2025/09/23 金融工程指数量化系列—— 高值偏离修复模型（止损版） 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 金融工程 证券研究报告 |深度研究报告 1、基础偏离修复模型回顾 2、止损策略 3、后续展望 4、风险提示 P3 1、基础偏离修复模型回顾 偏离修复策略（多空）： 1、计算单个行业指数相对沪深300收盘价cl。 2、计算cl对应的回撤曲线W。 3、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。 4、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。 请务必阅读正文之后的免责条款部分 守正 出奇 宁静 致远 P4 1、基础偏离修复模型回顾 图表1：净值 0 0.5 1 1.5 2 2.5 3 3.5 4 农 林 牧 渔 ( 申 万 ) 基 础 化 工 ( 申 万 ) 钢 铁 ( 申 万 ) 有 ...

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].