鄉民指標 有人有興趣嗎? - 股票
By Mia
at 2021-03-31T21:14
at 2021-03-31T21:14
Table of Contents
最近在整理ptt過去五年來的標的文
好奇那些鄉民喊多的股票,最後下場如何
簡單歸納的話
板上喊多頭的股票 有6成後續是輸給大盤的
只有4成是贏的 整體計算的話alpha大約為-2%
當然實際數據沒那麼單純
包括持有天數、是否去除極端值、rolling計算的天數...等,都會影響,如果大家有興趣的話之後再寫
但另一個點是抱越久通常輸越多(勝率跟漲幅都是)
另一個蠻有趣的點是,今年Q1的多頭標的文數量
是5年來的歷史新高(更早之前的系統刪文了)
然後數據顯示多頭標的文的數量越多
通常鄉民喊漲的股票整體表現越差
關聯性還蠻高的QQ
不過在特定的少數季度,確實鄉民喊漲的股票,表現明顯較好,需要再進一步分析可能的原
初步看起來跟標的文po出前的大盤股價變動似乎蠻有關。
目前打算做一個「鄉民87」的ETF
資產組合會涵蓋離每日最近的87檔被喊多的股票
看一下歷史績效表現(預計應該是不太好...)
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