还在傻傻“死扛”？

揭秘LEAPS“无限续杯”策略，让你躺赢华尔街，实现零成本持仓！

Still blindly “holding on”?
Unveiling the LEAPS “Infinite Refill” Strategy: Conquer Wall Street, Achieve Zero-Cost Holdings!

引言：想象一下，普通人如何用10万美元在十年内，从股市的惊涛骇浪中，赚到接近200万美元？这听起来像天方夜谭吗？但这是实实在在的量化回测结果！如果只是持有纳斯达克100指数（QQQ），可能只有60多万的收益。而我们今天要聊的策略，竟然能达到18倍回报！而秘诀就在于一种叫做LEAPS的期权，以及一套让你“无限续杯”的独门秘籍——“展期”操作。所以别再卖关子了，让我们手把手带你了解这个策略的来龙去脉，让你也能像庄家一样，让钱为你“打工”！

Introduction: Imagine how an ordinary person could turn $100,000 into nearly $2 million in ten years amidst the turbulent stock market. Does this sound like a fantasy? Yet, these are real quantitative backtesting results! Simply holding the Nasdaq 100 index (QQQ) might yield only over $600,000. But the strategy we’re discussing today could achieve an astonishing 18-fold return! The secret lies in an option called LEAPS, and a unique method to “infinitely refill” it – the “Roll” operation. So, let’s not keep you waiting; we’ll guide you step-by-step through the ins and outs of this strategy, empowering you to make money work for you, just like the big players!

一、LEAPS基础：用小钱撬动大收益的秘密武器

I. LEAPS Fundamentals: The Secret Weapon to Leverage Small Money for Big Gains

LEAPS，全称Long-term Equity Anticipation Securities，也就是长期股票预期证券。这是一种长期看涨期权，到期时间通常在一年以上，提供类似持有股票的Delta效应，但资金占用少得多。与正股的资金效率对比：只需投入约1/4的资金，就能达到80%的持股效果，大大提高资金使用效率。

LEAPS, short for Long-term Equity Anticipation Securities, are long-term call options, typically with an expiration date over one year away. They offer similar Delta exposure to holding stocks but require significantly less capital. Compared to direct stock holdings, LEAPS achieve about 80% of the equity exposure with roughly 1/4 of the capital, greatly enhancing capital efficiency.

但关键的挑战在于：LEAPS期权有时间限制，如何让它“长生不老”？答案就是“展期（Roll）”。

However, the critical challenge is that LEAPS options have a time limit. How can they be made “immortal”? The answer is “Rolling.”

二、“无限续杯”的魔法：深度解析“展期”操作

II. The Magic of “Infinite Refills”: In-depth Analysis of “Roll” Operations

什么是“展期（Roll）”？简单来说，就是卖掉手里的旧合约，买入一张新的合约，就像“抛弃旧爱，拥抱新欢”，延长你的“入场券”有效期。但不仅仅是续命，更是收益利器！主要有两种关键“展期”技术，分别是：

What is “Rolling”? Simply put, it means selling your old contract and buying a new one, like “discarding an old love and embracing a new one,” extending the validity of your “admission ticket.” But it’s not just about prolonging life; it’s a powerful profit-generating tool! There are two main critical “Roll” techniques:

向后滚（Roll Out）：

用于行情平淡时，合约快到期、时间价值加速损耗。支付少量费用，将合约有效期延长到更远的未来（例如700天以后），避免时间价值断崖式下跌。

Roll Out:

Used during stagnant market conditions when contracts are nearing expiration and time value is rapidly eroding. Pay a small fee to extend the contract’s validity to a much later date (e.g., 700+ days later), preventing a cliff-like drop in time value.
向上向后滚（Roll Up & Out）：

用于行情稳步上涨时，你的期权大涨，Delta值飙升。高价卖出当前深度实值的期权，买入一张行权价更高、到期日更远的新合约。中间的差价就是你落袋为安的“市场分红”，可以用来降低持仓成本，甚至实现“零成本持仓”！

Roll Up & Out:

Used during steady uptrends when your option has significantly appreciated, and its Delta value has surged. Sell the current deep in-the-money option at a high price, and buy a new contract with a higher strike price and a further expiration date. The difference in price is your realized “market dividend,” which can be used to reduce your cost basis, even achieving “zero-cost holdings”!

通过反复的“向上向后滚”操作，不断收割利润，将收回的现金超过初始本金，你的持仓成本就能降到零，甚至变成负数！这时，市场的每一次上涨，都将是纯粹的利润。

By repeatedly performing “Roll Up & Out” operations, continuously harvesting profits until the cash recovered exceeds the initial capital, your cost basis can drop to zero, or even become negative! At this point, every market upturn will translate into pure profit.

