{WUP 主力清洗 买卖点公式 (2026-09-14) 制作: 钱小兜 · 依据: ETF池245只实测}
{【进场点 · WUP 主力清洗】—— 三个版本, 按场景选}
{原理: 价格创33日新低时记录低位异常度, WUP 上行 = 低位承接力量回升(阶段新低+主力接盘)}
{事件研究(245只ETF/29274信号): 后20日 +1.59% 胜率56.0% (全样本基准 +0.58%/51.5%) 超额+1.01pp}

{=== 版本A(推荐·池级轮动用): WUP + 量比>=1.0 ===}
{实测: 单标的等权 +26.8%/正收益77.1%; 池级20席 Calmar 0.69 / MDD仅5.5%}
XH_AV1:=REF((LOW+OPEN+CLOSE+HIGH)/4,1);
XH_A2:=SMA(ABS(LOW-XH_AV1),13,1);
XH_A3:=SMA(MAX(LOW-XH_AV1,0),10,1);
XH_A4:=EMA(XH_A2/MAX(XH_A3,0.0001),10);
XH_LL33:=LLV(LOW,33);
XH_A5:=EMA(IF(LOW<=XH_LL33,XH_A4,0),3);
XH_WUP:=XH_A5>REF(XH_A5,1);
XH_VR:=VOL/REF(MA(VOL,5),1);
XG:XH_WUP AND XH_VR>=1.0;

{=== 版本B(少标的/低波动ETF用): WUP 不加过滤 ===}
{实测: 单标的等权 +41.2%/正收益82.0%; 低波动ETF组(Q1) 20席 Calmar 1.39 / MDD 6.3%; 159558上 +303.3%}
XH_AV1:=REF((LOW+OPEN+CLOSE+HIGH)/4,1);
XH_A2:=SMA(ABS(LOW-XH_AV1),13,1);
XH_A3:=SMA(MAX(LOW-XH_AV1,0),10,1);
XH_A4:=EMA(XH_A2/MAX(XH_A3,0.0001),10);
XH_LL33:=LLV(LOW,33);
XH_A5:=EMA(IF(LOW<=XH_LL33,XH_A4,0),3);
XH_WUP:=XH_A5>REF(XH_A5,1);
XG:XH_WUP;

{=== 版本C(更严·贴近阶段新低): WUP + 距33日低点<=3% ===}
{实测: 单标的等权 +26.3%/正收益71.4%; 池级 Calmar 0.41}
XH_AV1:=REF((LOW+OPEN+CLOSE+HIGH)/4,1);
XH_A2:=SMA(ABS(LOW-XH_AV1),13,1);
XH_A3:=SMA(MAX(LOW-XH_AV1,0),10,1);
XH_A4:=EMA(XH_A2/MAX(XH_A3,0.0001),10);
XH_LL33:=LLV(LOW,33);
XH_A5:=EMA(IF(LOW<=XH_LL33,XH_A4,0),3);
XH_WUP:=XH_A5>REF(XH_A5,1);
XG:XH_WUP AND CLOSE/LLV(LOW,33)<=1.03;