Backtesting Volume Confirmation on 15,900 A-Share Stock-Days

Описание и применение

Тестирование правила «сильный рост при слабом объёме» на 15 900 днях китайских акций показало, что без учета месячного дрейфа правило выглядит прибыльным, но после вычитания рыночного дрейфа все сигналы меняют знак, а базовый показатель – 47,3 % побед с отрицательным средним доходом – остаётся единственным надёжным индикатором.

Задача

Retail traders rely on the rule that a strong up day on weak volume signals a good next‑day return, but its validity in real data was unclear.

Результат

The raw rule shows positive returns on limit‑ups and negative on weak‑volume up days, but when adjusted for monthly drift all seven setups flip sign. The baseline win rate is 47.3% with a negative mean, indicating no real edge.

Рабочий процесс

• 1. Pull daily bars for 584 stocks from free public endpoints.
• 2. Compute today’s return, volume ratio (vs 5‑day average), and next‑day return for each day with ≥6 prior bars.
• 3. Aggregate results by calendar month and by rule buckets (price move & volume level).
• 4. Calculate baseline mean next‑day return for all days.
• 5. For each bucket, compute mean next‑day return and subtract the month’s market drift to obtain excess return.
• 6. Compare excess signs across consecutive months; discard setups that flip sign.
• 7. Report baseline, excess, and filtered results.
• 8. Publish full script on GitHub for replication.

Доказательства

Everything below is computed from that. No synthetic data, no curve fitting.

Источник

All seven setups flip.

Источник