Forecasting Market Timing Strategies for CSI 300 ETF Using Multiple Linear Regression and Economic Indicators

Zinuo Ou

Authors

Zinuo Ou School of Management, Henan University of Technology, Zhengzhou, Henan, China Author

Keywords:

linear regression, broad-based index ETF, market timing, backtest analysis

Abstract

This study utilizes a multiple linear regression model to investigate the relationship between the CSI 300 ETF and various economic variables, with the aim of providing a basis for market timing strategies in the CSI 300 ETF. The study derived the regression equation and conducted a backtest analysis using historical data. The backtest results show that the Section A strategy, which determines buy and sell signals based on the difference between predicted and actual prices, performs exceptionally well, achieving an annualized return of over 100%, under the given backtesting conditions. Furthermore, the study analyzes the relationship between the model results and the research hypotheses. Overall, this research explores forecasting methods for broad-based index ETFs, offering valuable insights for investors.

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