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

Zinuo Ou

Pinnacle Academic Press Proceedings Series, 2025, vol. 1, 198-210

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.

Keywords: linear regression; broad-based index ETF; market timing; backtest analysis (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:dba:pappsa:v:1:y:2025:i::p:198-210

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