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| def three_percent_signal_trading_with_30_percent_rule(
initial_stock_value,
initial_bond_value,
target_stock_allocation=0.8,
target_bond_allocation=0.2,
signal_threshold=0.03,
bear_market_threshold=0.30,
quarterly_returns_stock=None,
quarterly_returns_bond=None
):
"""
模擬「3%訊號線交易」策略，加入「跌30%不出場」規則。
Args:
initial_stock_value (float): 初始股票ETF價值。
initial_bond_value (float): 初始債券ETF價值。
target_stock_allocation (float): 目標股票配置比例 (0到1之間)。
target_bond_allocation (float): 目標債券配置比例 (0到1之間)。
signal_threshold (float): 3%訊號線，即觸發交易的波動閾值。
bear_market_threshold (float): 觸發熊市保護的下跌閾值，例如 0.30 代表跌30%。
quarterly_returns_stock (list): 每季股票ETF的報酬率列表。
quarterly_returns_bond (list): 每季債券ETF的報酬率列表。
Returns:
tuple: 最終股票價值, 最終債券價值, 交易紀錄。
"""
current_stock_value = initial_stock_value
current_bond_value = initial_bond_value
trade_log = []
historical_max_stock_value = initial_stock_value
in_bear_market_protection = False
print(f"--- 初始資產配置 ---")
print(f"初始股票價值: ${current_stock_value:,.2f}")
print(f"初始債券價值: ${current_bond_value:,.2f}")
print(f"總資產: ${current_stock_value + current_bond_value:,.2f}\n")
num_quarters = len(quarterly_returns_stock) if quarterly_returns_stock else 0
for q in range(num_quarters):
print(f"--- 第 {q+1} 季 ---")
if quarterly_returns_stock and q < len(quarterly_returns_stock):
current_stock_value *= (1 + quarterly_returns_stock[q])
if quarterly_returns_bond and q < len(quarterly_returns_bond):
current_bond_value *= (1 + quarterly_returns_bond[q])
total_value = current_stock_value + current_bond_value
if current_stock_value > historical_max_stock_value:
historical_max_stock_value = current_stock_value
in_bear_market_protection = False
print(f"股票價值創新高: ${historical_max_stock_value:,.2f}，退出熊市保護模式。")
if historical_max_stock_value > 0:
current_stock_drawdown = (historical_max_stock_value - current_stock_value) / historical_max_stock_value
if current_stock_drawdown >= bear_market_threshold and not in_bear_market_protection:
in_bear_market_protection = True
print(f"*** 觸發熊市保護！股票從歷史高點(${historical_max_stock_value:,.2f})下跌了 {current_stock_drawdown*100:.2f}%。本季及後續將暫停再平衡交易。 ***")
elif in_bear_market_protection and current_stock_drawdown < bear_market_threshold:
in_bear_market_protection = False
print(f"股票從熊市中回升，跌幅({current_stock_drawdown*100:.2f}%)小於閾值，解除熊市保護。")
trade_amount = 0
trade_type = "無交易"
log_message = ""
if in_bear_market_protection:
log_message = "處於熊市保護模式，本季不進行再平衡交易。"
else:
target_stock_value = total_value * target_stock_allocation
deviation = (current_stock_value - target_stock_value) / target_stock_value
if abs(deviation) >= signal_threshold:
trade_amount = abs(current_stock_value - target_stock_value)
if deviation > 0:
current_stock_value -= trade_amount
current_bond_value += trade_amount
trade_type = "賣出股票"
log_message = f"股票部位過高 ({deviation*100:.2f}%)，賣出股票 ${trade_amount:,.2f}，轉入債券。"
else:
current_stock_value += trade_amount
current_bond_value -= trade_amount
trade_type = "買入股票"
log_message = f"股票部位過低 ({deviation*100:.2f}%)，買入股票 ${trade_amount:,.2f}，來自債券。"
else:
log_message = f"股票偏離度({deviation*100:.2f}%)在訊號線({signal_threshold*100:.2f}%)內，無需交易。"
trade_log.append({
"quarter": q + 1,
"stock_value_after_return": current_stock_value,
"bond_value_after_return": current_bond_value,
"total_value": total_value,
"historical_max_stock_value": historical_max_stock_value,
"in_bear_market_protection": in_bear_market_protection,
"trade_type": trade_type,
"trade_amount": trade_amount,
"message": log_message
})
print(f"當前股票價值 (成長後): ${current_stock_value:,.2f}")
print(f"當前債券價值 (成長後): ${current_bond_value:,.2f}")
print(f"本季總資產: ${total_value:,.2f}")
print(f"當前股票歷史高點: ${historical_max_stock_value:,.2f}")
print(f"是否處於熊市保護: {in_bear_market_protection}")
print(log_message)
print(f"交易後股票價值: ${current_stock_value:,.2f}")
print(f"交易後債券價值: ${current_bond_value:,.2f}\n")
print("--- 模擬結束 ---")
print(f"最終股票價值: ${current_stock_value:,.2f}")
print(f"最終債券價值: ${current_bond_value:,.2f}")
print(f"最終總資產: ${current_stock_value + current_bond_value:,.2f}")
return current_stock_value, current_bond_value, trade_log
quarterly_stock_returns_volatile = [0.05, 0.02, -0.10, -0.15, -0.08, 0.03, 0.12, 0.05, -0.02, 0.07, 0.03]
quarterly_bond_returns_stable = [0.01, 0.005, 0.008, 0.003, 0.01, 0.002, 0.005, 0.001, 0.004, 0.003, 0.002]
final_stock_30, final_bond_30, log_30 = three_percent_signal_trading_with_30_percent_rule(
initial_stock_value=80000,
initial_bond_value=20000,
quarterly_returns_stock=quarterly_stock_returns_volatile,
quarterly_returns_bond=quarterly_bond_returns_stable,
bear_market_threshold=0.30
)
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