ETF观察日志：麦高视野

Quantitative Models and Construction Methods 1. Model Name: RSI (Relative Strength Index) - Model Construction Idea: RSI is used to measure the relative strength of price movements over a specific period, identifying overbought or oversold market conditions[2] - Model Construction Process: The RSI is calculated using the following formula: $ RSI = 100 - \frac{100}{1 + RS} $ where $ RS = \frac{\text{Average Gain over N periods}}{\text{Average Loss over N periods}} $ In this report, the RSI is calculated over a 12-day period. RSI values above 70 indicate an overbought market, while values below 30 indicate an oversold market[2] - Model Evaluation: RSI is a widely used technical indicator for short-term market trend analysis, providing insights into potential price reversals[2] 2. Model Name: Net Purchase (NetBuy) - Model Construction Idea: This model calculates the net purchase amount of ETFs to assess fund inflows or outflows on a daily basis[2] - Model Construction Process: The formula for NetBuy is: $ NETBUY(T) = NAV(T) - NAV(T-1) \times (1 + R(T)) $ where: - $ NETBUY(T) $ is the net purchase amount on day T - $ NAV(T) $ is the net asset value on day T - $ NAV(T-1) $ is the net asset value on the previous day - $ R(T) $ is the return on day T[2] - Model Evaluation: This model provides a clear view of daily fund flows, which is critical for understanding investor sentiment and market dynamics[2] --- Model Backtesting Results RSI Model - RSI values for various ETFs are provided, such as: - Huatai-PineBridge CSI 300 ETF: RSI = 48.56[4] - E Fund CSI 300 ETF: RSI = 47.80[4] - Southern CSI 500 ETF: RSI = 50.43[4] - Huaxia SSE 50 ETF: RSI = 34.90[4] - Huaxia Hang Seng Technology ETF: RSI = 34.54[7] Net Purchase Model - Net purchase values for various ETFs are provided, such as: - Huatai-PineBridge CSI 300 ETF: NetBuy = 8.08 billion RMB[4] - E Fund CSI 300 ETF: NetBuy = 2.37 billion RMB[4] - Southern CSI 500 ETF: NetBuy = 0.58 billion RMB[4] - Huaxia SSE 50 ETF: NetBuy = -1.09 billion RMB[4] - Huaxia Hang Seng Technology ETF: NetBuy = 4.02 billion RMB[7]