enhance the risk-reward ratio and win rate [1] - By applying the strategy with a 50% base position in individual ETFs and ETF combinations, it achieves returns that exceed those of a relative buy-and-hold strategy [1] Summary by Sections 1. Review of Intraday Momentum Strategy and Out-of-Sample Performance - The original strategy faced challenges in executing trades at the next minute's opening price after a signal was generated, leading to the adoption of a 5-minute VWAP/TWAP for execution, which improved the strategy's feasibility [19] - The strategy's performance from January 25, 2013, to October 10, 2025, showed an annualized return of 18.9% with a Sharpe ratio of 2.10 and a Calmar ratio of 2.86, maintaining a win rate above 50% [2] 2. Improvements to the Intraday Momentum Strategy 2.1 Issue 1: Execution Difficulties - The strategy was modified to use the 5-minute VWAP/TWAP for trade execution instead of the next minute's opening price, which improved the strategy's feasibility while still providing an advantage over a buy-and-hold approach [19][20] 2.2 Issue 2: Premature Exits - The original strategy's strict exit conditions led to premature closures of positions. By relaxing these conditions, the strategy was able to capture more intraday gains, significantly improving returns [24][29] 2.3 Issue 3: Profit Retracement - The introduction of tiered profit-taking methods helped mitigate profit retracement, thereby reducing drawdowns and enhancing overall performance [1][2] 3. Application of the Improved Strategy - The improved strategy was applied to the CSI 500 ETF and CSI 1000 ETF, yielding annualized excess returns of 10.1% and 9.2%, respectively, while also reducing maximum drawdowns [3] - A portfolio of 22 industry ETFs, allocated equally with a 50% total position, achieved an annualized return of 10.4%, outperforming the buy-and-hold strategy by approximately 3 percentage points [3]