三、穿越牛熊的量化策略：实战指南与回测验证

III. A Quantitative Strategy for Bull & Bear Markets: Practical Guide & Backtesting Validation

在策略的初始设计上:

For the initial strategy design:

首先需要选择标的资产。仅限长期向上趋势的指数基金，比如QQQ（纳斯达克100）或SPY（标普500），务必严禁个股，因为个股有退市的风险。

First, select the underlying asset. Limit to index funds with a long-term upward trend, such as QQQ (Nasdaq 100) or SPY (S&P 500). Absolutely prohibit individual stocks due to delisting risks.
资金配置上,比如10万美元初始资金，60%配置LEAPS期权（选择到期日650-800天，Delta约0.8的深度实值合约），40%保留现金。

For capital allocation, with an initial capital of $100,000, for example, allocate 60% to LEAPS options (choose deep in-the-money contracts with 650-800 days to expiration and a Delta of about 0.8), and keep 40% in cash.
入场时机的选择，选择QQQ当日下跌1%的日子入场。

For entry timing, choose days when QQQ drops by 1%.

对于不同的市场信号，也需要三大应对行动：

For different market signals, three key actions are required:

行情平淡：

信号：剩余天数<300天。

行动：无限续杯（Roll Out），支付“时间租金”，保留入场券。

Stagnant Market:

Signal: Days remaining < 300 days.

Action: Infinite Refill (Roll Out), pay “time rent,” retain the entry ticket.
稳步上涨：

信号：合约Delta > 0.9。

行动：收割利润（Roll Up & Out），锁定利润，将市场奖励变为现金。

Steady Uptrend:

Signal: Contract Delta > 0.9.

Action: Harvest Profits (Roll Up & Out), lock in profits, convert market rewards into cash.
熊市崩盘：

信号：合约Delta < 0.5。

行动：逆势狙击（加仓），在极度恐慌中以低价格累积财富。

Bear Market Crash:

Signal: Contract Delta < 0.5.

Action: Counter-trend Sniping (Adding positions), accumulate wealth at low prices amidst extreme panic.
- 加仓条件：现金储备>10%总仓位，且距离上次加仓>30天（冷静期）。
  
  Condition for adding: Cash reserve > 10% of total position, and > 30 days since last addition (cooling-off period).
- 加仓模式：现金储备>40%时重炮模式（动用10%总仓位现金）；10%<现金储备<40%时标准模式（动用5%总仓位现金）。
  
  Adding mode: Heavy artillery mode when cash reserve > 40% (use 10% of total position cash); Standard mode when 10% < cash reserve < 40% (use 5% of total position cash).

那么这个策略的历史回测表现是怎样的呢?（2015-2025，11年）

So, what was the historical backtesting performance of this strategy? (2015-2025, 11 years)

市场考验：

经历中美贸易战（2018）、疫情熔断（2020）、美联储加息长熊（2022）三次“地狱级考验”。

Market Trials:

Endured three “hellish trials”: the US-China trade war (2018), the COVID-19 circuit breaker (2020), and the Federal Reserve’s rate hike-induced bear market (2022).
惊人成果：

初始10万美元，最终达到185万美元，年化收益率高达31.1%，是单纯持有QQQ正股的3倍。

Astonishing Results:

Starting with $100,000, it reached $1.85 million, with an annualized return rate of 31.1%, three times that of simply holding QQQ stocks.
2022年熊市的奇迹：

在人人割肉离场时，系统自动执行多轮“重炮加仓”，积累了大量廉价合约，最终实现惊人的负成本持仓。

The Miracle of the 2022 Bear Market:

When everyone was cutting losses and exiting, the system automatically executed multiple rounds of “heavy artillery additions,” accumulating a large number of cheap contracts, ultimately achieving astonishing negative-cost holdings.

四、赢家心态：我们为何敢在亏损时加码续命？

IV. Winner’s Mindset: Why Dare We Double Down and Roll When Losing?

LEAPS的本质是一张入场券，你在买“时间”，而非“价格”，只要人类科技不倒退，美股大科技（QQQ/Nasdaq）迟早会创新高。Roll Out不是死扛，而是为你的入场券续费，保留了翻盘的希望。不续费，你就会被踢出局，亏损永久锁定。

The essence of LEAPS is an admission ticket; you are buying “time,” not “price.” As long as human technology doesn’t regress, big tech in US stocks (QQQ/Nasdaq) will eventually hit new highs. Rolling Out is not stubbornly holding on; it’s renewing your admission ticket, preserving the hope of a comeback. Without renewal, you’ll be kicked out, and your losses permanently locked in.

