This is Xing buidi 84 I want to quantify the sharing of the small lecture hall
author | Xing can't 、 Mies zinc selenium
A Stock is a magical place , Its biggest feature is that it does not rise for many years and will last forever 3000 spot .
Because of this , teasing A There are endless stories about stocks .
Even the Chinese men's football team is a rotten industry Diss, irony A Shares are worse than the national football team .
What I want to say is , Even though A Stocks have many problems , But it will never be as bad as the men's football team . At least A Stocks are definitely higher than the men's football team in the world .
Slide left and right to view the ranking comparison
But no matter A Which is better, thigh or men's football , Can't change The Chinese stock market has been 3000 The fact that points fluctuate up and down .
So let's explore the following A Stocks will not rise for ten thousand years The principle behind it .
And on this basis, we derive a Simple and efficient A Stock strategy , The final effect is as shown in the figure ：
300 Double mystery strategy
from 07 Since, according to the strategy, the trading can be turned into 200 Many times , can Substantially outperform Shanghai and Shenzhen, which represent the market 300 Index .
How did this strategy come about , What's the principle of it ？ It all starts with The Shanghai composite index Speaking of .
01
Introduction to Shanghai Stock Exchange Index
Speaking of A Shares surround 3000 When the point fluctuates up and down , By default we mean The Shanghai composite index . It contains all those listed on the Shanghai Stock Exchange 1700 More than one stock .
The Shanghai index is 2007 At the beginning of the year 2700 P.m. , During this period, it was up to 6000 spot , Then all the way down . In recent years, I have been 3000 It fluctuates around the point .
from 07 Year to 21 It's a whole year 15 Years of time only rose 36%, It really pulls the crotch .
Monthly data of Shanghai Stock Exchange Index
Although the media will default to use the Shanghai stock index to represent the Chinese stock market , But traders with some experience will not look at it .
Because everyone knows it is a The distortion The index of , Can't describe the overall market situation very well .
Then why is the Shanghai Composite Index distorted ？ We take it from its Preparation method You can get the answer by starting , This is also closely related to our strategy .
02
The compilation method of Shanghai stock index
The compilation method of Shanghai stock index is Weighted average of the total market value .
That is, the daily rise and fall of a single stock will contribute to the whole rise and fall according to its market value weight .
Just looking at the definition may not be well understood , Let me give you another example .
If you are interested in index compilation , Welcome to scan the QR code below or add I wechat xbx719 Communicate with me .
1
case analysis
As shown in the following table , The total market value of Moutai that day was 2.6 One trillion , It is the highest among all Shanghai stock exchanges . Press... In turn Market value ranking , The final market value of Sanmao is only 12 Billion .
Put these stocks Total market value You can get the total market value of the Shanghai stock index （48 One trillion ）.
Data time ：2021 year 12 month 31 Japan
We use this to calculate the proportion of each stock in the total market value of Shanghai Stock Exchange , Like Maotai The market share is 5.37%（25752/479553=5.37%）, And the lowest ranking Sanmao is only 0.05%（12/479553=0.05%）
Share of stock market value
Maotai rose or fell on the same day -1.2%, So its impact on the market
Namely 5.37% * （-1.2%）. Other stocks can do the same .
We can finally add up these values to get The Shanghai stock index rose or fell by 0.57%.
From this we can know , The larger the market value of the stock , The greater the impact on the index .
Obviously, Moutai has the greatest impact on the index , The influence of Sanmao on the index can be basically ignored .
such The market value is very different This phenomenon is very serious in the constituent stocks of Shanghai Stock Exchange Index .
2
Weight drag index
We still use 2021 year 12 month 31 Take the daily data as an example .
A total of 1750 Share only
Top market capitalization 100 The proportion of the stock weight exceeds 52%, The rest of the 1650 The total number of stocks only accounts for 48%. This is very similar to our wealth gap data .
So the top 100 The stock of Shanghai Stock Exchange has a great influence on the trend of Shanghai Stock Exchange Index .
Let's look at the top stocks in the table below , E.g. XX line 、 In a certain oil 、 So and so on .
Before market value 100 Stocks
You can easily start from their month K It can be seen from the line diagram These stocks are basically in a millennium period The situation of , Just like Chinese football .
Slide left and right to see more
But there is also a reason why these stocks have not risen .
Most of them are state-owned enterprises , Just serve the party and the people , There is no need for shareholders （ capitalist ） be responsible for .
To make a long story short , The essential reason why the Shanghai stock index has not risen for many years is ： For the Shanghai Stock Index Heavyweights with the greatest impact have not risen or even fallen for many years , As a result, the index has been in 3000 Around the point .
Now that we understand this phenomenon , You should think about how to use it .
