一种黄金比例数交易策略：如何优雅地“抄底”

Core View - The strategy proposes a method to determine buy points for stocks that have ended their upward trend and entered a downward trend, using the golden ratio (0.618 and 0.8) as key levels for entry [2] - The strategy incorporates the concept of "Chan Theory" to precisely identify buy points by segmenting price movements rather than relying solely on fixed parameters [2] - From 2015 to June 2024, the strategy executed 1,043 trades with a win rate of 57.8%, a profit-to-loss ratio of 2.26, and a median holding period of 19 trading days [2] Golden Ratio - The golden ratio (0.618) is widely used in technical analysis, with other common ratios including 0.5, 0.382, and 0.809 [4] - These ratios are used as fixed parameters in investment strategies, despite lacking rigorous theoretical foundations [4] Golden Ratio in A-Shares - Historical data from the Shanghai Composite Index shows that after a monthly-level bull market ends, subsequent monthly-level declines often rebound near the 61.8% golden ratio level [5] - For individual stocks with monthly-level declines exceeding 50%, the average rebound level is around 60.6% [5] Strategy Details - The strategy uses logarithmic coordinates and identifies monthly-level highs and lows within a 50-month period to draw an upward trend line [6] - Buy points are determined when the price falls below the 0.618 and 0.8 levels of the trend line, with additional confirmation from MACD indicators [6] - The strategy incorporates grid trading principles and combines monthly and daily level analysis for multi-level resonance [6] Backtest Results - The backtest covers the period from January 1, 2015, to June 30, 2024, and includes all A-shares listed for more than 50 months [7] - Transaction costs are calculated at 3‰, and the strategy excludes ST stocks and stocks that hit the daily limit up [7] - The strategy's performance is relatively insensitive to parameter changes, with win rates ranging from 53.5% to 57.8% across different parameter settings [7]