ID-792_三振荡器共识动量选股研究报告

# FORMULA-792 ?????????? ???? > ??ID?FORMULA-792?ID_792.tn? > ?????????? #12?Vortex ?? + Mass Index ???? + CMO ???? ?????? > ?????2026-07-24 15:00?Asia/Shanghai? > ?????formula-research-unified-v4.5 --- ## A. ?????Implementation Details? ### A.1 ????????? ????????????????? RSI/MACD/KDJ ????????"?????????"??????**??????????????????**???? - **Vortex??????**????????????????? VM+/VM-??????? TR ??????????"??"???VIPLUS>VIMINUS ??? = ????? - **Chande Momentum Oscillator (CMO)**?? 14 ??????????????????????? [-100,100] ??????CMO>0 ? >REF(CMO,1) = ??????? - **Mass Index??????**?? (HIGH-LOW) ??? EMA9/EMA9 ???? 25 ????"????"??????MI ??? <27 = ?????????? ?????VORTEX_UP AND MOM_OK AND MI_FUEL????????CLOSE>MA20 ? MA20 ???????????0.8~3?VMA5?????????1%~6%????????? ### A.2 ???? - ??? T-1 ???????/????????? REF(X,-1) ???????T ?????? - ????????????????????? XG:BUYSIG?? - ????? MA20 ? CMO<-10????????SELL ? AND-only ???????????? ### A.3 ???? - ???????????????????? - ?????MA20 ?????????? - ??????1%~6%??????????? - Mass Index ??????MI>=27 ??????????? ### A.4 ???? - ??????? MA20 ??????????/??????? - ??????????????????????????? 2?ATR ????? ### A.5 ??????? - ?? A ????????? ~10027 ???? 100 ??????? - ???????+?????????????/??????? ### A.6 Warmup ?? - ?????MI ?? 25 ? + EMA9 ?? + Vortex/CMO ? SUM14 + MA20?????? **Warmup=60**?? 60 ? K ????????? 61 ?????? ### A.7 ???????A / ??B ????? | ?? | ??A (backtest_cli) | ??B (backtest_planb) | ??? | |---|---|---|---| | ????? | 100 | 100 | ?? | | ???? | 44.00% | 44.01% | ??0.01%??????| | ????? | +2.10% | +2.10% | ?? | | ??????? | 39.0% | 39/100=39% | ?? | | ???? | 000338 (+91.6%) | ? | ? | | ???? | 000063 (-29.0%) | ? | ? | | ???? | 232??2025-06-10~2026-05-25?| ? | ? | | ???? | 9921?????????????????| ? | ? | > ???????????/???/????/???/?????**?????VaR(95%)?CVaR(95%) ?????????"?????"?????**?Iron Rule 5?? --- ## B. ?????Limitations and Bias? 1. **????**???????????? ~10027 ??? 106 ???????9921 ?????????????????????????????? ~232 ??????????? 2. **????**???????????? MA20 ? CMO<-10?????????????????????????????? 6 ???????????????????????? 3. **?????**?????????????????????????????? 44%????????+?????????????? 000338 ??? +91.6%???????????????? 4. **?????**?Vortex/CMO ?? 14?Mass ?? 25 ???????? 10/20 ??? MI ????????????????????????????? 5. **Look-Ahead ??**????????? REF/SUM/MA ??????????????TR ???????? TR() ????? --- ## C. ?????Result Interpretation? ### C.1 ???? ????????????????"??(Vortex) + ????(CMO) + ??????(Mass)"???????????????????????????????????????? ### C.2 ??? - ????? RSI/MACD/KDJ ??**??????**??????????? #12 ???????? - ??? Mass Index ??"??????"?????????????????? ### C.3 ??? ?????**???? 50%?44%?**???"????????"????????????? 6~7?? 000338 ??? 7.43???????????????????????? ### C.4 ???? ??**??????????**??????????????????????? ### C.5 ???? - ??????????D?? xs-rs???????????????????? - ? 2?ATR ???????? MA20 ???????? - ?????? combo_lab ??????????????? N-of-M ????? ### ?????????? 3 ????? 1. **?????????????** ???Vortex(14)/CMO(14)/Mass(25+EMA9) ????????????????????? A/B ??????????????diff 0.01%????????? 2. **?????? 44%???????/???** ????? v4.5 ??????????"?????<50%???"???????????????????????????????????????????? effective_logics? 3. **??????????????Look-Ahead??** ?????????????? REF/SUM/MA/EMA ??????TR ?????SELL ? AND-only ?????? REF(X,-1) ??????????????? 4. **???A/B ???????????** ?????A(backtest_cli/MyTT ??)???B(backtest_planb/tdx_interpreter ?????)??????????? diff 0.01%???????? --- ## ????? - ?????tongdaxin/ID_792.tn + formula-results/formula_ID_792.tn - ?????formula-results/ID-792_??????????????.md - ??????formula-results/ID_792/?summary_planA.json / summary_planB.json / planA_raw.json / planB_raw.json? - ??? Hermes???????/ChromaDB/????/????/?????