For example, I am very curious , If Remove or reduce the influence of these heavyweights , Also buy the constituent stocks of Shanghai Stock Exchange Index , Whether its revenue will increase ？
03
Shanghai Stock Exchange equal weight index
1
The concept of equal weight
Let's do an experiment here , Still calculate the daily rise and fall of these stocks . But the rules Each stock has an equal impact on the overall index .
Index equal weight Compilation Rules
For example, both Maotai and Sanmao have an impact on the index 1/1750, It has nothing to do with market value .
Data time ：2021 year 12 month 31 Japan
It is equivalent to that we re compile a Equal weight index , It no longer favors large cap stocks .
At the same time, we continue to keep the constituent stocks of the new index consistent with the Shanghai index every day , But they affect each other Different weights .
What will be the final return of this equal weight index , Will it surpass the original Shanghai Composite Index ？
2
Data code
Want to know the result , First, we need the data of every stock every day .
I have helped you sort out the data , Including all the stocks （ Including delisted shares ）. The data is shown in the figure ：
Data presentation
It covers the first day since the listing of this stock , Daily Open higher and close lower prices and total market value .
With the data , adopt Python Code calculation can get the corresponding results .
If you need data and code , You can scan the QR code below or add me WeChat xbx719, They can be sent to you for free .
3
Equal weight index results
The final result is shown in the figure below ：
The Yellow curve in the figure represents the Shanghai Stock Exchange Index , from 2007 It has risen since 36%, Very hip pulling .
And the blue curve representing the equal weight index rose 8.59 times . although 15 The year has only turned 10 Less than times , But also Far better than the Shanghai composite index itself .
The equity index net value performs better
Now let's take a look at the sentence of a football commentator “ Vietnam's stock market turned A Burst 6:1”.
If you put the card on Equal weight index and Vietnam stock market from 2010 If you start to make a comparison in, you will find , Even though the Vietnam index has started to soar in recent years , But it The overall increase is still not better than the equal weight index . I'm afraid this will disappoint Mr. Liu .
Shanghai Stock Exchange equal weight index vs Vietnam index
Through the explanation just now , We already know , The index does not really reflect the rise and fall of the market because of the compilation .
We can go through To achieve higher growth through equal rights purchase of all constituent stocks .
4
Process practice
But this knowledge can not only let us understand the rules of index compilation , It doesn't really help the investment .
Because there is no way to put into practice . You don't have so much money to buy so many stocks .
You don't have the ability to order so many stocks at once , If you place an order one by one, you don't know how long it will last .
Unless you like us can realize the programmed automatic order .
Interested parties can watch this video
Moreover, there is no corresponding index fund in the market Equal rights track all shares Of , So you Basically, it is difficult to realize this benefit .
But now that we know A Stocks do not rise because Large cap stocks detract from the index . Then we can think the other way , If Buy only small cap stocks , Can we achieve higher returns ？
04
Strategy building
1
Small market value strategy
We can try to build a simple stock selection strategy .
Security Selection
On the last trading day of each month Shanghai and Shenzhen 300 The constituent stocks of the index are sorted by market value .
selection The smallest market capitalization 10 Stock only , At the opening of the first trading day of the next month, all positions are bought .
After that, no matter how it goes up or down Hold immovable , Wait until the closing of the last trading day of the month to sell out the shares .
Then continue to select the stocks with the smallest market value at this time and buy , such cycle .
2
Illustrate with examples
For example, I am in 2006 Year of 12 month 29 Shanghai and Shenzhen of the same day were selected on the th 300 Among the constituent stocks The smallest market capitalization 10 Stock only .
Then I'll be 2007 year 1 On the first trading day of the month Equal position purchase They are not held until 1 month 31 We'll sell out in the next day .
Then choose the latest one 10 Buy only stocks , Repeat the above operation every month .
In this way, everyone should be able to fully understand , This is a very Simple strategy , It's easy to implement .
Because you only need to trade once a month , On the market software Sort by market value You can know what to buy .
So what are the benefits of this strategy ？
3
Strategy results
I do not recommend manual calculation of the benefits of this strategy .
We used Python Programming and corresponding stock data to get this result .
It is worth mentioning that , We have a column of stock data here to confirm this Whether the stock currently belongs to Shanghai and Shenzhen 300 stocks Of .
Component stock screening
This data is very rare , If you are interested in data and code , You can scan the QR code below or add I wechat xbx719, They can be sent to you for free .
The running result of the code is shown in the figure ：
The blue curve shows the strategy , The final benefits are 26 About times , Far outperformed Shanghai and Shenzhen represented by the Yellow curve 300 Index .
There is a fly in the ointment , The maximum fallback of the strategy is as high as 70%, It's inevitable . Because the strategy requires always Full position holding Stocks , When all the stocks begin to fall , We are not immune .
