交易策略:动态再平衡

一、动态平衡组合

动态平衡是持有两个负相关、高波动的品种,经过一定时长后恢复原来仓位比例的交易方法。通过将仓位比再平衡,实现“高抛低吸”进而盈利

  1. 固定投入,定期再平衡
    其中的一个方案就是持有金融ETF和医药ETF,初始仓位比为1:1,经过1年(最短不要短于6个月)期间的涨跌后,市值比例恢复到1:1。
    动态再平衡
  2. 固定投入,按涨幅差额再平衡
    将负相关的两个品种,从一开始的1:1,当两个品种之间相对于初始日期的差额超过一定值时进行再平衡。
    比如A和B从一开始净值为1,设定两者涨跌幅相差20%的时候再平衡,当A为1.1而B为0.9时,就进行再平衡。
    有群友用金融和医药基金分别回测了相差10%、20%、30%、40%再平衡,发现30%的收益最高。
    我还没有做过相关的模拟,需要找时间验证
  3. 定投+动态再平衡
    定投2个负相关的品种,再结合上述1和2的策略。

无论何种策略,最基本的三个要素:入场点,止损点,止盈点。上述的再平衡策略实际上解决了止损和止盈的问题。

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