Guide:
The low-volatility trend strategy is a conservative and conservative strategy, and the data backtesting based on the "low-volatility trend strategy" shows that the low-volatility trend strategy has a relatively stable long-term weekly performance and excellent performance in controlling drawdowns.
Text: Brother Kunpeng
The basic principle of the low-wave trend strategy is to select a combination of 50 stocks with an upward trend and low volatility, and the data backtest of the low-wave trend strategy shows that the low-wave trend strategy is more effective in long-term drawdown control, which can have the effect of smoothing the fluctuation of net worth.
In terms of overnight returns, the low-volatility trend strategy can significantly outperform the Shanghai Composite Index in the past 250 days, while the excess returns in the past 10 and 60 days have been unstable with the evolution of the market style, with the maximum drawdown of 8.22% in the past 250 days and 0.73% in the past 10 days, which is significantly lower than the average market drawdown level.
In terms of 5-day returns, the low-volatility trend strategy can also significantly outperform the Shanghai Composite Index in the past 250 days, while the excess returns in the past 10 and 60 days have been unstable with the evolution of market style, with the maximum drawdown of 8.4% in the past 250 days and 0.47% in the past 10 days, which is significantly lower than the average market drawdown level.
According to the segmented analysis of the market in the past year, the period of large drawdown of the low-volatility trend strategy is mainly the period of systemic risk of the whole market in January, but the drawdown is also lower than that of the major indices and the average of the whole market.
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