公用事业指数偏离修复模型效果点评

Model Overview - The model assumes that the price movements of the target relative to the reference benchmark exhibit repeated cycles of deviation and regression, with a limit to the degree of deviation, without requiring a clear periodicity for each deviation-regression cycle [4] - The model uses the Shenyin Wanguo first-level public utility index relative to the CSI 300 index as the target [4] - Data preprocessing involves normalization, and the model generates multiple signal dimensions [4] Performance Evaluation - The total return of the strategy over the tracking period from January 4, 2010, to March 18, 2025, is 4.16% [4] - The buy-and-hold return of the target is -12.12%, resulting in an excess return of 16.28% [4] - The maximum drawdown recorded is 64.97%, with the longest drawdown period lasting 2222 trading days [4] Strategy Application Summary - The model's net value experienced minor fluctuations before a sharp increase, followed by significant volatility, indicating a trend of decline followed by recovery [5] - The strategy's effectiveness is based on statistical backtesting, which may not hold in scenarios outside the historical sample, suggesting limited reference value for current price trends [5]