Investment Rating - The industry is rated as "Positive," expecting an overall return exceeding the CSI 300 Index by more than 5% in the next six months [9]. Core Insights - The model assumes that the price trends of the underlying assets exhibit strong local continuity, with trend reversals occurring less frequently than trend continuations. It also posits that narrow consolidations will follow the previous trend [3]. - The model's annualized return is 6.26%, with a volatility of 25.15%, a Sharpe ratio of 0.25, and a maximum drawdown of 32.95% [3]. - The evaluation period for the model is from March 7, 2023, to March 18, 2025, focusing on the Shenwan Level 1 Automobile Index [3][4]. Summary by Sections Model Overview - The model is designed to track the Shenwan Level 1 Automobile Index, utilizing a specific algorithm to determine price trends based on the difference between closing prices over a set period [3]. - The model signals are based on both long and short positions, with a focus on capturing price movements that exceed a defined volatility threshold [3]. Performance Evaluation - The model showed stable performance from March 7, 2023, to July 26, 2023, but experienced a drawdown from August 28, 2023, to February 5, 2024, before reaching a new historical high [4]. - Overall, the model's net value has been on a downward trend for a significant portion of the evaluation period, indicating that it may not be suitable for direct application to the Shenwan Level 1 Automobile Index [4].

- Model Name: Electricity Equipment Index Trend Tracking Model[2] - Model Construction Idea: The model assumes that the price trend of the target has good local continuity, and the target price is always in a certain trend. The duration of the reversal trend is significantly shorter than the trend continuation time. If there is a narrow range consolidation, it is assumed to continue the previous trend[3] - Model Construction Process: - Calculate the difference (del) between the closing price on day T and the closing price on day T-20 - Calculate the volatility (Vol) from day T-20 to day T (excluding) - If the absolute value of del is greater than N times Vol, it is considered that the current price has deviated from the original oscillation range and formed a trend. The trend direction corresponds to the positive or negative of del. If it is less than or equal to N times Vol, it is considered that the current trend continues, and the trend direction is the same as day T-1 - Considering the more intense fluctuations in the stock market compared to the bond market, small wave opportunities are more frequent, so N=1 is used for tracking - The return of both long and short directions of electricity equipment is considered, and the combined result is used as the final evaluation basis[3] - Model Evaluation: The model is not suitable for direct use on the Shenwan First-Level Electricity Equipment Index due to long periods of drawdown and inability to achieve good cumulative returns during certain periods[4] Model Backtest Results - Annualized Return: 13.52%[3] - Annualized Volatility: 29.91%[3] - Sharpe Ratio: 0.45[3] - Maximum Drawdown: 27.32%[3] - Total Return Rate of the Index During the Period: -22.56%[3]

- The model is named "Building Decoration Index Trend Tracking Model" and is designed based on the assumption that the price trend of the target has strong local continuity, with reversal periods being significantly shorter than trend continuation periods. It assumes that narrow-range consolidation will continue the previous trend. When a major trend is present, a short observation window will reflect the local trend, and reversals will show price changes exceeding the range of random fluctuations, thus filtering out random noise[2][3] - The model targets the SW First-Level Building Decoration Index, with raw data retained for preprocessing. It operates on a long-short signal dimension[3] - The specific algorithm involves calculating the difference between the closing price on day T and day T-20 ($del$), as well as the volatility ($Vol$) from day T-20 to day T (excluding T). If the absolute value of $del$ exceeds $N$ times $Vol$, it indicates a trend breakout, with the trend direction determined by the sign of $del$. Otherwise, the trend direction follows that of day T-1. For this model, $N$ is set to 1 to capture smaller opportunities in the more volatile stock market. The model evaluates combined long-short returns as the final performance metric[3] - The model's backtesting period spans from March 7, 2023, to March 18, 2025[3] - The model's performance evaluation indicates that it achieved its highest net value during the period from March 7, 2023, to January 22, 2024. However, from January 22, 2024, to September 26, 2024, the net value declined due to market conditions. Subsequently, the net value returned to near its historical high but entered a period of oscillation. The model demonstrates relatively low annualized returns and prolonged drawdowns in the later stages, making it unsuitable for direct application to the SW First-Level Building Decoration Index[4] - The model's backtesting results include the following metrics: annualized return of 4.39%, annualized volatility of 23.96%, Sharpe ratio of 0.18, maximum drawdown of 22.47%, and total return of -12.25% during the evaluation period[3]