Strategy Playbook 策略手册

Three consecutive down days burn through selling pressure. By Monday close, weak hands have already capitulated. The sellers are exhausted and there's nobody left to sell. Tuesday naturally sees a snapback as bargain hunters step in.连续三天下跌消耗了卖盘力量。到周一收盘时，弱势持仓者已经投降离场，卖方精疲力竭，已无人继续抛售。周二自然出现反弹，因为抄底资金开始入场。

RSI(2) is hyper-sensitive, catching 2-5 day oversold bounces that the standard RSI(14) completely misses. It reacts to short-term exhaustion before the crowd even notices. The SMA-200 filter keeps you safely out of bear markets, only trading mean-reversion when the long-term trend is bullish.RSI(2) 极度敏感，能捕捉到标准 RSI(14) 完全忽略的 2-5 天超卖反弹。它在人群察觉之前就对短期衰竭做出反应。200日均线过滤器让你安全地远离熊市，只在长期趋势看涨时进行均值回归交易。

Small gaps on SPY fill roughly 70% of the time. Overnight futures-driven gaps are typically an overreaction to news that the cash market quickly corrects. The IBS filter ensures yesterday already closed weak, confirming selling exhaustion before the gap.SPY 的小缺口大约 70% 会被回补。隔夜期货驱动的缺口通常是对新闻的过度反应，现货市场会迅速修正。IBS 过滤器确保昨日已经收弱，在缺口出现前确认卖盘衰竭。

Tight bases represent supply/demand equilibrium where neither buyers nor sellers have conviction. When price finally breaks above the range with volume confirmation, it signals fresh demand entering the market. The tighter the base, the more compressed the energy, and the more explosive the resulting move.紧凑的底部代表供需平衡，买卖双方都没有信念。当价格最终在成交量确认下突破区间时，意味着新需求进入市场。底部越紧凑，能量压缩越大，随后的爆发越猛烈。

Institutional month-end rebalancing creates predictable selling pressure. Funds are forced to sell losers for window-dressing, pension funds rebalance allocations, and portfolio managers adjust positions. This creates temporary dislocations that reverse in the early days of the new month when fresh capital flows in.机构月末再平衡会产生可预测的卖压。基金被迫卖出亏损标的进行粉饰，养老基金重新调整配置，投资组合经理调整仓位。这造成暂时性错位，在新月份初期资金流入时会自行修正。

MFI combines price AND volume into a single signal. When both collapse simultaneously, it means sellers are exhausted on both dimensions. Volume-weighted signals are harder to fake because they require real capital flows, not just price movement. MFI < 10 is an extreme reading that rarely lasts more than a day.MFI 将价格和成交量合并为单一信号。当两者同时崩溃时，意味着卖方在两个维度上都已衰竭。量价加权信号更难伪造，因为它需要真实资金流动，而不仅仅是价格变动。MFI < 10 是极端读数，很少持续超过一天。

Markets alternate between trending and mean-reverting regimes. Most strategies only work in one regime. The Dual Mode uses SMA-200 as the regime switch: above = ride the trend, below = fade the dips. This adaptiveness means the strategy stays profitable across different market environments instead of breaking when conditions change.市场在趋势和均值回归状态之间交替。大多数策略只在一种状态下有效。双模策略用 200日均线作为状态切换器：上方 = 跟随趋势，下方 = 逢低做反。这种适应性意味着策略在不同市场环境中都能保持盈利，而不是在条件变化时失效。

Four types of derivatives — index futures, index options, stock options, and single stock futures — expire simultaneously during quad witching week. This forces over $2 trillion in institutional rebalancing, creating predictable volatility and an upward bias as dealers hedge and roll positions. Sell Thursday close before the chaotic Friday expiry.四种衍生品 — 指数期货、指数期权、个股期权和个股期货 — 在四巫周同时到期。这迫使超过 2 万亿美元的机构头寸进行再平衡，产生可预测的波动性和上行偏差，因为做市商对冲和展期仓位。在周四收盘前卖出，避开混乱的周五到期日。

A new 10-day high that closes near its low is a powerful tell. Buyers pushed the price to a new high but sellers completely took over intraday. This creates an intraday reversal pattern that stretches the rubber band for tomorrow's bounce. The contrast between the high and the close reveals the real battle between buyers and sellers.创出 10 日新高却收在低点附近是一个强烈信号。买方将价格推至新高，但卖方在日内完全占据了上风。这创造了一个日内反转形态，为明天的反弹拉满了橡皮筋。最高价和收盘价之间的反差揭示了买卖双方之间的真实博弈。

Each RSI condition independently filters out false signals. RSI < 30 catches oversold. Three consecutive declines confirms persistent weakness, not a one-day dip. Starting from below 60 ensures it wasn't overbought three days ago. Together, these three conditions ensure you're buying genuine exhaustion, not just random noise in the market.每个 RSI 条件独立地过滤掉假信号。RSI < 30 捕捉超卖。连续三天下降确认持续疲弱，而非一日回调。三天前低于 60 确保之前不是超买状态。三个条件结合在一起，确保你买入的是真正的衰竭，而不是市场中的随机噪声。

A simpler cousin of the Monday Turnaround with no Thursday requirement. When Monday closes below Friday and in the lower half of its range (IBS < 0.5), the IBS filter ensures you're buying a genuinely weak close, not just a marginal dip. Weekend worry creates Monday selling. Tuesday sees the recovery as institutional buyers return.这是周一反转的简化版本，无需满足周四条件。当周一收盘低于周五且位于当日区间下半部分（IBS < 0.5）时，IBS 过滤器确保你买入的是真正的弱势收盘，而非微幅回调。周末忧虑导致周一卖压，周二随着机构买家回归而反弹。

Mean reversion dominates because markets snap back. The edge is buying fear and selling greed — systematically.均值回归占主导地位，因为市场会反弹。优势在于系统性地买入恐慌、卖出贪婪。