当LEAPS的Delta跌至0.5时，它就像一根被压到极致的弹簧。再下跌，亏损变慢，一旦反弹，哪怕只是一点点，这根弹簧会瞬间爆发，Delta会从0.5飙升回0.8。这就是Delta的不对称性——“伽玛弹簧（Gamma Spring）”,底部囤积的廉价筹码，会释放出巨大的能量，其爆发力是正股的十几倍。

When a LEAPS’ Delta drops to 0.5, it’s like a spring compressed to its limit. Further declines slow down losses, but once it rebounds, even slightly, this spring will instantly explode, and Delta will surge back from 0.5 to 0.8. This is the asymmetry of Delta – the “Gamma Spring.” The cheap contracts accumulated at the bottom will unleash immense energy, with a爆发力 tens of times that of underlying stocks.

五、冷静看待：实盘中必须克服的三大“硬伤”

V. A Sober Look: Three Major “Drawbacks” to Overcome in Live Trading

当然，在实际操作中还必须克服的三大“硬伤”：

Of course, there are three major “drawbacks” that must be overcome in actual trading:

极端的执行压力：

回测曲线很美，但身在其中是另一回事。2022年账户回撤30%时，你能否克服恐惧，坚持执行加仓或续杯操作？执行力是第一道门槛。

Extreme Execution Pressure:

Backtesting curves look beautiful, but being in the thick of it is another matter. When your account faces a 30% drawdown in 2022, can you overcome fear and adhere to adding positions or rolling out? Execution is the first hurdle.
税务拖累（Tax Drag）：

每次Roll Up & Out盈利，如果持仓不到一年，即为短期资本利得，将面临较高的税收，严重影响复利效应。建议：利用免税账户（如IRA、401k）或选择持有期超过一年的合约。

Tax Drag:

Each profit from a Roll Up & Out, if held for less than a year, is considered a short-term capital gain and subject to higher taxes, severely impacting the compounding effect. Recommendation: Utilize tax-advantaged accounts (such as IRA, 401k) or choose contracts with a holding period of more than one year.
流动性与滑点：

深度实值期权的买卖价差（Spread）可能较大。必须耐心使用限价单（Limit Order），挂在中间价慢慢等待成交，切忌急躁，否则会侵蚀利润。

Liquidity and Slippage:

Deep in-the-money options may have a wider bid-ask spread. It is crucial to patiently use limit orders, placing them at the mid-price and slowly waiting for execution. Avoid impatience, as it can erode profits.

六、总结与展望：LEAPS无限续杯策略的终极魅力

VI. Conclusion & Outlook: The Ultimate Appeal of the LEAPS Infinite Refill Strategy

LEAPS“无限续杯”策略的策略核心在于:雪球效应（时间积累+复利效应）。前期需要时间启动，不断续杯和低位吸筹，随着期权数量增加，后期盈利速度会越来越快，且实现“零成本”持仓，回测时间越长，周期更长，年化回报率有望进一步提升。

The core of the LEAPS “Infinite Refill” strategy lies in the snowball effect (time accumulation + compounding effect). It requires time to initiate in the early stages, with continuous refills and accumulation at low points. As the number of options increases, the profit velocity will accelerate in later stages, achieving “zero-cost” holdings. The longer the backtesting period and duration, the higher the potential for annualized returns.

重要提醒与实践建议：

Important Reminders and Practical Advice:

风险提示：

回测基于历史，过去不代表未来。请勿完全套用，需理性判断。

Risk Warning:

Backtesting is based on historical data; past performance is not indicative of future results. Do not apply blindly; exercise rational judgment.
行动指南：

建议从一张LEAPS Call开始玩起，涨了就收割，快到期就续约，跌了就加仓。

Action Guide:

It is recommended to start with one LEAPS Call: harvest profits when it rises, renew when it’s nearing expiration, and add positions when it falls.
底层逻辑：

只要你的标的长期上涨趋势不变，该策略逻辑是可行的。

Underlying Logic:

As long as the long-term upward trend of your underlying asset remains unchanged, the logic of this strategy is viable.

当你的持仓成本归零的那一瞬间，你彻底赢了，那一刻，你不只赢了金钱，更赢得了博弈的主动权。你玩的是庄家的钱，哪怕市场腰斩、熔断，你都能睡得安稳，不再为每天的波动而焦虑，这是交易的最高境界，是财务与心态双重自由。

The moment your cost basis hits zero, you have definitively won. At that moment, you’ve not only won financially but also gained the upper hand in the game. You’re playing with the house’s money; even if the market halves or faces a circuit breaker, you can sleep soundly, no longer anxious about daily fluctuations. This is the pinnacle of trading, a dual freedom of finance and mindset.

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