> This English version was automatically translated from the Chinese original. Please refer to the original Chinese article if any wording differs.

Why did I create the WZETF website?

This matter will start in 2023.

Before that, I worked in e-commerce for 20 years. Later, starting in 2023, it became increasingly difficult to do e-commerce business, and I lost a lot of money. After working for so many years, I finally have to admit: some eras have great dividends, but they just fade away. So I gave up my original business and started looking for a new direction.

After I lost my job, I started trading in stocks. To be honest, the market conditions were not very good that year, and I lost more than I earned. Later, I accidentally saw a quantitative trading platform called "Jukuan" on Douyin, and started hanging out in the forum. It was there that I saw a 10-stock rotation strategy for micro-cap stocks developed by a great user named `WYWY1995`.

That was the first time I realized: It turns out that stocks can still do this.

Some quantitative factors were introduced into his strategy. Because I am a computer student, modifying Python programs is not too difficult for me, so I made some modifications and improvements based on the original strategy. Later, I used my modified version for a year and doubled my principal.

During that time, I felt like I had opened the door to wealth. Every day, I either look at strategies or change codes; I either study factors or read backtests. I study quantification during the day and continue to study quantification at night. The whole portrait is equipped with an automatic battery life.

I bought a lot of books and read a lot of quantitative trading forums. But the deeper I researched, the more I discovered that the previous strategy had a big problem: it had no clear stop-loss mechanism. When backtesting 10 years of data, the maximum drawdown was once close to 50%.

At first, I thought that as long as I can make money in the long term, I can accept a larger drawdown. After all, extreme situations like this don't happen every day in backtesting. But after the actual trading, I discovered that the retracement is not a line on the chart, but the psychological pull when opening the account every day. When there is a loss on paper, the trading experience is very poor.

Moreover, that strategy focuses on micro-cap stocks. The market value of many stocks is only about 2 billion, which is too small. If more people knew about it, the price might have skyrocketed before I even finished buying it. The core logic of this strategy is essentially to find weaker and less popular stocks in the market and wait for them to reorganize, rebound or repair their valuations. It has its advantages, but it is not suitable for being a tool that can be displayed publicly and referenced by many people.

So I started thinking: Can I create a strategy with larger capacity, lower risk, and more controllable drawdown?

At this time, I noticed SectorSurfer, an established ETF rotation strategy platform in the United States. It has a core model called True Sector Rotation. Simply put, it calculates EMA based on daily price returns, then obtains DEMA from the first-order EMA, uses the slope of DEMA to represent the strength of the trend, and filters out some oscillation noise. At the same time, it also calculates the relative SPY of each ETF, which is the relative strength slope of the S&P 500 ETFs, and finally ranks them by comprehensive scores.

This idea gave me great inspiration. But it is mainly for US stock market ETFs, and I want to transform it into a version more suitable for the Chinese market and multi-market ETFs.

So I made a lot of adjustments to the original kinetic energy rotation idea, and expanded it to China, US stocks, Hong Kong, China, and Taiwan, China. Among them, the Chinese market is my focus of optimization, because domestic QDII overseas ETFs often have high premiums due to foreign exchange quota issues, so I added a rule to remove them from the list if the premium rate exceeds 20%; I also added a risk control rule to remove them from the list after the retracement from the recent high reaches 8%. In addition to this, I also added the logic of moving into defensive assets when the market as a whole tanked.

The Hong Kong and Taiwan stocks sections were easily expanded by me. Frankly speaking, because the overall trading volume of Hong Kong and Taiwan stock ETFs is not large, and their liquidity is not as good as that of the US stock market and China's A-share market, from the actual backtest effect, they are currently not as ideal as the US stock market and China's market. Putting it on the website is more of a reference for multi-market observation and research.

Later, I put this strategy into practice on Jukuan, and the effect was pretty good. Especially in the trend group market, the performance is more obvious.

But a new problem came again.

Jukuan real disk operation requires a monthly membership fee of 128 yuan to use the function of running simultaneously with the market and pushing the results to WeChat. In other words, after I receive a WeChat notification every day, I have to tell my friends and relatives: Which ETF is number one on the list today.

It was okay at first, but when there were more people, I often forgot about it. I told you this today and forgot about that; ask me about this and that again tomorrow. In the end, I found that instead of manually forwarding it every day, I might as well just buy a server, run the program on the server, and everyone can just open the webpage and read it.

Thus, the website WZETF was born.

At first, it was just to facilitate myself and my friends to view the data. Later, more and more people knew about it, and I bought a very cheap server. As the number of visitors increased, the pressure on the server and maintenance costs increased. There is no other way but to set up a premium membership function and charge a small monthly fee to control the number of people and subsidize server, data and maintenance costs.

That's why I built this website.

At the end of the day, I'm just a personal quantitative enthusiast. WZETF is not an investment advisory website, nor does it provide buying and selling advice, nor does it promise returns. It just displays the ETF momentum data, rankings, historical backtests and rotation records that I have researched and calculated by myself for everyone to learn and refer to.

With the advancement of technology, I have now opened the QMT quantitative interface at my brokerage. If any friends want to turn their trading ideas into a QMT automatic trading strategy, or write a Python program to run on platforms such as Jukuan, you can also contact me to communicate your needs and quotations.

My email is:

`599979@qq.com`

Friends who like quantification, ETF, and strategy research are also welcome to write and communicate. The market will not be gentle just because we study it carefully, but at least, research can make us less blind and more methodical.

In the end, it’s still the same sentence: Investment is risky, and decisions need to be made with caution. I wish everyone’s account will be less frightening and more surprising.