RY/TD 除息窗口策略 Dashboard
规则：RY.TO + TD.TO，除息日前 8 个交易日开盘买入，除息日后 9 个交易日开盘卖出，股息计入收益。
UniverseRY.TO + TD.TO
EntryT-8 open
ExitT+9 open
Cash FlowDividend included
2.25%税前、成本前毛收益
1.56%中位数收益
70.59%51 historical trades
4.22x盈利总额 / 亏损总额
0.42%平均每笔超额
-7.44%历史最差单笔
Strategy Quality
| Strategy | Universe | Trades | Avg | Median | Win | PF | Max Loss | Excess | Excess t |
|---|---|---|---|---|---|---|---|---|---|
| Candidate aggressive | RY/TD | 51 | 2.25% | 1.56% | 70.59% | 4.22 | -7.44% | 0.42% | 1.05 |
| Candidate balanced | RY/TD/NA | 77 | 1.85% | 1.22% | 64.94% | 3.04 | -7.44% | 0.39% | 1.11 |
| Candidate broad | Big 6 | 153 | 1.67% | 1.13% | 64.71% | 2.55 | -8.93% | 0.11% | 0.49 |
| Close-to-close check | Big 6 | 153 | 1.54% | 1.27% | 63.40% | 2.35 | -9.29% | 0.09% | 0.40 |
| Longer hold check | RY/TD/NA | 77 | 2.48% | 2.89% | 64.94% | 3.46 | -8.64% | 0.28% | 0.74 |
| Year | Trades | Avg | Win | Excess | Max Loss | Return Bar |
|---|---|---|---|---|---|---|
| 2020 | 7 | 0.44% | 57.14% | -0.70% | -3.29% | |
| 2021 | 8 | 2.17% | 75.00% | 0.15% | -3.96% | |
| 2022 | 8 | 1.67% | 62.50% | 0.98% | -4.88% | |
| 2023 | 8 | 3.99% | 75.00% | 1.45% | -0.23% | |
| 2024 | 8 | 0.01% | 37.50% | -1.20% | -7.44% | |
| 2025 | 8 | 3.68% | 100.00% | 1.46% | 0.55% | |
| 2026 | 4 | 4.89% | 100.00% | 0.90% | 0.09% |
| Ticker | Trades | Avg | Win | Excess | Max Loss | Return Bar |
|---|---|---|---|---|---|---|
| RY.TO | 26 | 1.92% | 76.92% | 0.28% | -2.61% | |
| TD.TO | 25 | 2.60% | 64.00% | 0.57% | -7.44% |
Risk Notes
From Dennis: 毛收益 t-stat 是 3.67
-3.62%5% worst-tail trade return
9.67%95% upside trade return
-2.38%Average losing trade
4.18%Average winning trade
Supporting Evidence
97.45%除息日开盘下跌比例
1.08%平均股息 / 前收盘价
-1.15%除息日开盘跳空
1.10x开盘跌幅 / 股息收益率
0.64%除息前 5 日平均收益
42.31%除息前 5 日下跌比例
1.07%t=-1 到 t=+10 总回报
-0.28%t=-1 到 t=+10 超额 vs XFN
Window Robustness
| Exec | Buy | Sell | N | Avg | Win | Excess | Max Loss |
|---|---|---|---|---|---|---|---|
| open_to_open | 8 | 9 | 153 | 1.67% | 64.71% | 0.11% | -8.93% |
| close_to_close | 9 | 8 | 153 | 1.54% | 63.40% | 0.09% | -9.29% |
| open_to_open | 8 | 15 | 153 | 2.25% | 65.36% | 0.09% | -11.84% |
| close_to_close | 7 | 8 | 153 | 1.52% | 65.36% | 0.09% | -9.50% |
| close_to_close | 9 | 9 | 153 | 1.67% | 63.40% | 0.06% | -10.41% |
| close_to_close | 9 | 18 | 153 | 2.60% | 70.59% | 0.06% | -12.54% |
| close_to_close | 7 | 9 | 153 | 1.65% | 62.75% | 0.06% | -10.19% |
| close_to_close | 5 | 8 | 154 | 1.52% | 64.29% | 0.06% | -9.31% |
Average Event Path
Ex-Day Drop vs Dividend
RY/TD Strategy Heatmap Context
Ticker Distribution Context
