# 均值回歸

> 均值回歸係一類策略：佢將價格大幅偏離某個參考水平——移動平均線、當日成交量加權均價、前收市價——視為更可能被部分修正，而唔係繼續延伸。佢假設參考水平係穩定嘅，偏離只係雜訊。失效嘅正正係呢個假設：當市場重新定價嘅時候，係參考水平移動到價格度，而唔係價格返去參考水平，於是下跌途中每一次建倉都變成蝕錢。

Canonical HTML page: https://qanterion.com/zh-HK/glossary/mean-reversion
更新於: 2026-08-18
又稱: 回歸均值, 逆勢交易, 反向操作

## 計算方式

```
A mean-reversion rule needs three numbers, not one:
  · Reference — the level being reverted to (moving average, VWAP, prior close)
  · Deviation — how far price must travel from it before entry
  · Invalidation — the move that says the reference itself has shifted

Expectancy = (Win% × Avg win) − (Loss% × Avg loss)
A 31% win rate breaks even once the average win clears ~2.2× the average loss.
```

## 實算例子

喺 31% 嘅勝率下，平均每筆賺 +1.0%、蝕 -0.4% 嘅規則，扣除成本前每筆期望值為 (0.31 × 1.0) − (0.69 × 0.4) = +0.04%。

## 低勝率係佢正常嘅形狀，唔係缺陷

短週期均值回歸嘅特徵係小額、頻繁咁獲利了結，並且喺偏離持續擴大嗰陣承受虧損。QANTERION 喺貴金屬策略上公開 31% 嘅典型勝率，原因正在於此。決定一套規則賺唔賺錢嘅係期望值，而唔係勝率：喺 31% 嘅勝率下，平均獲利要去到平均虧損嘅約 2.2 倍先至打得和，呢個比值比勝率本身更值得先睇。

## 趨勢行情就係佢嘅失效模式

均值回歸同動量並唔係對同一個市場嘅兩種睇法，而係對兩種相反狀態嘅押注。一條對每次延伸都反向操作嘅規則，喺上落市入面持續賺錢，一旦趨勢確立就會持續蝕錢。呢個就係點解要監控嘅係市場狀態而唔係入場訊號，亦係點解一個硬性嘅回撤上限喺呢度比喺趨勢跟隨策略裡面更重要。

## 常見誤讀

高勝率成日被當成均值回歸規則有效嘅證據，但佢往往意味住相反嘅事：賺錢被提早了結，蝕錢就放任持有，於是策略正孭住一條未付嘅浮虧尾巴。真正值得相信嘅數字，係印喺勝率旁邊嘅最大回撤，而絕對唔係單獨一個勝率。

## 親手計一計

- 破產機率計算機: https://qanterion.com/zh-HK/tools/risk-of-ruin-calculator
- 倉位規模計算機: https://qanterion.com/zh-HK/tools/position-size-calculator
- 凱利公式計算機: https://qanterion.com/zh-HK/tools/kelly-criterion-calculator

## 相關詞條

- 動量交易: https://qanterion.com/zh-HK/glossary/momentum
- 最大回撤: https://qanterion.com/zh-HK/glossary/max-drawdown
- 期望值: https://qanterion.com/zh-HK/glossary/expectancy

## 參考資料

- [Mean Reversion in Stock Prices: Evidence and Implications](https://www.nber.org/papers/w2343) — National Bureau of Economic Research (Poterba & Summers), Working Paper 2343

## Other languages

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## Risk notice

本術語表用於教學。此處內容不構成投資建議，頁面所述任何指標都無法預測未來結果。