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计算机指数偏离修复模型效果点评
太平洋证券·2025-04-28 15:33
  • Model Name: Deviation Correction Model for Computer Index[4] - Model Construction Idea: The model assumes that the price trend of the target relative to the reference target has a repeated deviation-regression cycle, and the degree of deviation has a limit. By statistically analyzing the existing data, a reasonable threshold can be found. When the price is below this value, it indicates that the current price deviation is close to the limit, and the space for further decline is limited, so it is suitable to buy and hold until the price returns[6] - Specific Construction Process: 1. Calculate the closing price of the SW First-level Computer Index relative to the CSI 300 Index within the calculation period, denoted as cl[5] 2. Calculate the drawdown sequence W within the period[5] 3. Calculate the maximum value during each single drawdown period in W[6] 4. Arrange the maximum drawdown values in descending order to get sequence S, and sum S to get T[6] 5. Perform cumulative addition on S, stop when the cumulative sum reaches or exceeds 80% of T, and remove the values in S that did not participate in the cumulative addition, resulting in sequence S1[6] 6. Use an iterative method to further screen the elements in S1 by repeating the above two steps until the iterative result no longer changes, resulting in the effective drawdown set C[6] 7. Take 80% of the maximum value in C as the threshold. When W is greater than this threshold, the signal is 1 (buy); when W is 0, the signal is also zero (close position); in other cases, the signal is set to the previous value[6] - Model Evaluation: The model is not applicable in the tracking period as it shows significant volatility and long-term drawdown, with the final drawdown exceeding the previous ones, indicating that the current price trend is outside the statistical sample[7] Model Backtest Results - Total Strategy Return: 78.50%[6] - Buy and Hold Return: 152.35%[6] - Total Excess Return: -73.86%[6] - Maximum Drawdown: 54.68%[6] - Longest Drawdown Duration: 2261 trading days[6]