纺织服装指数偏离修复模型效果点评

Group 1 - The core viewpoint of the report is that the textile and apparel index exhibits a significant deviation-recovery cycle, which can be modeled to identify optimal buying opportunities when prices approach their limits [5][6]. - The model's design principle assumes that the price movements of the target relative to a benchmark (CSI 300 Index) show repeated cycles of deviation and regression, allowing for the identification of thresholds for buying [5][6]. - The total return of the strategy during the tracking period is reported at 16.26%, while the buy-and-hold return for the target was -34.05%, resulting in an excess return of 50.31% [5]. Group 2 - The model's tracking period spans from January 4, 2010, to March 18, 2025, and it utilizes a statistical backtesting approach to derive its signals [5][6]. - The maximum drawdown recorded was 67.04%, with the longest drawdown period lasting 1870 trading days, indicating significant volatility in the strategy's performance [5][6]. - The model's effectiveness is questioned due to the occurrence of statistical outliers beyond the sample period, suggesting that the strategy may not provide reliable guidance for future investments in the textile and apparel index [6].