Guide — V0 Strategy

System Guide

V0 Strategy — HSTECH ORB + HSI Gap Continuation · HK Leveraged ETFs · Futu OpenD

Instrument Universe

Code	Issuer	Index	Direction	Board Lot	Half-Spread	Full RT Spread
HK.07226	CSOP HSTECH Daily	HSTECH	2× Long	100	0.0258%	0.0517%
HK.07552	CSOP HSTECH Daily	HSTECH	−2× Short	100	0.0609%	0.1217%
HK.07200	CSOP HSI Daily	HSI	2× Long	100	0.0425%	0.0849%
HK.07500	CSOP HSI Daily	HSI	−2× Short	100	0.0590%	0.1179%

Key facts: All 4 ETFs trade on HKEX. Board lot = 100 shares each. Leveraged/inverse ETFs reset daily — designed for intraday use, not multi-day holds. Stamp duty exempt (verify before trading).

Why Leveraged ETFs Reset Daily

Leveraged ETFs maintain a fixed leverage ratio (2×) by rebalancing at the end of each trading day. If the index rises 1%, the 2× ETF rises ~2%; if it falls 1%, the ETF falls ~2%. Over multiple days, compounding means the ETF return can diverge from 2× the index return — this is called volatility drag. The V0 strategy enters at the open and always exits by 15:50, eliminating multi-day drag entirely.

Opening Range Breakout (ORB)

The first 30 minutes of trading (09:30–10:00 HKT) define the Opening Range. The system records the high and low of this window on the HSTECH index. A breakout above (or below) this range — with confirmation filters — signals a trade.

    09:20 ── System connects, fetches σ & prev close

    09:30 ── ORB window OPENS — tracking H/L

    10:00 ── ORB window CLOSES — triggers calculated

              trig_up = ORB_high × (1 + 0.10×σ)

              trig_dn = ORB_low  × (1 − 0.10×σ)

    10:xx ── First break detected → check MACD + Breadth

              If both pass → BUY ETF (07226 long / 07552 short)

    14:00 ── Entry cutoff — no new HSTECH trades after this

    15:50 ── EOD flatten — all positions closed at bid

Confirmation filters:
① MACD histogram > 0 (long) or < 0 (short)
② Tencent + Alibaba confirm direction (breadth)

Pre-filters:
① ORB range ≥ 0.50% of price
② σ ≤ 2.20% (high-vol skip)

HSI Gap Continuation

When the Hang Seng Index opens with a gap (a difference between yesterday's close and today's open), institutional order flow often continues in the gap direction for the first 1–3 hours. The system trades this momentum using 2× leveraged ETFs, entering at 09:35 and managing with a TP1 + trail structure.

    09:20 ── Fetch HSI prev close

    09:35 ── Calculate gap%: (open − prev_close) / prev_close × 100

              If 0.55% ≤ |gap| ≤ 2.00% → enter direction of gap

              gap > 0 → BUY 07200 (2× HSI Long)

              gap < 0 → BUY 07500 (−2× HSI Short)

              TP1 = entry × (1 + 2 × |gap%| × 0.40)

              SL  = entry × (1 − 2 × |gap%| × 1.00) × 0.995

    15:50 ── EOD flatten

Cost Structure (Live-Sampled)

ETF	Half-spread (entry or exit)	Full RT Spread	Commission RT	Total RT Cost
HK.07226	0.0258%	0.0517%	0.0800%	0.1317%
HK.07552	0.0609%	0.1217%	0.0800%	0.2017%
HK.07200	0.0425%	0.0849%	0.0800%	0.1649%
HK.07500	0.0590%	0.1179%	0.0800%	0.1979%

Leveraged & inverse ETFs on HKEX are stamp duty exempt. Verify before trading. Spread data sampled live from Futu order book 2026-05-17.

Market Hours (HKT = UTC+8)

Morning Session

09:30 – 12:00

Lunch Break

12:00 – 13:00

Afternoon Session

13:00 – 16:10

ORB Window

09:30 – 10:00

Gap Check

09:35

EOD Exit

15:50