{"id":40427,"date":"2025-10-16T14:00:00","date_gmt":"2025-10-16T06:00:00","guid":{"rendered":"https:\/\/www.tejwin.com\/?post_type=insight&#038;p=40427"},"modified":"2026-03-12T18:14:06","modified_gmt":"2026-03-12T10:14:06","slug":"panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios","status":"publish","type":"insight","link":"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/","title":{"rendered":"Panic or Opportunity? Spotting Market Turning Points Through Margin Maintenance Ratios"},"content":{"rendered":"\n<figure class=\"wp-block-image aligncenter size-large is-style-default\"><img fetchpriority=\"high\" decoding=\"async\" width=\"1024\" height=\"684\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/\/rc-xyz-nft-gallery-o-MyHqEEHoM-unsplash-1024x684.jpg\" alt=\"\u878d\u8cc7\u7dad\u6301\u7387\" class=\"wp-image-34976\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/rc-xyz-nft-gallery-o-MyHqEEHoM-unsplash-1024x684.jpg 1024w, https:\/\/www.tejwin.com\/wp-content\/uploads\/rc-xyz-nft-gallery-o-MyHqEEHoM-unsplash-300x200.jpg 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/rc-xyz-nft-gallery-o-MyHqEEHoM-unsplash-150x100.jpg 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/rc-xyz-nft-gallery-o-MyHqEEHoM-unsplash-768x513.jpg 768w, https:\/\/www.tejwin.com\/wp-content\/uploads\/rc-xyz-nft-gallery-o-MyHqEEHoM-unsplash-1536x1025.jpg 1536w, https:\/\/www.tejwin.com\/wp-content\/uploads\/rc-xyz-nft-gallery-o-MyHqEEHoM-unsplash-2048x1367.jpg 2048w\" sizes=\"(max-width: 1024px) 100vw, 1024px\" \/><figcaption class=\"wp-element-caption\">Photo by <a href=\"https:\/\/unsplash.com\/@moneyphotos?utm_content=creditCopyText&amp;utm_medium=referral&amp;utm_source=unsplash\" target=\"_blank\" rel=\"noopener\">rc.xyz NFT gallery<\/a> on <a href=\"https:\/\/unsplash.com\/photos\/a-pile-of-money-sitting-on-top-of-a-wooden-floor-o-MyHqEEHoM?utm_content=creditCopyText&amp;utm_medium=referral&amp;utm_source=unsplash\" target=\"_blank\" rel=\"noopener\">Unsplash<\/a><\/figcaption><\/figure>\n\n\n\n<div id=\"ez-toc-container\" class=\"ez-toc-v2_0_81 counter-hierarchy ez-toc-counter ez-toc-grey ez-toc-container-direction\">\n<p class=\"ez-toc-title\" style=\"cursor:inherit\">Table of Contents<\/p>\n<label for=\"ez-toc-cssicon-toggle-item-69ed4060e9b12\" class=\"ez-toc-cssicon-toggle-label\"><span class=\"ez-toc-cssicon\"><span class=\"eztoc-hide\" style=\"display:none;\">Toggle<\/span><span class=\"ez-toc-icon-toggle-span\"><svg style=\"fill: #999;color:#999\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" class=\"list-377408\" width=\"20px\" height=\"20px\" viewBox=\"0 0 24 24\" fill=\"none\"><path d=\"M6 6H4v2h2V6zm14 0H8v2h12V6zM4 11h2v2H4v-2zm16 0H8v2h12v-2zM4 16h2v2H4v-2zm16 0H8v2h12v-2z\" fill=\"currentColor\"><\/path><\/svg><svg style=\"fill: #999;color:#999\" class=\"arrow-unsorted-368013\" xmlns=\"http:\/\/www.w3.org\/2000\/svg\" width=\"10px\" height=\"10px\" viewBox=\"0 0 24 24\" version=\"1.2\" baseProfile=\"tiny\"><path d=\"M18.2 9.3l-6.2-6.3-6.2 6.3c-.2.2-.3.4-.3.7s.1.5.3.7c.2.2.4.3.7.3h11c.3 0 .5-.1.7-.3.2-.2.3-.5.3-.7s-.1-.5-.3-.7zM5.8 14.7l6.2 6.3 6.2-6.3c.2-.2.3-.5.3-.7s-.1-.5-.3-.7c-.2-.2-.4-.3-.7-.3h-11c-.3 0-.5.1-.7.3-.2.2-.3.5-.3.7s.1.5.3.7z\"\/><\/svg><\/span><\/span><\/label><input type=\"checkbox\"  id=\"ez-toc-cssicon-toggle-item-69ed4060e9b12\"  aria-label=\"Toggle\" \/><nav><ul class='ez-toc-list ez-toc-list-level-1 ' ><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-1\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#Preface\" >Preface&nbsp;<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-2\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#Taiwans_Credit_Trading_Mechanism_and_MMR_Definition\" >Taiwan\u2019s Credit Trading Mechanism and MMR Definition&nbsp;<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-3\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#Defining_the_Margin_Maintenance_Ratio_MMR\" >Defining the Margin Maintenance Ratio (MMR)<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-4\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#The_MMR_is_defined_as\" >The MMR is defined as:<\/a><\/li><\/ul><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-5\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#%E2%AD%90Case_Study_The_April_2025_Market_Margin_Meltdown%E2%AD%90\" >\u2b50Case Study: The April 2025 Market Margin Meltdown\u2b50<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-6\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#MMR_Strategy_Backtesting\" >MMR Strategy&nbsp;Backtesting&nbsp;<\/a><ul class='ez-toc-list-level-3' ><li class='ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-7\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#1_Strategy_Concept_and_Logic\" >1. Strategy Concept and Logic&nbsp;<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-3'><a class=\"ez-toc-link ez-toc-heading-8\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#2_Data_Source_and_Performance_Metrics\" >2.