FangQuant › Strategies
• ### Hedging review

# -*- coding: utf-8 -*- """ Created on Sat Jun 25 21:14:00 2022 @author: fangfang666 """ import pandas as pd from WindPy import * w.start() endDate='2022-07-29' contracts=['IF','IH','IC',...
Strategies • • 2 years ago
• ### Mean Reversion_strategy

# -*- coding: utf-8 -*- """ Created on Sat Jul 16 13:27:31 2022 @author: fangfang666 """ import math import pandas as pd import numpy as np import matplotlib.dates as mdates import matplo...
Strategies • • 2 years ago
• ### Strategy Report - Time Series of Yield Difference of Indices-3

Summary: In this work, we continue our work about time series of yield difference of indices. Since last work result we decide to turn our focus on the yield difference between SSE50 and CSI...
Strategies • • 5 years ago
• ### Strategy Report - Time Series of Yield Difference of Indices

Summary In this work, we observe yield differences of indices and whether they could be predicted by time series generated by themselves. We find that it possible to get significantly positive payoff ...
Strategies • • 6 years ago
• ### The strategies on investing Private Fund in the second season of 2018

The strategies of investing Private Funds in the second quarter of year 2018 Private fund stock strategies: A share market showed some sign of stabilization after the slump in Q1 and it could offer...
Strategies • • 6 years ago
• ### 均值回归策略

策略思路： 由于残差不平稳，就无法满足均值和方差在时间过程上都是常数，但残差会以它的均线为中心进行波动。也就是说，当残差由于波动而偏离移动均线时，它将调整并重新归于均线。那么如果我们如果能捕捉偏离均线价格的回归，就可以从此获利。 策略指标： 我们可以构造一种利用标准差来测量当日残差波动幅度的方法。取过去 N天收盘价，并取其标准差 σ(N)，设今日残差为E并且 N日均线值为 MA(N)，计算：...
Strategies • • 6 years ago
• ### Factor Performance in A-share

Remove ST stocks and stocks with daily turnover lower than 10 million, hold 28 stocks based on the factor selection, and the rebalance period is 20 trading days. The data show that the...
Strategies • • 7 years ago
• ### Min RSS-A50&CSI300&SSE50 arb report--2017.2.20

For there’s obvious collinearity between CSI300 and SSE50, the coefficients are in a two dimensional united distribution, which formed a curved surface with the residual sum of squares. In the ...
Strategies • • 7 years ago
• ### Quant Investment in China A-share market

1. China Equity Markets—Overview Stocks Listed& Market Cap since 1990 2. Two Stock Exchanges—Shanghai and Shenzhen 1) Date Established: Shanghai Stock Exchange: 1990.12 Shenzhen Stock Ex...
Strategies • • 7 years ago
• ### A-share market outlook for second half of 2017

Market overview: Valuation for stock index + performance of listed companies+ money market liquidity. Valuation: CSI300 index rise 7~8% this year,about the same to the g...
Strategies • • 7 years ago
• ### A-share market is in the period of value investment

Summary: 1. Too faster IPO approval 2. Tighten regulation on speculation over sub-new stocks and stocks proposing high share conversion and dividend 3. Increasing supervision on idle funds li...
Strategies • • 7 years ago
• ### Updated: A50&CSI300&SSE50 arb report--2017.2.7

Steps: Ⅰ.estimate the model coefficients Ⅱ.build a strategy with a stable expected return Ⅰ.Estimate the model coefficients We set the data range from 2015/4/16—2016/8/26 to run the regression...
Strategies • • 7 years ago
• ### A50&CSI300&SSE50 arb report

We set the data range from 2015/4/16—2016/8/26 to run the regression. The independent variables for CSI300 and SSE50 are named as x and y respectively. The dependable variable A50 is named as z. Each...
Strategies • • 7 years ago
• ### The hedge strategy between SSE50 and A50--Jan 13,2017

Strategy Update: 1) The latest run result as followed: Last PL: 2910213 Biggest drawDown: -498050.6 Total buy(times): 15 Total sell(times): 5 Max Margin: 4434984 max bu...
Strategies • • 7 years ago
• ### The arbitraging strategy between CSI300 and SSE50

The data is from Aug 16, 2015 to Aug26, 2016 1. CSI300 vs SSE50 The contract multiplier for CSI300 is CNY 300, the contract multiplier for SSE50 is also CNY300, so: Can do the li...
Strategies • • 7 years ago
• ### The arbitraging strategy between CSI300 and A50

The data is from Apr 16, 2010 to Aug 26, 2016 1. CSI300 vs A50 1) Transform: The contract multiplier for CSI300 is CNY 300, the contract multiplier for A50 is U...
Strategies • • 7 years ago
• ### New indicator to analyze the arbitrage opportunities between sse50 and csi500

New indicator to analyze the arbitrage opportunities between sse50 and csi500 The data: the daily closed prices of sse50 and csi500 since April 16th,2015 rt<-read.table("...
Strategies • • 7 years ago
• ### The Great China Bubble: Anniversary Lessons and Outlook

“History is a nightmare from which I am trying wake.” – James Joyce, “Ulysses”Summary: The destruction of margin trades and the path of a subsequent global volatility spill via a depreciating RMB dist...
Strategies • • 7 years ago