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hansihuang2016 / uupp

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Open hansihuang2016 opened 6 years ago

hansihuang2016 commented 6 years ago

国信证券_2017-11-23_指数投资系列：基于股票分化度的指数趋势策略.pdf

hansihuang2016 commented 6 years ago

ah.xlsx

hansihuang2016 commented 6 years ago

capture capture1 capture2 capture3

hansihuang2016 commented 6 years ago

国债期货持仓量策略.docx 1 2 3 4

auditing yinhua 6% tax capital call money contribution check website application 50option timing signal in email dayan CV

hansihuang2016 commented 6 years ago

capture

hansihuang2016 commented 6 years ago

trade list 2018 1 19.xlsx

hansihuang2016 commented 6 years ago

http://www.amac.org.cn/xhdt/zxdt/390653.shtml capture

hansihuang2016 commented 6 years ago

业绩预增的空仓期，我用果仁上的业绩预增做了一下，效果是有所提升的。果仁的业绩预增见策略10。也就是当高斯业绩预增空仓时，且不处于崩盘期，那么用果仁上的业绩预增补足仓位，高斯业绩预增不空仓优先用高斯。 果仁的原始曲线是这样的 capture2 拼接后对比高斯的曲线有所提升，回撤不放大 capture1

对于有色空仓期，我有两个提议，1. 用大盘/价值因子的策略去替换，但这个策略本身占比较大14%，我怕分散了半天还是被一个主观决定弄毁了分散，当然波哥说的也有道理，这空暇期的14%用主观判断下也未尝不可。目前来看价值和大市值的IC已经牛了一年了，这个趋势可能还会延续，目前是年报季节快到了，又要谈价值投资，6月又是MCSI，所以这个需要大家商量下决定。可以用蓝筹大盘和大盘价值两个拼接，或者直接上一个。参看空闲策略：大盘价值 capture4

还有个方案是ETF轮动，可以从300/500，50/创业板，恒生/纳斯达克etf里选2对。恒生/纳斯达克的轮动还没给大家展示过，我觉得可能是有风险的，年化不是很高，涨跌幅是每限制的，回撤有点难控制 capture

hansihuang2016 commented 6 years ago

http://www.sse.com.cn/assortment/options/volatility/

hansihuang2016 commented 6 years ago

trade list 2018 1 24.xlsx 增值税应税确认书(契约型私募适用).docx

hansihuang2016 commented 6 years ago

oil ECB决议和油价

当前通胀能否起来已经成为市场的焦点。发达经济体除了服务业占比大，大家紧盯劳动力市场以外，石油是仅次于工资的影响通胀的重要外生变量之一。分享一张有意思的图，油价上涨的高峰和低谷均对应ECB重大货币政策决议时点。 倘若油价进一步飙升，ECB可能会认为未来通胀将高企，进而进一步紧缩，这也是市场目前所预期的。部分成员国失业率依然较高的情况下，劳动力成本尚未有苗头迅速上翘。在此背景下，油价涨幅或许能一定程度暗示后续ECB紧缩的速度和力度。

hansihuang2016 commented 6 years ago

1 2 3 capture

hansihuang2016 commented 6 years ago

Thinking fast and slow.pdf

hansihuang2016 commented 6 years ago

量化科普.docx Thinking fast and slow.docx 复合策略曲线 2018.1.26.xlsx Copy of 高斯实盘记录.xlsx

hansihuang2016 commented 6 years ago

资金比例及出入金记录.xlsx 2235283_1.pdf 2270722_1.pdf

hansihuang2016 commented 6 years ago

资金记录高斯.xlsx

hansihuang2016 commented 6 years ago

17 22 24 25 26

hansihuang2016 commented 6 years ago

capture1 capture

hansihuang2016 commented 6 years ago

• EU rejects Brexit trade deal for UK financial services sector • US 10yr Treasury yields continue to rise to 2.73% (+2bp) after dropping below 2.7% intraday • Eurosovereign yields rise again, curves flatten as 5yr yields rise, 30yr yields fall • German 10yr 0.69% (+1bp), Ireland 10yr 1.12% (+3bp), German/Irish 10yr spread widens • French syndication tomorrow with 9bn to be issued over new 10yr, 15yr and 50yr • Data-heavy day with euro area HICP and unemployment levels released • Eurozone core inflation rises to 1.0% (prev. 0.9%, exp. 1.0%) but below headline rate of 1.3%
• EU unemployment rate remains at 9-year low at 8.7% in December (prev. 8.7%, exp. 8.7%) • French Jan HICP jumped to 12-month high of 1.5% y/y, outperforming expectations (prev. 1.2%, exp. 1.2%) • Spain Jan HICP hit 16-month low of 0.5% y/y (prev. 1.1%, exp. 0.9%) • US equities are bouncing back from two sessions of losses with S&P 500 up 0.2% for the day • EU equities slightly down with Stoxx 600 dropping -0.2% • Dollar under broad pressure ahead of first Fed policy meeting of 2018, Euro up by a further 0.25% to $1.2430 • Euro slightly weaker vs pound at £0.8759 (-0.1%), back from intraday high of £0.8815 • Brent crude oil is down 0.3% at $68.80 ahead of data on US oil inventories scheduled for release later on today • Gold is 0.5% higher at $1,344 an ounce