&nbsp;Data Source and Performance Metrics&nbsp;&nbsp;<\/a><\/li><\/ul><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-9\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#Performance_Comparison_and_Multi-Dimensional_Metric_Analysis\" >Performance Comparison and Multi-Dimensional Metric Analysis&nbsp;<\/a><\/li><li class='ez-toc-page-1 ez-toc-heading-level-2'><a class=\"ez-toc-link ez-toc-heading-10\" href=\"https:\/\/www.tejwin.com\/en\/insight\/panic-or-opportunity-spotting-market-turning-points-through-margin-maintenance-ratios\/#Conclusion\" >Conclusion&nbsp;<\/a><\/li><\/ul><\/nav><\/div>\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Preface\"><\/span>Preface&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>In the Taiwan stock market, credit trading (margin buying and short selling) serves as a critical mechanism for&nbsp;observing&nbsp;market leverage and investor sentiment. Unlike institutional investors with ample capital, retail investors often face&nbsp;capital&nbsp;constraints&nbsp;and&nbsp;therefore resort&nbsp;to margin buying to&nbsp;&nbsp;increase their purchasing power. Consequently, margin data serves as a key barometer for retail trading heat.&nbsp;<\/p>\n\n\n\n<p>Key indicators for monitoring credit trading include daily margin\/short volume, balance, margin&nbsp;utilization&nbsp;rates, and\u2014most crucially\u2014the&nbsp;<strong>Margin Maintenance Ratio (MMR)<\/strong>.&nbsp;<\/p>\n\n\n\n<p>The MMR is a core metric used to assess the risk status of margin accounts and&nbsp;determine&nbsp;how close investors are to a margin call.&nbsp;Brokers set specific MMR thresholds to mitigate default risks during periods of high market volatility.&nbsp;<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-buttons has-custom-font-size has-medium-font-size is-layout-flex wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100\"><a class=\"wp-block-button__link has-vivid-cyan-blue-to-vivid-purple-gradient-background has-background has-medium-font-size has-custom-font-size wp-element-button\" href=\"https:\/\/www.tejwin.com\/en\/news\/margin-trade-taiwan\/\" target=\"_blank\" rel=\"noreferrer noopener nofollow\">\u2b50What is margin trade in Taiwan, get deeply to the definition<strong>\u2b50<\/strong><\/a><\/div>\n<\/div>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Taiwans_Credit_Trading_Mechanism_and_MMR_Definition\"><\/span>Taiwan\u2019s Credit Trading Mechanism and MMR Definition&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>In Taiwan, credit trading allows investors to&nbsp;leverage&nbsp;their positions by borrowing&nbsp;funds or securities from brokers based on personal credit or collateral.&nbsp;<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Margin Buying<\/strong>: Borrowing funds to&nbsp;purchase&nbsp;stocks. The margin&nbsp;financing ratio&nbsp;is typically&nbsp;<strong>60%<\/strong>&nbsp;for listed companies and&nbsp;<strong>50%<\/strong>&nbsp;for OTC companies.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Short Selling<\/strong>:&nbsp;Borrowing&nbsp;shares&nbsp;to sell in the market, aiming to buy them back at a lower price. The current margin requirement for short selling is&nbsp;<strong>90%<\/strong>.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Account Eligibility<\/strong>: To ensure data reflects experienced participants, investors must meet specific criteria: the account must be open for at least 3 months, with 10+ trades in the past year, and meet specific turnover and financial proof requirements.