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wepoets1107/ndx-momentum-hedge — GitHub trending stats & insights | Trendshift
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wepoets1107/ndx-momentum-hedge
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Nasdaq-100 K=5动量选股 + PSQ 50/50对冲 | 5年回测 +112.7% CAGR 16.0% 夏普1.29 卡玛1.25 | 打赏支持冰火岛社区 | EVM Wallet: 0x29f091DAA3dfee8100645ee24239bCC3ae174B42
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优化了回测程序,排除了统计口径、未来函数问题,策略收益率正常了。同时回撤明显小于持有QQQ对照组。基本算通过了。 策略看板: 策略逻辑:通过动量选股因子,在纳斯达克100指数中每周遴选动量最强的K5,同时做空QQQ指数对冲。 以上都可以在backpack美股里实现。做空是用的一倍做空QQQ指数ETF PSQ。 稳稳的幸福,backpack美股可以做起来。@Backpack_CN…
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