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动量与反转策略指南，包括行为金融学基础、动量反转效应的成因和A股量化策略。适用于需要理解和实施动量/反转投资策略的场景。
Installer avec Codex ou Claude Copiez ce prompt, collez-le dans Codex, Claude ou un autre assistant, puis laissez-le vérifier la page du skill et l'installer pour vous.
Basé sur la classification professionnelle SOC
| name | momentum-reversal |
| description | 动量与反转策略指南，包括行为金融学基础、动量反转效应的成因和A股量化策略。适用于需要理解和实施动量/反转投资策略的场景。 |
过去一段时间强的股票，在未来一段时间继续保持强势。
过去一段时间弱的股票，在未来一段时间会变强。
EMH无法解释的现象：
利用历史收益率的序贯相关性：
| 参数 | 范围 | 说明 |
|---|---|---|
| 观测期 | 1-12个月 | 过去收益计算周期 |
| 持有期 | 1-12个月 | 组合持有周期 |
| 分组数 | 3-5组 | 股票分组数量 |
多空策略
多头策略
采用几何平均值：
组合收益 = (Π(1+ri))^(1/n) - 1
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