春暖花开前,不如先看看这个策略

通达信系统公式编写教程 通达信系统编写教程,可以帮助你初步进入量化投资领域 立即下载

前言

我们一直在市场中苦苦寻找圣杯,希望能够找到长期战胜市场的投资方法,比如曾经风光无限的小市值的思路,带给了我们很大的信心,相信市场中是存在长期有效的超额收益的,直到2017年初失效。毕竟没有什么是一成不变的,市场在牛熊交替中也是不断变换风格,想在市场中一劳永逸,可能只是异想天开的韭菜吧。除非是发现了如下的策略方法。

十三年超额收益稳健

在了解如上策略之前,我们先来看下面的策略。

该策略基于财务因子进行选股,从2005年到2018年,13年的时间,累计获得收益2395.74%的收益,是同期上证指数的20倍左右,年化27%的收益似乎看起来也不是很高,但是该策略却有着长期较为稳定的超额收益。可以看到,收益图中黄线代表超额收益,在长达十三年的时间里都有着平稳上升的超额收益!

这样的策略距离直接拿来用还是有很多可以提升的地方,比如可以在这个基础上拿股指期货进行对冲,或者进行择时。我们看到策略有接近1的贝塔,熊市时候和大盘一起跌,产生较大的回撤,进行归因分析后取回撤的区间统计图示,可以看到和市场本身的熊市一致。因此我们想到,如果策略能够在熊市保住收益,应该会有更好的表现。

半导体工厂自动化实战:用secs4net实现设备与MES系统通信(附完整代码) 本文详细介绍了如何利用secs4net框架实现半导体工厂设备与MES系统的高效通信。通过解析SECS/GEM协议的核心架构、关键业务场景实现及性能优化实践,帮助开发者快速掌握工业自动化通信技术,提升生产效率和系统稳定性。 阅读详情

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深度学习工具包 DeepLearningToolbox

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