关于XIV的计数, Google一下可得, 不作赘述。这里谈谈XIV是不是可以稳赚?
沧海将260周可用数据收集一处。为简单(懒人), 仅以周收盘价为准。按对称性原则,如买进信号为x%, 则卖出信号为(1-x)%。以下是六对买卖信值:
Buy Percentile |
VIX |
Sell Percentile |
VIX |
95% |
30.2 |
5% |
12.1 |
90% |
24.3 |
10% |
12.4 |
85% |
21.1 |
15% |
12.8 |
80% |
19.5 |
20% |
13.1 |
75% |
18.0 |
25% |
13.5 |
70% |
17.6 |
30% |
13.9 |
买入:VIX初次进入某买进信值(为简单见, 使用周收盘价, 下同),且无开仓;
卖出:VIX初次进入某卖出信值, 且有开仓。
以下是260周的理论交易小结:
Buy Percentile |
VIX |
Sell Percentile |
VIX |
Buy total |
Sell total |
P&L |
P&L% |
# Occurances |
95% |
30.2 |
5% |
12.1 |
(11.71) |
23.22 |
11.51 |
98.3% |
1 |
90% |
24.3 |
10% |
12.4 |
(11.74) |
23.22 |
11.48 |
97.8% |
1 |
85% |
21.1 |
15% |
12.8 |
(43.60) |
61.56 |
17.96 |
41.2% |
2 |
80% |
19.5 |
20% |
13.1 |
(75.72) |
94.02 |
18.30 |
24.2% |
3 |
75% |
18.0 |
25% |
13.5 |
(136.58) |
160.21 |
23.63 |
17.3% |
6 |
70% |
17.6 |
30% |
13.9 |
(169.50) |
190.73 |
21.23 |
12.5% |
7 |
可见XIV本身对于SPX并无先天优势。赚钱还是因人而已。
沧海概不荐股, YMYD
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