RSRS index timing and large and small disc rotation

RSRS Index timing and size disc rotation

brief introduction :
RSRS Construction of indicators
1） Take before N The highest price sequence and the lowest price sequence of the day .
2） Put two columns of data , Take the highest price as the dependent variable , The lowest price is the independent variable OLS Linear regression .
3） Take before M Slope time series of days , Calculate the standard score of the slope of the day z.
4） take z Multiply by the coefficient of determination of the fitting equation , As the day RSRS Index value .

Choose Shanghai and Shenzhen 300 And Zhongzheng 500 Of ETF As the subject matter of the transaction , Choose the time by rotating the style of large and small plates .

Trading signal judgment
1） With RSRS Those with large index values are the trading targets ;
2） if RSRS Indicator wear threshold S, Then open a position to buy ;（S Is the opening and closing threshold ）
3） if RSRS Index undercut threshold -S, Then close the position ;
4） if RSRS Indicators in -S and S Middle time , Two targets RSRS Relative size changes , It means style rotation , Change warehouse , Otherwise, don't trade .

''' RSRS Index timing and size disc rotation   brief introduction : RSRS Construction of indicators  1） Take before N The highest price sequence and the lowest price sequence of the day . 2） Put two columns of data , Take the highest price as the dependent variable , The lowest price is the independent variable OLS Linear regression . 3） Take before M Slope time series of days , Calculate the standard score of the slope of the day z. 4） take z Multiply by the coefficient of determination of the fitting equation , As the day RSRS Index value .  Choose Shanghai and Shenzhen 300 And Zhongzheng 500 Of ETF As the subject matter of the transaction , Choose the time by rotating the style of large and small plates .  Trading signal judgment  1） With RSRS Those with large index values are the trading targets ; 2） if RSRS Indicator wear threshold S, Then open a position to buy ;（S Is the opening and closing threshold ） 3） if RSRS Index undercut threshold