r/letfs
投资成长型资产的系统性宏观趋势策略
作者分享了一种结合 QQQ 价格行为和高收益债券信用风险的策略，以规避成长型资产的深度熊市。
- 该策略利用高收益债券信用风险来识别宏观趋势，从而避免成长型资产的深度崩盘。
- 回测表明，该策略成功度过了科网泡沫、次贷危机和2022年加息等重大市场崩盘。
- 该策略的交易次数极少（23年内仅12次），在长期牛市中可能会错失机会。
- 成长型资产本身具有较高的贝塔值，对债券信用风险高度敏感，在市场压力期间容易受到冲击。
这是一个基于 Tradingview 的策略，结合 QQQ 价格走势与高收益债券的信用风险，帮助判断成长型资产的宏观趋势。长期持有成长型资产最大的问题在于，在深度暴跌或长期熊市期间，这些投资组合可能被彻底摧毁。该系统旨在应对较小的市场回调，同时设计为在深度修正或长期熊市来临前及时退出。
QQQ 回测结果：
从统计上看，该策略在回测中交易次数极少（23 年仅 12 次），而这正是我所追求的——因为这更像是一种投资策略，而非“交易”策略。
蓝色箭头 = 做多
紫色箭头 = 平仓
高收益债券对市场风险极为敏感。这类债券由违约风险较高的公司发行，一旦出现市场压力，投资者会迅速反应。由于成长型资产普遍具有比其他资产更高的贝塔值，因此它们对债券信用风险最为敏感。购买这些债券的并非散户，而是机构投资者。已有近 30 年的数据可供参考，这也是我选择追踪高收益债券信用风险的原因。
至于 QQQ，它是 1999 年推出的 ETF，跟踪纳斯达克 100 指数（纳斯达克市值最大的 100 家非金融类美国公司）。该基金以成长型公司为主导。由于其持仓会定期调整，因此能可靠地反映未来成长型资产的动量趋势。这也是我为何将 QQQ 价格走势纳入策略分析的原因。
策略运作方式：
该策略通过分析高收益债券的信用风险数据，识别风险缓解或加剧的条件。该数据存在一天延迟，回测中已考虑这一因素以确保现实准确性。与此同时，策略还会分析 QQQ 的价格走势，判断技术面是否适合发出做多或平仓信号。我可以告诉你，该策略内置了一个软性“止损”信号：如果 QQQ 跌破 -20%，系统将自动触发保护机制，以防平仓信号未能及时生效。
除了主要的做多和清仓信号外，还有额外的指标（绿色三角形）作为可选的分批加仓信号，只要市场风险仍可控，就会在市场回调时触发。我还用蓝色标记了做多信号临近的日子，红色标记了平仓信号临近的日子。
如何使用：
由于该系统旨在追踪市场的宏观趋势，因此可应用于一篮子优质成长股。杠杆型 ETF 也可考虑，但必须警惕高波动性和波动率衰减问题。同时避免过度配置杠杆产品，因为即使有系统辅助，回撤也可能非常严重。如果当前策略处于“做多”状态，应避免追高，直到系统给出明确的入场条件。
Tradingview 对免费用户不提供任何技术警报功能，因此另一种适合投资者的方式是设置每周手机提醒，定期检查图表。若 QQQ 高于 200 日均线，很可能做多信号即将出现；若 QQQ 低于 100 日均线，则应更频繁地关注平仓信号。
反馈请求：
我正在寻求反馈，因此目前向所有感兴趣的人免费开放该策略，以便观察其在不同资产上的表现。如果你有兴趣体验，请告诉我。
免责声明：
本策略仅为软件工具，仅用于教育和信息参考目的。不构成财务建议，过往表现不代表未来结果。请自行管理风险与仓位大小。
What are you using to track high-yield bonds credit risk data and what exactly are you looking at to make a decision?
The strategy tracks ICE BofA US High Yield Index Option-Adjusted Spread. When market stress increases, the yield widens (goes up) and vice versa. The strategy looks at different technical conditions to determine if the spread movement has been significant enough.
Can you be more specific in how you determine if the spread movement was significant? Thank you
Saw this and got curious if it actually holds up, so I rebuilt the gist of it. Couldn't see your real rules, so this is my own rough version of the same idea, not a copy of yours.
Tested on QQQ, 25 years:
- long when QQQ is over its 200d SMA, out when it breaks the 100d
- cash whenever HY OAS sits above its own \~50d average (credit stress rising), lagged a day so there's no look-ahead
- hard exit if QQQ falls 20% off its high
The core idea clearly works. It ducked the worst of every big one (dot-com, '08, COVID, 2022 all came out far shallower than just holding QQQ), max drawdown went from roughly -80% down to about -30%, and risk-adjusted return was better across the board. The credit read is real, high yield flinches first.
Two honest catches though. Mine whipsawed badly, 200+ trades vs your 12, so whatever you're using to smooth the spread signal is doing the real work that my crude "above the 50d" isn't. And even with the shallow drawdowns, it sat underwater for \~8 years after the 2000 top and gave back a big chunk of the bull, ending well behind buy-and-hold QQQ on total return (about 7%/yr vs 9%).
So, solid as a capital-protection overlay, not a free lunch on returns. Curious how you keep the trade count that low.
https://preview.redd.it/fieksow47m9h1.png?width=1257&format=png&auto=webp&s=27303606274f7aea79304f9f3995fdb021dd6e12
Oh man sorry for some reason I didn't get notification of your message. That's some nice work there, nice to see someone else backtest the logic. Thing with doing trades only based on moving averages is that during choppy markets you can get a lot of trades like it seems you got. :)
Jaewon jung has presented a similar strategy based on the ICE BofA US High Yield Index Option-Adjusted Spread, you should take a look and compare the risk-on / risk-off criteria: https://www.1nve.st/p/the-best-macro-indicator-round-two
I would like to check it out
Thanks for the interest. I'm looking for couple more testers, I'll let you know when it's ready.
I would like to check out as well.
Thanks for the interest, we are getting closer to the open. I'll let you know when it's ready.
Fascinating. Your MaxDD number is almost certainly wrong, the 2000 trade you are showing makes you exit 20% below the highs...?
The max drawdown is just how Tradingview defines it, which looks at how deep the trade visited in the negative territory. 2000 trade exits around -20% yes. In that day Nasdaq 100 dropped -7% and it was still near 100 SMA.
Right, so that's exactly the gap. The MaxDD on the stats panel is the closed-equity number, but what the investor actually lives through is that ~20% intra-trade in 2000, plus whatever the open position is sitting at when you finally exit. TradingView has a separate "max equity drawdown" that includes open trades, can you screenshot that one? I'd bet the lived drawdown is closer to 25-30%, which is still good for QQQ exposure but a different story than the headline stat.
That data is locked behind subscription which I don't have at this moment. I might be able to show it later.