Market RSI Regime
CM.TO + TD.TO | T-9 open -> T+15 open
XFN RSI 40-70
29trades
3.01%avg
68.97%win
3.37PF
验证期超额最强，但样本只有 8 笔，偏市场状态过滤。
Canadian Bank Ex-Dividend Technical Strategies
DaDa提出的三套候选策略对比
样本从 2020-01-01 到 EODHD 最新可用日线 2026-07-07。收益为税前、成本前毛收益，分红现金流在除息日确认，成交价使用原始 open/close，技术指标使用买入日前一交易日的 adjusted close。
Highest gross
Balanced Trend
4.87%
全样本平均收益最高
Best alpha
Market RSI Regime
1.33%
全样本相对 XFN 超额最高
Best validation
Market RSI Regime
2.54%
2024+ 验证期超额最高
Lowest draw hit
Balanced Trend
-5.75%
单笔最大亏损最浅
Stock RSI + MACD
BMO.TO + RY.TO | T-9 close -> T+18 close
RSI > 50 & MACD hist > 0
24trades
4.60%avg
79.17%win
9.04PF
最贴近 RSI/MACD 逻辑；全样本平均收益高，验证期未出现亏损交易。
Balanced Trend
BMO.TO + CM.TO | T-10 close -> T+18 close
RSI 40-70 & stock MA50 > 0
24trades
4.87%avg
87.50%win
11.94PF
胜率和 profit factor 最好；更像趋势确认后的除息窗口策略。
Core Metrics
All sample vs 2024+ validation split. Excess is measured against XFN.TO adjusted-return benchmark.
| Strategy | N | Avg | Median | Win | PF | Max Loss | Excess | Excess t | 2024+ N | 2024+ Avg | 2024+ Excess |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Market RSI Regime | 29 | 3.01% | 2.49% | 68.97% | 3.37 | -8.75% | 1.33% | 2.19 | 8 | 6.92% | 2.54% |
| Stock RSI + MACD | 24 | 4.60% | 4.64% | 79.17% | 9.04 | -5.78% | 0.81% | 1.21 | 9 | 6.06% | 2.22% |
| Balanced Trend | 24 | 4.87% | 2.90% | 87.50% | 11.94 | -5.75% | 1.11% | 1.58 | 10 | 5.99% | 1.54% |
Metric Comparison
Positive bars are desirable except max loss, where a shallower negative bar is better.
Event-Compounded Path
Trades are sorted by exit date and compounded one after another for visualization.
Return vs Excess
Lighter points are pre-2024; darker larger points are 2024+ validation trades.
Gross Return Distribution
Distribution of event-level gross returns after each technical filter is applied.
Year Matrix
Average gross return by ex-dividend year. Green is positive; red is negative.
| Strategy | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|---|
| Market RSI Regime | 0.9%4 trades | 4.4%7 trades | -1.1%6 trades | 1.1%4 trades | 6.2%2 trades | 6.2%5 trades | 11.7%1 trades |
| Stock RSI + MACD | 15.0%3 trades | 4.5%4 trades | -0.4%3 trades | -1.2%5 trades | 3.7%4 trades | 6.0%2 trades | 9.3%3 trades |
| Balanced Trend | 7.0%5 trades | 5.8%5 trades | -4.6%1 trades | -0.8%3 trades | 2.2%2 trades | 4.7%5 trades | 10.7%3 trades |
Ticker Breakdown
Per-stock contribution inside each strategy.
| Strategy | Ticker | N | Avg | Win | PF | Max Loss | Excess |
|---|---|---|---|---|---|---|---|
| Market RSI Regime | CM.TO | 11 | 1.21% | 54.55% | 1.60 | -8.75% | 0.73% |
| Market RSI Regime | TD.TO | 18 | 4.11% | 77.78% | 5.99 | -6.95% | 1.70% |
| Stock RSI + MACD | BMO.TO | 12 | 6.11% | 83.33% | 11.28 | -5.78% | 2.26% |
| Stock RSI + MACD | RY.TO | 12 | 3.09% | 75.00% | 6.62 | -2.77% | -0.64% |
| Balanced Trend | BMO.TO | 15 | 6.09% | 93.33% | 16.91 | -5.75% | 1.79% |
| Balanced Trend | CM.TO | 9 | 2.82% | 77.78% | 6.15 | -4.59% | -0.03% |
Recent Qualified Trades
Most recent qualifying historical events across the three dashboards.
| Strategy | Ticker | Ex-Date | Buy | Sell | Return | Excess |
|---|---|---|---|---|---|---|
| Market RSI Regime | TD.TO | 2025-07-10 | 2025-06-26 | 2025-07-31 | 4.29% | 1.81% |
| Stock RSI + MACD | RY.TO | 2025-07-24 | 2025-07-11 | 2025-08-20 | 5.83% | 3.50% |
| Balanced Trend | BMO.TO | 2025-07-30 | 2025-07-16 | 2025-08-26 | 7.14% | 3.88% |
| Stock RSI + MACD | BMO.TO | 2025-07-30 | 2025-07-17 | 2025-08-26 | 6.11% | 3.90% |
| Market RSI Regime | TD.TO | 2025-10-10 | 2025-09-29 | 2025-11-03 | 5.08% | 2.66% |
| Balanced Trend | BMO.TO | 2025-10-30 | 2025-10-16 | 2025-11-25 | 0.51% | -4.98% |
| Balanced Trend | CM.TO | 2025-12-29 | 2025-12-11 | 2026-01-23 | 0.37% | -0.67% |
| Balanced Trend | BMO.TO | 2026-01-30 | 2026-01-16 | 2026-02-26 | 8.17% | 6.82% |
| Stock RSI + MACD | BMO.TO | 2026-01-30 | 2026-01-19 | 2026-02-26 | 8.84% | 6.97% |
| Balanced Trend | CM.TO | 2026-03-27 | 2026-03-13 | 2026-04-23 | 14.29% | 2.59% |
| Market RSI Regime | TD.TO | 2026-04-09 | 2026-03-26 | 2026-04-30 | 11.69% | -0.41% |
| Stock RSI + MACD | RY.TO | 2026-04-23 | 2026-04-10 | 2026-05-20 | 8.88% | 0.96% |
| Balanced Trend | BMO.TO | 2026-04-29 | 2026-04-15 | 2026-05-26 | 9.71% | 3.50% |
| Stock RSI + MACD | BMO.TO | 2026-04-29 | 2026-04-16 | 2026-05-26 | 10.08% | 3.38% |