Quantitative Model and Construction 1. Model Name: Coal Index Trend Tracking Model - **Model Construction Idea**: The model assumes that the price movement of the target has strong local continuity, with prices always in a certain trend. Reversal periods are significantly shorter than trend continuation periods. In cases of narrow consolidation, the model assumes the continuation of the previous trend. For large-scale trends, given a short observation window, the movement will follow the local trend within the window. When a reversal occurs, the price change at the start and end of the observation window will exceed the range caused by random fluctuations, thus filtering out random noise[2][3]. - **Model Construction Process**: 1. Calculate the difference between the closing price on day T and day T-20, denoted as `del` 2. Calculate the volatility (`Vol`) over the period from T-20 to T (exclusive) 3. If the absolute value of `del` exceeds N times `Vol`, the current price is considered to have broken out of the original oscillation range, forming a trend. The trend direction (long/short) corresponds to the sign of `del`. Otherwise, the trend direction remains the same as on day T-1 4. For tracking, N is set to 1, considering the higher volatility of the stock market compared to the bond market, which provides more short-term opportunities 5. The model evaluates both long and short returns for the coal index and combines the results for final assessment[3] - **Model Evaluation**: The model is not suitable for direct application to the Shenwan Level-1 Coal Index due to poor annualized return performance and significant drawdowns during the tracking period[4] --- Model Backtesting Results 1. Coal Index Trend Tracking Model - **Annualized Return**: -8.01%[3] - **Annualized Volatility**: 22.67%[3] - **Sharpe Ratio**: -0.35[3] - **Maximum Drawdown**: 22.79%[3] - **Total Return**: -8.75%[3]