金融工程 证券研究报告 |深度研究报告 2025/11/28 金融工程指数量化系列—— 高值偏离修复模型（浮动迫损版） 证券分析师: 刘晓锋 执业资格证书编码: S1190522090001 证券分析师: 孙弋轩 执业资格证书编码: S1190525080001 P2 目录 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 1、分档止损偏离修复模型回顾 2、浮动迫损策略 3、后续展望 4、风险提示 1、分档止损高值偏离修复模型回顾 基础分档止损策略： 1、计算单个行业指数相对沪深300收盘价cl，以及cl对应的回撤曲线W。 2、使用迭代法计算cl的有效回撤V，若无法得到V，则直接判定该行业不适合此策略。 3、选取V的最大值的80%作为阈值T（T为正数），当W值大于T时，信号值s为1（看多），当W值 为0时，信号值s为0（平仓），当W为其他值时，信号值s等于前值。 4、将每次买入点b0与前高h0之间的空间化为X等分，则每一等分的空间为s0。 5、买入后，当收盘价cl首次高于b0+2*s0时，止损被激活，止损点st0初始化为b0+s0。 6、止损被激活后，若cl不小于前高则平仓；若cl低于止损位置则触发止 ...

Group 1 - The core viewpoint of the report emphasizes the need for a stop-loss strategy to optimize the basic deviation recovery model due to the unsatisfactory performance of the strategy across various industries [15][17][28] - The basic deviation recovery model involves calculating the relative closing price of individual industry indices against the CSI 300 and determining effective drawdown values through iterative methods [3][15] - The report highlights that many industries, such as steel, retail, and real estate, did not meet the conditions for strategy application, indicating potential limitations in the model's effectiveness [6][9] Group 2 - The stop-loss strategy is designed to activate when the closing price exceeds a certain threshold, allowing for dynamic adjustment of stop-loss positions based on market movements [18][19] - The report indicates that the stop-loss strategy has not significantly improved performance in most industries, with some experiencing reduced returns compared to the original strategy [20][28] - Notably, industries like agriculture, electronics, and pharmaceuticals have shown improved drawdown metrics under the stop-loss strategy, suggesting selective benefits [25][68][72] Group 3 - The report discusses various stop-loss strategies, including multi-parameter and pullback types, which aim to enhance entry and exit points based on market conditions [31][62][79] - It is noted that while some industries benefited from specific stop-loss models, the overall performance of the original strategy remains competitive [79][80] - The findings suggest that the choice of parameters in stop-loss strategies can influence outcomes, with a preference for values around 5 or 6 for broader applicability [80]

Group 1 - The report highlights that among 31 industries, 17 industries have returns exceeding that of the CSI 300 index, indicating potential for superior returns through industry selection [5][12]. - The analysis of the industry indices relative to the CSI 300 shows that a simple average allocation can yield an excess return of 34% over the specified period [12]. - It is noted that holding a single industry may lead to significant drawdowns and longer recovery times, suggesting the necessity of timing in investment decisions [12]. Group 2 - The report discusses the deviation recovery strategy, emphasizing that a simple approach based on relative deviation to the CSI 300 may overlook one-sided deviation opportunities [22]. - The analysis of the top three drawdowns across industries reveals that the steel and petrochemical sectors are often in a single drawdown cycle, while industries like food and beverage, retail, and non-bank financials show significant differences in maximum drawdowns compared to other drawdowns [25][26]. - The effective deviation screening algorithm is introduced, which involves calculating the maximum drawdown and filtering based on statistical measures to identify suitable industries for investment [30][38]. Group 3 - The report indicates that the household appliances and food and beverage sectors have a higher number of drawdowns compared to other industries, suggesting increased volatility [33]. - The iterative method for filtering effective drawdowns significantly reduces the proportion of selected drawdowns, enhancing the stability of the strategy [55][56]. - The report concludes that the deviation recovery strategy is more applicable to industries with stable volatility patterns over time, while it may miss opportunities in sudden market movements [69].