ID-104-板块联动强度策略

{==============================================}
{板块联动强度策略}
{ID: 104}
{作者: QClaw}
{日期: 2026-06-09}
{==============================================}

{=== 参数设置 ===}
N := 20; {相关性计算周期}
TopN := 5; {选出联动强度最高的前N个板块}
Threshold := 0.7; {相关性阈值，>0.7为强联动}

{=== 板块指数定义 ===}
{假设有以下板块指数，实际使用时需要替换为真实的板块指数代码}
{此处使用变量名表示，实际应调用通达信板块指数函数}
Sector1 := "880301$上证金融"; {金融板块}
Sector2 := "880302$上证消费"; {消费板块}
Sector3 := "880303$上证医药"; {医药板块}
Sector4 := "880304$上证科技"; {科技板块}
Sector5 := "880305$上证制造"; {制造板块}

{=== 计算个股与板块的相关系数 ===}
{使用价量协方差方法计算联动强度}
StockReturn := (CLOSE - REF(CLOSE, 1)) / REF(CLOSE, 1);

Sector1Return := (Sector1 - REF(Sector1, 1)) / REF(Sector1, 1);
Sector2Return := (Sector2 - REF(Sector2, 1)) / REF(Sector2, 1);
Sector3Return := (Sector3 - REF(Sector3, 1)) / REF(Sector3, 1);
Sector4Return := (Sector4 - REF(Sector4, 1)) / REF(Sector4, 1);
Sector5Return := (Sector5 - REF(Sector5, 1)) / REF(Sector5, 1);

{计算相关系数(使用简化公式，实际应使用CORREL函数)}
Cov1 := SUM((StockReturn - MA(StockReturn, N)) * (Sector1Return - MA(Sector1Return, N)), N) / N;
Var1 := STD(StockReturn, N) * STD(Sector1Return, N);
Corr1 := IF(Var1 > 0, Cov1 / Var1, 0);

Cov2 := SUM((StockReturn - MA(StockReturn, N)) * (Sector2Return - MA(Sector2Return, N)), N) / N;
Var2 := STD(StockReturn, N) * STD(Sector2Return, N);
Corr2 := IF(Var2 > 0, Cov2 / Var2, 0);

Cov3 := SUM((StockReturn - MA(StockReturn, N)) * (Sector3Return - MA(Sector3Return, N)), N) / N;
Var3 := STD(StockReturn, N) * STD(Sector3Return, N);
Corr3 := IF(Var3 > 0, Cov3 / Var3, 0);

Cov4 := SUM((StockReturn - MA(StockReturn, N)) * (Sector4Return - MA(Sector4Return, N)), N) / N;
Var4 := STD(StockReturn, N) * STD(Sector4Return, N);
Corr4 := IF(Var4 > 0, Cov4 / Var4, 0);

Cov5 := SUM((StockReturn - MA(StockReturn, N)) * (Sector5Return - MA(Sector5Return, N)), N) / N;
Var5 := STD(StockReturn, N) * STD(Sector5Return, N);
Corr5 := IF(Var5 > 0, Cov5 / Var5, 0);

{=== 找出联动强度最高的板块 ===}
MaxCorr := MAX(MAX(MAX(MAX(Corr1, Corr2), Corr3), Corr4), Corr5);
StrongSector := IF(MaxCorr >= Threshold, 1, 0);

{=== 板块轮动信号 ===}
{当个股与最强板块的相关性突然下降，可能是轮动信号}
CorrMA := MA(MaxCorr, N);
CorrBreak := MaxCorr < CorrMA * 0.8; {相关性跌破均线的80%}

{=== 交易信号 ===}
{买入信号: 个股与板块联动强度高，且板块处于上升趋势}
SectorTrend := MA(Sector1, 20) > MA(Sector1, 60); {以金融板块为例}
BuySignal := StrongSector AND SectorTrend AND NOT CorrBreak;

{卖出信号: 联动强度下降或板块趋势反转}
SellSignal := CorrBreak OR (StrongSector AND NOT SectorTrend);

{=== 输出信号 ===}
DRAWTEXT(BuySignal, LOW, '买'), COLORRED;
DRAWTEXT(SellSignal, HIGH, '卖'), COLORGREEN;

{=== 可视化 ===}
MaxCorr, COLORWHITE, LINETHICK2;
Threshold, COLORYELLOW, DOTLINE;
CorrMA, COLORBLUE, DOTLINE;

{=== 板块联动强度排名 ===}
{使用DRAWNUMBER显示相关性数值}
DRAWNUMBER(StrongSector, LOW, MaxCorr * 100), COLORWHITE;

{=== 策略说明 ===}
{1. 计算个股与各大板块的相关系数}
{2. 找出联动强度最高的板块(相关性>0.7)}
{3. 当联动强度高且板块处于上升趋势时买入}
{4. 当联动强度下降(相关性跌破均线80%)或板块趋势反转时卖出}
{================== 风险提示（修复R04） ==================}
{1. 本公式仅供参考，不构成投资建议}
{2. 任何策略在极端行情下都可能失效}
{3. 建议组合使用，单一策略风险较高}
{4. 历史回测不代表未来收益}
{5. 实际使用需结合市场环境和其他指标}
{6. 投资有风险，入市需谨慎}
{================== 回测数据（修复R07） ==================}
{待真实回测验证 — 回测参数：沪深300成分股，2023-01-01至今，持有周期10日}
{预计胜率：待验证}
{预计总收益率：待验证}
{预计最大回撤：待验证}
{夏普比率：待验证}
{交易次数：待验证}