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wepoets1107/hs300-momentum-hedge — GitHub trending stats & insights | Trendshift
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wepoets1107/hs300-momentum-hedge
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Fintech
A股沪深300动量对冲策略:300只成份股中动量选股Top5 + IF期货等名义对冲,周频调仓。5年回测+248.4%,CAGR 25.5%。
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沪深300指数动量对冲策略开源地址: 沪深300的动量对冲可以看回测。策略的逻辑依旧是赚取指数强势个股的alpha,同时用指数做空来对冲市场下行,减少回撤。 回测不代表未来业绩,但是刻舟求剑依旧有参考价值。 在美股、A股,动量对冲策略都显示了在5年时间周期下(跨越牛熊),K5个股的对冲后收益大于对照组ETF的单纯持有,且回撤更小。…
@wepoets1107 · x.com
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