Last year, quant traders were still enjoying the view of the villa, but this year, they were ruthlessly cut a wave of leeks. As soon as the market opened, the quantitative trader in Ningbo sold 2.5 billion yuan in just one minute, triggering a dive in the Shenzhen Component Index and the Shanghai Composite Index. He received cordial greetings from the two major exchanges. This neighbor of Ningbo is the top in the field of quantitative trading, with a scale of 60 billion yuan. So, why did he choose to smash the plate at the top? Perhaps, this is his helpless move after serious losses.
Some friends may not understand, isn't quantitative trading a harvesting machine that can make money when it rises and can make money when it falls? Why the huge loss? This brings us to the mainstream quantitative strategy of DMA. To put it simply, DMA is borrowing money to hedge. For example, I have 1 million, and then borrow 3 million from the brokerage, and take the 4 million on the one hand, small-cap stocks, micro-cap stocks, and on the other hand, to make an air warrant 500 stock index, and use the difference in volatility to obtain profits. It seems to be perfect, but in fact it is pseudo-quantitative. Once the selling of micro-cap stocks** and stock indexes** is restricted, hedging is impossible. To make matters worse, the national team may pull up the stock index**, leaving short-selling operators beaten at both ends and having to bear the interest on leverage.
True quantitative trading is about using a small probability advantage to play an infinite number of repetitions, rather than speculating on the elasticity of micro-cap stocks. At present, the exchange is regulating quantitative trading and proposing measures to report before trading. But it is not only quantitative trading that needs to be regulated, but also the best people behind it. Please, get down to business!