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

说明与用途

在 15,900 天的 A 股数据上回测“强涨弱量”规则，发现若不考虑月度漂移，规则看似有利可图；但调整漂移后，所有七个设置均出现符号翻转，唯一可靠的指标是基准胜率 47.3% 及负均值。

问题

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.

结果

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.

工作流

• 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.

证据

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

来源

All seven setups flip.

来源