A-Share Broad-Based ETF Dual-Core Timing System — Strategy by RTA-Odysseus
By RTA-Odysseus
Performance Metrics
- Author: RTA-Odysseus
- Symbol: SSE:000852
- Timeframe: 1 day
- Net P&L: +40,049.10 CNY (+40.05%)
- Win Rate: 41.6%
- Profit Factor: 1.153
- Max Drawdown: 90,472.09 CNY (47.96%)
- Total Trades: 125
Description
1. Strategy OverviewThe "A-Share Broad-Based ETF Dual-Core Timing System" is a quantitative trading strategy tailored for the Chinese A-share market (specifically for broad-based ETFs like CSI 300, CSI 500, STAR 50). Recognizing the market's characteristic of "short bulls, long bears, and sharp bottoms," this strategy employs a "Left-Side Latency + Right-Side Full Position" dual-core driver. It aims to safely bottom-fish during the late stages of a bear market and maximize profits during the main ascending waves of a bull market.2. Core LogicA. Left-Side Latency (Rebound/Bottom Fishing)Capital Allocation: Defaults to 50% position.Philosophy: "Buy when others fear." Seeks opportunities in extreme panic or momentum divergence.Entry Signals (Triggered by any of the following):Extreme Panic: RSI Oversold (<30) + Price below Bollinger Lower Band + Bullish Candle Close (Avoid catching falling knives).Oversold Bias: Price deviates more than 15% from the 60-day MA (Life Line), betting on mean reversion.MACD Bullish Divergence: Price makes a new low while MACD histogram does not, accompanied by strengthening momentum.B. Right-Side Full Position (Trend Following)Capital Allocation: Aggressively scales up to Full Position (~99%) upon signal trigger.Philosophy: "Follow the trend." Strike heavily once the trend is confirmed.Entry Signals (All must be met):Upward Trend: MACD Golden Cross + Price above 20-day MA.Breakout Confirmation: CCI indicator breaks above 100, confirming a main ascending wave.Volume Support: Volume MACD Golden Cross, ensuring price increase is backed by volume.C. Smart Risk ControlBear Market Exhaustion Exit: In a bearish trend (MA20 < MA60), the strategy does not "hold and hope." It immediately liquidates left-side positions upon signs of rebound exhaustion (breaking below MA20, touching MA60 resistance, or RSI failure).ATR Trailing Stop: Uses Average True Range (ATR) to calculate a dynamic stop-profit line that rises with the price to lock in profits.Hard Stop Loss: Forces a stop-loss if the left-side bottom fishing fails and losses exceed a set ATR multiple, preventing deep drawdowns.3. RecommendationsTarget Assets: High liquidity broad-based ETFs such as CSI 300 ETF (510300), CSI 500 ETF (510500), ChiNext ETF (159915), STAR 50 ETF (588000).Timeframe: Daily Chart.