Initial commit: Trading skills collection
- OKX交易自动化 (okx-auto-position, okx-crypto, okx-exchange) - 交易信号处理 (signal-confirmation-templates, trading-signal-aggregator) - 量化因子挖掘 (quant-factor-mining) - 长桥集成 (longbridge-cli, longbridge-python-sdk) - 六合彩分析 (lottery-hk) - 股息投资 (dividend-investing, dividend-scanner) - 日内交易 (intraday-trading) - 同花顺 (tonghuashun)
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# 股息率套利分析 — Dividend Yield Arbitrage
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## 核心逻辑
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```
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净息差 = 股息率(税前) - 融资成本
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年套利收入 = 本金 × 净息差
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```
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## 美的集团套利示例（2026年6月）
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| 项目 | 数值 |
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|------|:----:|
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| 2025全年分红 | 4.30元/股（43元/10股） |
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| 当前价(除权后) | 77.27元 |
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| 股息率 | 5.56% |
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| 银行分期成本 | ~3% |
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| **净息差** | **~2.56%** |
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| 每100万套利收入 | **~2.56万/年** |
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## 股息率随买入价变化（基于2025年分红4.30元/股）
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| 买入价 | 股息率 | 净息差(3%成本) |
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|:-----:|:------:|:--------------:|
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| 82 | 5.24% | 2.24% |
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| 80 | 5.38% | 2.38% |
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| 77.27(现价) | 5.56% | 2.56% |
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| 75 | 5.73% | 2.73% |
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| 73 | 5.89% | 2.89% |
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| 70 | 6.14% | 3.14% |
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## 股息增长对实际收益的影响
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假设买入价77.27，分红按过去5年CAGR 22%增长：
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| 年份 | 预测分红 | 对买入价的股息率 | 累计收益 |
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|:----:|:--------:|:---------------:|:--------:|
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| 2025(基准) | 4.30 | 5.56% | — |
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| 2026E | 4.50 (+5%保守) | 5.82% | 5.82% |
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| 2027E | 4.70 | 6.08% | 11.90% |
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| 2028E | 4.90 | 6.34% | 18.24% |
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## 风险提示
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1. **分红不保证** — 公司可能削减或取消分红
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2. **股价波动** — 除权后贴权会导致账面亏损
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3. **税率** — A股持仓<1月扣20%红利税，>1年免税
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4. **汇率风险** — 港股(港元)和美股(美元)有汇率波动
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5. **融资续贷风险** — 银行分期续贷不保证
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# 填权 (Gap Fill) Timing Reference
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## What is 填权?
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After ex-dividend, the stock price drops by approximately the dividend amount. "填权" means the stock price recovers back to (or above) the pre-ex-dividend level over time.
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**填权 ≠ immediate.** The market doesn't give away free money — the ex-div price drop is a mechanical adjustment. Whether and how fast the gap fills depends on ongoing supply/demand for the stock.
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## Historical Fill Speeds for A-share Dividend Stocks
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### 华特达因 (000915) — High-dividend healthcare stock
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| Year | Ex-div | Dividend | Pre-close | Ex-close | Fill Time | Notes |
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|------|--------|----------|-----------|----------|-----------|-------|
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| 2025 | Jun 11 | 2.00元 | 32.39 | 29.49 | **~10 days** (31.15, +5.6%) | Fast fill; stock was in uptrend |
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| 2024 | May 16 | 2.00元 | 35.30 | 33.48 | **Did not fill in 60 days** (30→27) | Bear market dragged it down |
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**Key insight:** 2025 filled fast because the stock was in a healthy trend. 2024 didn't fill because the overall market was falling. Stock quality matters but macro conditions dominate.
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### 同仁堂 (600085) — Blue-chip TCM
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(Add data here when available from analysis.)
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## Factors That Determine Fill Speed
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### 1. Stock Price Position (Most Important)
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```
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Stock at 52-week low: High fill probability (already "cheap")
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Stock at 52-week high: Low fill probability (due for pullback)
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Example: 华特达因 2025 → ex-div at 32 → near YTD high → fast fill anyway (good stock)
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华特达因 2024 → ex-div at 35 → at YTD high → no fill (bad timing + bad market)
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```
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### 2. Market Direction
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- **Bull market / 结构性牛市**: Most quality stocks fill within 1-3 weeks
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- **Bear market / 熊市**: Can take months or never — the dividend is "eaten" by the falling price
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- **Sideways market**: Depends on stock-specific catalysts
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### 3. Dividend Size Relative to Price
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| Dividend/Price ratio | Impact |
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|---------------------|--------|
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| < 2% | Small gap, easy to fill (days) |
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| 2-5% | Moderate, 1-3 weeks typical |
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| > 5% | Large gap, may take months; better to wait for natural dip before buying |
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### 4. Company Fundamentals
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- **Growing dividends** (e.g., 华特达因 2021: 0.35 → 2025: 2.50/share) → faster fill (market rewards increasing payouts)
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- **Stable/declining dividends** → slower fill
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- **High payout ratio** (>80%) → risk of cut → may never fill
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- **Cash-rich** (>30% market cap in cash) → faster fill (dividend is safe)
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## Practical Rules for Dividend Capture
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```
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If you MUST try dividend capture (buy pre-ex-div, sell post):
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1. Only attempt on stocks near their 52-week LOW
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→ The ex-div gap is less damaging when already near support
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2. Only attempt when market is in uptrend
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→ Check: is the SH/SZ index above its 50-day MA?
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3. Plan to hold MINIMUM 2-4 weeks post-ex-div
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→ Selling the next day guarantees a loss (tax + gap)
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4. Calculate your break-even price:
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BreakEven = ExDivPrice + (Tax_Rate × Dividend)
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Example: 28元 stock, 2元 dividend, 20% tax:
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BreakEven = 26.00 + 0.40 = 26.40
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→ Stock must rally 1.5% from ex-div just to break even
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5. Consider buying AFTER ex-div instead:
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- No dividend → no tax → no gap risk
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- Lower entry price → higher yield on cost
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- Same future dividends
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→ Often the better move for pure yield investors
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```
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## Data Source
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To calculate 填权 timing for any stock:
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```python
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import akshare as ak
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# Use unadjusted prices (adjust='') to see the real ex-div gap
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df = ak.stock_zh_a_hist(symbol='000915', period='daily',
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start_date='20250601', end_date='20251001', adjust='')
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# Find ex-div day by looking for the big drop on the expected date
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# Then scan forward to see how many days to recover
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```
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