Research Reports
7 posts · sorted by date, newest first
Linear Weighted Multi-Factor Model (Non-Machine-Learning)
Before machine-learning, complete factor feature engineering via linear weighting: 22 Binance USDT-perpetual contracts, 2020–2025 six-year backtest — +679.79% return, 19.21% max drawdown, return/drawdown ratio 22.72, with year-by-year equity curves.
Crypto Multi-Factor Strategy: LSRATIO & TAKER
Two crypto factors — LSRATIO (top-trader long/short position ratio) and TAKER (active taker buy/sell ratio): signal principles and a 6-year backtest comparison, return-to-drawdown ratio 21.65 → 27.92 (+29%).
News Sentiment Strategy: Complete Research Report
Complete research of the news sentiment factor: IC/ICIR verifies sentiment is a lagging indicator → contrarian strategy → news + volume dual filter → momentum re-optimization. 10-month HK/US backtest excess return +28.93% / +36.47%; HK + momentum lifts return/drawdown to 7.29.
Stocks / Crypto / Forex: Backtest & Live Trading Report (2025)
Three lines: XPEV daily backtest (12.7M profit, 38% annualized), BTC/ETH futures trend strategies (47,500 USDT live test, annualized return/drawdown 6.05 / 7.32) and CEX–DEX spread arbitrage (no-leverage return/drawdown 376); plus ETH/SOL grid live trading on Ubuntu, MT5 Python development and FinGPT news sentiment exploration. Ongoing live records live in the Track Record section.
All-Weather Product Selection + Timing Strategy Report (2024-01)
56 commodity futures tested at a strict 0.06% of contract value: top-20% indicator rotation timing — 8-year profit 38.7M, max drawdown 1.34M, return/drawdown 28.88; adding stock indices (IF/IM/IC) lifts the portfolio's 8-year return/drawdown ratio to 35.72.
Equity Multi-Factor Model Strategy Report (2023-06)
Equity multi-factor model on Guoren.com: +1,776% compounded since 2010 with a 40.33% max drawdown, beta attribution vs. CSI 300; volume/volatility factor IC analysis (positive-IC probability 67% / 61%) and factor correlation tests.
Stock Selection + Timing Strategy Report (2023-06)
Stock selection + timing on 2,959 A-shares at a strict 1.5‰ one-way cost: 5.5-year profit 10.6379M, max drawdown 232k, return/drawdown ratio 45.79; on actually occupied capital of 10.4M — annualized return 18.6%, max drawdown rate 2.2%.