Key investment points:
Strategy performance since 2020
Support vector machine is used to select the weekly time of CSI 300 index. The performance of the strategy from January 2, 2020 to December 24, 2021 is as follows:
CSI 300 index: the net value at the end of the period was 1.22, the cumulative income was 22.36%, and the maximum pullback was 17.88%; One way long strategy: the ending net value is 1.52, the cumulative return of the strategy is 51.59%, the excess return is 29.23%, and the maximum pullback is 8.93%;
Two way long short strategy: the ending net value is 1.88, the cumulative return of the strategy is 87.75%, the excess return is 65.39%, and the maximum pullback is 11.10%.
Strategic timing prediction
The model selects the time of the next week (from December 27, 2021 to December 31, 2021), and the results show that it is a buy, that is, a one-way long strategy buy index and a two-way long short strategy buy index.
Risk tip: risk of market environment change and model failure.
(Xiangcai securities)
