Guide:
"Entanglement theory" is one of the most popular systems of technical analysis enthusiasts, and has also become one of the strategies of quantitative analysis research in recent years.
Text: Brother Kunpeng
In recent years, the "entanglement theory" has received the attention of many buy-side and sell-side research institutions, and there are many studies based on the principle of "entanglement theory", but there are few published studies on the strategy backtesting based on the entanglement theory composed of various signals.
According to the backtest results, the next day's earnings after the occurrence of the entanglement bottom divergence signal can outperform the Shanghai Composite Index in the past 10 days, 60 days, and 250 days, and the shorter the backtest period, the higher the winning rate.
In terms of 5-day returns, the last 10 days, the last 60 days, and the last 250 days can also outperform the Shanghai Composite Index, and the shorter the backtesting period, the higher the winning rate.
According to the segmented analysis of the market in the past year, the time period of the decrease in excess return is mainly divided into two parts: the first part is the period of general market decline and rapid decline of the index from January to February; The second part is the period from late March to early April, when a very small number of sectors performed and most of them adjusted.
In conclusion, the entanglement divergence strategy is more suitable for the period when the systemic risk of the whole market and the performance of a very small number of sectors alone.
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