量化方法在债券研究中的应用四：可转债K线看跌信号与交易增强策略

摘要为65.88%。 目录1可转债K线形态因子分析..........................................................................................................................................................................11.1构建K线形态因子................................................................................................................................................................................11.2数据来源与处理....................................................................................................................................................................................21.3K线形态因子检验结果........................................................................................................................................................................22看涨看跌形态统计分析...............................................................................................................................................................................52.12K形态分布情况....................................................................................................................................................................................52.2不同败率看跌形态组合收益率..........................................................................................................................................................72.3触发K线形态买卖信号.......................................................................................................................................................................83基于看跌形态的交易策略..........................................................................................................................................................................93.1交易策略说明.........................................................................................................................................................................................93.2交易策略回测结果..............................................................................................................................................................................103.3敏感性分析...........................................................................................................................................................................................114总结与展望...................................................................................................................................................................................................125风险提示.......................................................................................................................................................................................................12 请务必阅读正文后的重要声明部分 图目录图1：因子多头组合组1与中证转债指数累计收益率..........................................................................................................................3图2：单K形态因子IC累计曲线.................................................................................................................................................................4图3：单K形态因子分组累计收益率..........................................................................................................................................................4图4：2K形态因子IC累计曲线....................................................................................................................................................................4图5：2K形态因子分组累计收益率.............................................................................................................................................................4图6：2K形态因子（胜率打分）IC累计曲线...........................................................................................................................................4图7：2K形态因子（胜率打分）分组累计收益率..................................................................................................................................4图8：2K看跌形态因子（胜率打分）IC累计曲线..................................................................................................................................5图9：2K看跌形态因子（胜率打分）分组累计收益率.........................................................................................................................5图10：2K形态因子IC累计曲线..................................................................................................................................................................5图11：2K形态因子分组累计收益率...........................................................................................................................................................5图12：不同胜率形态识别可转债组合累计收益率.................................................................................................................................8图13：中证转债指数中交易策略累计收益率........................................................................................................................................11图14：混合型转债中交易策略累计收益率............................................................................................................................................11表目录表1：因子信息系数分析...................