沪深300趋势跟踪模型效果点评

Quantitative Models and Construction Methods - Model Name: CSI 300 Trend Tracking Model - Model Construction Idea: The model assumes that the price movement of the target has strong local continuity, always following a certain trend. Reversal trends are assumed to last significantly shorter than trend continuations. In cases of narrow-range consolidation, the model assumes the continuation of the previous trend. By observing short-term windows, the model identifies local trends and excludes random noise when reversals occur. The model also assumes the ability to perform long-short operations for more rigorous evaluation of relative returns[5][6]. - Specific Construction Process: 1. Calculate the difference between the interest rate value on day T and the closing price of the CSI 300 index on day T-20, denoted as del[3]. 2. Compute the volatility (Vol) over the period from T-20 to T (excluding T)[5]. 3. If the absolute value of del exceeds N times Vol, the 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. Otherwise, the current trend is assumed to continue, with the direction matching that of day T-1[5]. 4. Combine the returns from both long and short directions to form the final evaluation basis[5]. - Formula: $\text{If } |del| > N \cdot Vol, \text{ trend direction } = \text{sign}(del)$ $\text{Else, trend direction } = \text{direction of T-1}$ Where: - del = Difference between T-day interest rate and T-20-day CSI 300 closing price - Vol = Volatility from T-20 to T (excluding T) - N = Tracking multiplier, set to 1 in this model[4][5] - Evaluation: The model is less effective for the CSI 300 index due to its higher volatility compared to bond markets. It struggles during high-frequency oscillations but performs better in clear single-direction trends. Overall, it can still achieve excess returns but is not ideal for direct application to the CSI 300 index[6]. Model Backtesting Results - CSI 300 Trend Tracking Model: - Annualized Return: 3.97%[5] - Annualized Volatility: 17.85%[5] - Sharpe Ratio: 0.22[5] - Maximum Drawdown: 19.32%[5] - Total Return Over the Period: -1.02%[5]