But in actual transactions , You can choose the time , You can rely on your smart little head to avoid this biggest retreat .
But the cruel reality is , For most people , The more time you choose , On the contrary, the greater the pullback , The lower the payoff .
4
Strategy development
I suggest you try this strategy , Because it is essentially a Shanghai Shenzhen 300 The index of .
The key is , This strategy we only need to buy each time 10 Shares , Many people can afford it .
You can even buy... Every time 3 Stock only , See how it works .
You can scan the QR code below or add me WeChat xbx719, Ask me to modify the parameters after I ask for the code and data , I won't go into details here .
In addition to changing the number of shares , Can we extend this strategy further ？
05
Strategy optimization
1
whole A Introduction to small market value stock strategy
We were in Shanghai and Shenzhen 300 The constituent stock of Choose stocks in the stock market , If in Of all the shares Choose the stock with the smallest market capitalization , What will happen ？
Of course , To avoid buying stocks that are easily delisted , We need to add a constraint .
I hope Net profit of the selected stock in the last four quarters , That is, net profit TTM Greater than 0.
That is to say, the company we have chosen has at least recently 1 Years are money making . And this stock cannot be ST Shares or stocks about to be delisted .
under these circumstances , I pick and buy and hold every month The smallest stock by market value A month , It will not be sold until the last trading day of this month .
2
case analysis
For example 2006 year 12 end of the month , I chose 10 Stock only , Then in 07 year 1 Buy and hold the whole on the first trading day of the month 1 month .
I will be in 1 month 31 At the close of the day, the company sold its shares , And choose a new one 10 Stock only , stay 2 Buy and hold on the first trading day of the month , And so on .
In this way , How much will my final income be ？ We still have to use data and Python To achieve .
If you need this code and data , You can scan the QR code below or add me WeChat xbx719, Can be directly sent to you .
3
Strategy results
After running the code, the final result is shown in Figure ：
The blue curve represents the net value of the strategy
This seemingly simple strategy starts with 2007 Year begins , After deducting all the service charges, it finally turned over 284 times .
Annualized income Also from the original 25% To improve the 46%, The maximum pullback has also been reduced .
However, the maximum pullback is relatively large , You can try to further optimize the strategy .
And when we compare the capital curve of the two strategies , You will find that their performance is different in different time periods .
2015 Years ago all A The strategy of selecting small market value stocks has increased even more , but 15 So far this year , Shanghai and Shenzhen 300 The small market value stocks selected among the constituent stocks are better .
This is due to differences in strategic styles , Different strategies apply to different markets . So we sometimes run multiple strategies at the same time .
Of course, this is another topic , If you are interested, you can praise more , You can also scan the QR code below or add me WeChat xbx719 communication . We can talk about it later How to run with multiple strategies 、 Multi Strategy Selection and Multi Strategy rotation .
06
The end of the
thus , We go through A There is an inherent flaw in the stock index , Brings out an interesting trading strategy .
In fact, there are many similar interesting phenomena and extended trading strategies .
If you want to see it, you can praise it more , Or add me WeChat xbx719 communication , Like breaking 100 Words , After that, I will issue another issue to have a chat A Other interesting phenomena of stocks .
To make a long story short , We need to learn to Science investment , You can't just pat your head subjectively , Then make decisions based on some inaccurate experience .
In the final analysis , We speak with data .
07
Postscript
At the end of the article , Share a little with you Experience of quantifying investment .
Many people ask me how Xiaobai started Learn to quantify investment , There's nothing to The book list recommends .
My advice is Never read a book directly .
You're looking for Ben Programming Book reading , Then knock it out “Hello World” It's over ; You're looking for Ben mathematics Book reading , Then I fell asleep when I saw the formula on page 7 .
A better way to learn is to do practical projects , stay practice Learning quantitative strategies .
Research Report is a good quantitative practice project .
A research paper is a strategy , The authors are highly educated securities analysts with an annual salary of millions , All you have to do is Read the Strategy Research Report , And implement it in code .
During this period, I will learn nothing , Where will not order where , Holding Problem solving mentality To learn , Yield twice the result with half the effort .
Familiar with 300 tang poems , You can sing even if you can't write a poem .
So where can we Obtain the research report Well ?
You can scan the QR code below or add mine WeChat xbx719, I have different categories here Tens of thousands of research reports , Will Real time updates .
I can distinguish the difficulty , selected Then send it to you .
Add me WeChat xbx719 after , It's fine too Exchange quantitative investment related issues , I'm busy , The reply was slow , But I will reply to everything I see .
Have a good chat , We had a good chat , A lot of quantitative data 、 All the information is OK it's for you Of .
You can also turn over me Circle of friends The content of , quite a lot Quantify dry goods . Some content that will not be publicly developed , Will say in the circle of friends .
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