Exploration of VOLU-Reversion-RSI Alpha: Creation, Analysis and In-Depth Thinking

The purpose of this paper is to study the historical data of Shanghai and Shenzhen 300 stocks in the past ten years by finding price differences from what was expected and formulating quantitative investment strategies to obtain profits. Based on Bollinger bands idea which was mentioned by Bollinger in Bollinger on Bollinger Bands, and RSI, a technical indicator that was imposed by Wilder in 1978, this study develops Reversion-Volume Alpha and RSI-based reversion Alpha, incorporating additional factors such as ATR and volume. After taking volatility into account, there is a new strategy VOLU-Reversion-RSI Alpha which uses the risk parity model and combines the two alphas to make the strategy more effective. With consistent growth in profitability observed from 2014 to 2024, the novel approaches and integrated methodology presented here offer valuable insights and fresh perspectives for the field.