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a-share-beta-hedging

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A股Beta对冲/市场中性策略。当用户说"对冲"、"beta hedging"、"市场中性"、"对冲策略"、"怎么对冲"、"空头对冲"时触发。量化构建市场中性组合。支持formal和brief风格。

QUICK START

How to use this skill

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  2. Copy the prompt below and paste it into your agent.
  3. Review the proposed files and risks before you approve installation.
Prompt to paste
I want to install this Agent Skill for this project in Codex.

Source SKILL.md: https://github.com/aifinlab/FinClaw/blob/HEAD/skills/a-share-beta-hedging/SKILL.md

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Copying this prompt does not install or run the skill. Review third-party files before use. Codex skill guide

A股Beta对冲/市场中性策略

数据源

SCRIPTS="$SKILLS_ROOT/cn-stock-data/scripts"
python "$SCRIPTS/cn_stock_data.py" kline --code [CODE] --freq daily --start [日期]
python "$SCRIPTS/cn_stock_data.py" quote --code [CODE]
python "$SCRIPTS/cn_stock_data.py" finance --code [CODE]

Workflow

Step 1: 计算个股/组合Beta

  • 回归法：R_i = α + β × R_m + ε（60日滚动）
  • 调整Beta = 0.67 × Raw Beta + 0.33 × 1

Step 2: 对冲工具选择

  • 股指期货（IF/IC/IM/IH）
  • ETF融券（如300ETF、500ETF）
  • 期权组合

Step 3: 计算对冲比率

  • 全对冲：空头名义值 = 多头名义值 × β
  • 部分对冲：根据风险预算调整对冲比例

Step 4: 基差风险分析

  • 期货贴水/升水对对冲成本的影响
  • 展期成本估算

Step 5: 输出

维度formalbrief
Beta计算多种方法对比当前Beta
对冲方案完整对冲方案推荐工具+比率
成本分析基差+展期成本年化对冲成本
默认风格：brief。

关键规则

  1. Beta不稳定——需用滚动窗口动态调整
  2. A股股指期货长期贴水——对冲成本=贴水+手续费
  3. 融券难借且成本高——限制了做空能力
  4. 对冲只消除Beta风险——Alpha也可能为负
  5. 对冲比例非一成不变——需定期再平衡

使用示例

示例 1: 基本使用

# 调用 skill
result = run_skill({
    "param1": "value1",
    "param2": "value2"
})

示例 2: 命令行使用

python scripts/run_skill.py --input data.json