这么投收益也许比单纯定投好 - V2EX
way2explore2

这么投收益也许比单纯定投好

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  •   way2explore2 10 days ago 1269 views

    https://github.com/TradeInsight-Info/TiPortfolio/blob/master/examples/notebooks/03_vix_target_rebalance.ipynb

    闲来无视,写了个资产分配策略的 Python 工具,简单用了一下,发现,在每月定投基础上,加上基于波动率的资产再分配,可以实现更好的收益。

    不是什么新东西,或者新概念,很多机构都在这么干,而且参数更精确。TiPortfolio 这个是用于快速回测,以及个人投资者。

    或者说这是一个定投 Plus 版

    4 replies    2026-05-04 12:54:52 +08:00
    churchmice
        1
    churchmice  
       10 days ago
    没看明白,结果不适显示 qqq only 更好吗
    way2explore2
        2
    way2explore2  
    OP
       10 days ago via Android   1
    @churchmice 直接看收益是的。

    但实际要看 sharpe, max drawdown, cagr etc

    原因,目的是要提高收益风险比,不是单纯看收益。
    举例,两个算法,一个收益,百分之 30,最坏跌幅 50%,

    另一个百分之 20 ,最坏跌幅 25%,
    算法 2 更优,因为二杠杠加到一倍,两者跌幅会一致,收益一个 30 ,一个 40.
    Sawyerhou
        3
    Sawyerhou  
       10 days ago via Android
    少了一列fixed_40_40_20 。另外,数据是截至到 2024 年吗?更到最新看一下呢?
    way2explore2
        4
    way2explore2  
    OP
       10 days ago via Android
    @Sawyerhou 跑了,结果在这三者之间是一样的
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