从涨停板、"打板策略"到赚钱效应引发的情绪择时指标

01020304 2 /CONTENTS01020304 01 01 6 02股价出现上行/下跌接近涨跌停投资者由于对流动性降低的担忧导致乐观/悲观情绪放大，加大买入/抛售力度 投资者情绪被放大，出现“磁吸效应”，导致股票封板 02-0.06-0.04-0.0200.020.040.060.08涨停板个数 跌停板个数 02涨停占比=σ交易日涨停股票数量同期总股票数量×100%跌停占比=σ交易日跌停股票数量同期总股票数量×100%涨跌停比值=σ交易日涨停股票数量σ交易日跌停股票数量 -0.08-0.06-0.04-0.0200.020.040.060.080.1涨停板占比跌停板占比 02 0200.511.522.532010011520100507201008202010120320110318201107012011102120120210201205252012090720121228201304192013080220131115201402282014061320140926201501092015042420150807201511202016031120160624201610142017012620170512Wind全A 2017082520171215201803302018071320181102201902222019060620190920202001032020042420200807202011202021030520210618202109302022011420220506202208192022120920230331202307142023110320240223202406072024092020250103组合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ind全A组合 02净涨停占比=涨停占比−跌停占比涨跌停强度=涨停占比−跌停占比涨停占比+跌停占比 00.020.040.060.080.10.12净涨停占比涨跌停强度 02 0200.511.522.533.520100115201004162010070920100930201012242011031820110610201109022011120220120302201205252012081720121116201302082013051020130802201310252014011720140411201407042014092620141219201503132015060520150828 20151120201602192016051320160805201611042017012620170421201707142017101320180105201803302018062220180914201812142019031520190606201908302019112220200221202005152020080720201030202101222021041620210709202109302021122420220325202206172022090920221209202303102023060220230825202311242024022320240517202408092024110120250124Wind全A组合 02-2%-1%0%1%2%3%4%5%6%7%涨停个股 ”打板策略“平均次日收益率收益波动率 02涨停次日收益=σ交易日涨停股票次日收益率（周末除外）σ交易日涨停股票数量（周末除外）跌停次日收益=σ交易日跌停股票次日收益率（周末除外）σ打板策略收益=σ交易日执行打板策略的实际收益σ交易日执行打板策略的次数 交易日跌停股票数量（周末除外） 0200.511.522.533.542010011520100423201007232010102220110121201104222011072220111028201202032012050420120803201211092013020820130517201308162013111520140214201405162014081520141114201502132015051520150814 20151113201602192016052020160819201611252017022420170526201708252017120120180302201806012018083120181207201903152019061420190912201912132020032020200619202009182020121820210319202106182021091720211217202203252022062420220923202212302023040720230707202310132024011220240419202407192024101820250117Wind全A组合 0200.511.522.53201001152010041620100709201009302010122420110318201106102011090220111202201203022012052520120817201211162013020820130510201308022013102520140117201404112014070420140926201412192015031320150605201508282015112020160219 2016051320160805201611042017012620170421201707142017101320180105201803302018062220180914201812142019031520190606201908302019112220200221202005152020080720201030202101222021041620210709202109302021122420220325202206172022090920221209202303102023060220230825202311242024022320240517202408092024110120250124Wind全A组合 020.60.70.80.911.11.21.31.41.52016011520160318201605132016070820160902201611042016123020170224201704212017061620170811201710132017120820180202201803302018052520180720201809142018111620190111201903152019051020190705 2016–2025.04.03201908302019102520191220202002212020041720200612202008072020093020201127202101222021031920210514202107092021090320211029202112242022022520220422202206172022081220221014202212092023021020230407202306022023072820230922202311242024011920240322202405172024071220240906202411012024122720250221Wind全A组合 03 03 信号2016年前≥31-202016年后≥3210 0300.511.522.532010011520100416201007092010093020101224201103182011061020110902201112022012030220120525201208172012111620130208 03 23%34%14%29%空仓50%仓位75%仓位满仓 年份2010201120122013201420152016201720182019202020212022202320242025YTD03 0300.511.522.533.542010011520100416201007092010093020101224201103182011061020110902201112022012030220120525201208172012111620130208 2013051020130802201310252014011720140411201407042014092620141219201503132015060520150828201511202016021920160513201608052016110420170126201704212017071420171013201801052018033020180622201809142018121420190315201906062019083020191122202002212020051520200807202010302021012220210416202107092021093020211224202203252022061720220909202212092023031020230602202308252023112420240223202405172024080920241101中证1000情绪择时组合 WindAMA10>MA20>MA60MA60>MA20>MA1003 0.10.50.75>20 0300.511.522.533.544.52010011520100416201007092010093020101224201103182011061020110902201112022012030220120525201208172012111620130208 201305102013080220131025201401172014041120140704201409262014121920150313201506052015082820151120201602192016051320160805201611042017012620170421201707142017101320180105201803302018062220180914201812142019031520190606201908302019112220200221202005152020080720201030202101222021041620210709202109302