{"repo":"wepoets1107/hs300-momentum-hedge","free":true,"listed":false,"github":"https://github.com/wepoets1107/hs300-momentum-hedge","clone":"git clone https://github.com/wepoets1107/hs300-momentum-hedge.git","description":"A股沪深300动量对冲策略：300只成份股中动量选股Top5 + IF期货等名义对冲，周频调仓。5年回测+248.4%，CAGR 25.5%。","language":"Python","stars":21,"topics":["a-shares","backtest","csi300","hedge","momentum-strategy","quantitative-finance"],"license":null,"category":"trading","readme_excerpt":"HS300 Momentum Hedge / 沪深300动量对冲策略 A-shares CSI 300 momentum stock selection strategy with IF futures hedge. Weekly rebalance. PIT 5-year backtest +134.9% CAGR 16.8% (逐期真实成分股名单，消除幸存者偏差)。 沪深300动量选股 + IF期货对冲策略。周频调仓。 PIT回测 +134.9%，年化CAGR 16.8% 。 --- Strategy / 策略 Core Logic / 核心逻辑 1. Filter — Select CSI 300 stocks with 20-day momentum 0. 2. Rank — Sort by 5-day momentum (recent acceleration). 3. Pick Top K — Top 5 stocks, equal weight. Weekly rebalance. 4. Hedge — Equal notional short IF futures (CSI 300 index futures). Stock selection : 方案B（20日动量 0过滤 + 5日动量排序），取前5只等权做多，对等名义做空IF期货对冲，周频调仓。做空成本年化2%（IF期货滚仓成本）。 与同系列策略的对比 维度 纳指版 科创50版 沪深300版 ------ -------- ---------- -------------- 股票池 纳指100 ( 95只) 科创50 (50只) 沪深300 (300只) 对冲工具 PSQ (1x做空QQQ) 做空科创50ETF IF期货 做空成本 0.9%/年 5%/年 2%/年 对照组 QQQ 沪深300ETF 沪深300ETF 5.5年收益 +112.7% +27.4% +134.9% CAGR 16.0% 4.3% 16.8% 夏普 1.29 0.21 0.85 --- 回测 / Backtest (PIT重跑版) 2021-01 → 2026-08，初始 ¥100,000。使用逐期真实沪深300成分股名单（消除幸存者偏差）： 年份 策略 沪深300 超额 ------ ------ --------- ------ 2021 +25.8% -8.3% +34.1% 2022 +8.0% -20.1% +28.1% 2023 +14.7% -9.1% +23.8% 2024 +28.7% +19.2% +9.5% 2025 +15.2% +19.3% -4.1% 2026(至8月) +1.8% -0.7% +2.5% 总计 +134.9% -6.1% +141.0% 指标 策略 沪深300 ------ ------ --------- CAGR 16.8% -1.1% 夏普 0.85 -0.11 最大回撤 -18.9% -39.9% 终值(¥10万) ¥234,943 ¥93,949 注: PIT版数据来源为中证指数官网10次定期调样公告，部分调样为近似推测。原始固定名单版(+248.4%)存在严重幸存者偏差，此处PIT版为更可信的估计。 --- 看板 / Dashboard - 在线版 : https://wepoets1107.github.io/hs300-momentum-hedge/ - 本地版 : python server.py → http://localhost:5","default_branch":null,"files":null,"tree":[],"storefront":"/r/wepoets1107","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/wepoets1107/hs300-momentum-hedge/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}