Hypotheses
SPY Market-Strength-Conditioned Half-Month Calendar Strategy
A source-inspired adaptation of Guosen Securities' market-strength-conditioned month-start effect, published by BigQuant 宽邦. Trade SPY.USEQ using 1-DAY bars: remain long in strong markets; in weaker markets, go long…
Hypothesis
A source-inspired adaptation of Guosen Securities' market-strength-conditioned month-start effect, published by BigQuant 宽邦. Trade SPY.USEQ using 1-DAY bars: remain long in strong markets; in weaker markets, go long before calendar day 15 and short from day 15 onward. The original report concerns Chinese indices. This experiment tests transferability to a liquid US index ETF; it does not reproduce the report or adopt its claimed returns. Because the full PDF's RPS definition could not be verified, use the explicitly registered causal proxy below.
Analysis
基于市场强弱下月初效应的指数投资方法 国信证券_20180813_ - BigQuant量化交易
Backtest and paper results are hypothetical. Trading involves risk of loss.