Quantitative Models and Construction Methods - **Model Name**: Oil and Petrochemical Index Trend Tracking Model - **Model Construction Idea**: The model assumes that the price movement of the target has strong local continuity, where prices are 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, a short observation window is used to capture the local trend. 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[3][4] - **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 (excluding T) 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 or short) corresponds to the sign of `del` 4. If the absolute value of `del` is less than or equal to N times `Vol`, the current trend is considered to continue, and the trend direction remains the same as on day T-1 5. For the stock market, where volatility is higher and small wave opportunities are more frequent, N is set to 1 for tracking 6. The model considers both long and short returns for the oil and petrochemical index, combining the results for final evaluation[3] - **Model Evaluation**: The model's net value showed a consistent downward trend, with significant drawdowns during specific periods. It is deemed unsuitable for direct application to the Shenwan Level-1 Oil and Petrochemical Index[4] Model Backtesting Results - **Annualized Return**: -24.35%[3] - **Annualized Volatility**: 19.77%[3] - **Sharpe Ratio**: -1.23[3] - **Maximum Drawdown**: 44.48%[3] - **Total Return of the Index During the Period**: -6.61%[3]