&nbsp;<\/li>\n<\/ul>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Defining_the_Margin_Maintenance_Ratio_MMR\"><\/span>Defining the Margin Maintenance Ratio (MMR)<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"The_MMR_is_defined_as\"><\/span>The MMR is defined as:<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"507\" height=\"71\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-802.png\" alt=\"\" class=\"wp-image-44302\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-802.png 507w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-802-300x42.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-802-150x21.png 150w\" sizes=\"(max-width: 507px) 100vw, 507px\" \/><\/figure>\n\n\n\n<p><strong>Margin Multiplier:<\/strong> <strong>60%<\/strong> for Listed companies; <strong>50%<\/strong> for OTC companies.<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p>In the Taiwan market, several quantitative thresholds are critical:<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>166%<\/strong>: The initial maintenance ratio for listed companies (calculated at 60% margin).<\/li>\n\n\n\n<li><strong>130%\u2013160% (Safe Buffer Zone)<\/strong>: While paper losses exist, there is no immediate pressure to add capital; this is considered the psychological defense line for margin holders.<\/li>\n\n\n\n<li><strong>130% (Margin Call Threshold)<\/strong>: If the MMR falls below 130%, brokers issue a margin call. Investors must provide collateral within <strong>T+2<\/strong> business days, or the broker may execute a <strong>forced liquidation<\/strong> on the third day.<\/li>\n\n\n\n<li><strong>80%\u201390% (Systemic Sell-off Zone)<\/strong>: Since retail investors often enter at market peaks and fail to stop losses, the MMR can plummet to 80%\u201390% during rapid downturns, triggering massive systemic selling pressure due to collective liquidations.<\/li>\n<\/ul>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"%E2%AD%90Case_Study_The_April_2025_Market_Margin_Meltdown%E2%AD%90\"><\/span>\u2b50Case Study: The April 2025 Market Margin Meltdown<strong>\u2b50<\/strong><span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>To understand the link between MMR and market risk, we look back at the extreme volatility in early April 2025. The<a href=\"https:\/\/www.google.com\/search?q=Taiwan+Stock+Exchange+Index&amp;rlz=1C1GCEA_enTW1166TW1166&amp;oq=%E5%8F%B0%E7%81%A3%E8%82%A1%E5%B8%82%E5%A4%A7%E7%9B%A4+%E8%8B%B1%E6%96%87&amp;gs_lcrp=EgZjaHJvbWUyBggAEEUYOdIBCDU2MThqMGo5qAIAsAIB&amp;sourceid=chrome&amp;ie=UTF-8&amp;ved=2ahUKEwjm5t7Ok5eTAxWHklYBHTyGOTYQgK4QegQIARAD\" target=\"_blank\" rel=\"noreferrer noopener\"><strong>Taiwan Stock Exchange Index(&nbsp;<\/strong><\/a>TAIEX)&nbsp;plunged 2,065 points (-9.6%) in a single day, the third-largest drop in history.&nbsp;<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Systemic Liquidation Pressure<\/strong>: Average market MMR dropped to <strong>133.8%<\/strong>, with 589 stocks falling below the 130% threshold. This triggered market-wide margin calls and a downward spiral of forced liquidations.<\/li>\n\n\n\n<li><strong>Data on Popular Stocks<\/strong>:\n<ul class=\"wp-block-list\">\n<li><strong>Wistron (3231)<\/strong>: According to TEJ data, its MMR hit <strong>117.31%<\/strong>, placing most margin accounts well below the legal threshold and into liquidation.<\/li>\n\n\n\n<li><strong>Gigabyte (2376)<\/strong>: TEJ data showed MMR touching <strong>113.40%<\/strong>, leading to several days of intense forced selling pressure.<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"MMR_Strategy_Backtesting\"><\/span><strong>MMR Strategy&nbsp;Backtesting<\/strong>&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"1_Strategy_Concept_and_Logic\"><\/span>1. Strategy Concept and Logic&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<p>Beyond its role as a lagging risk indicator, MMR can serve as a&nbsp;<strong>leading signal<\/strong>&nbsp;for market sentiment shifts. This study tests whether stocks&nbsp;exhibit&nbsp;mean-reversion behavior when the MMR falls significantly below its moving average.&nbsp;<\/p>\n\n\n\n<p><strong>Entry Conditions &amp; Filters:<\/strong>&nbsp;<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>MMR Anomaly Identification<\/strong>: Daily MMR &lt; 10-day moving average (MMR_10),&nbsp;identifying&nbsp;an extreme margin pressure zone.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Volume Exhaustion Filter<\/strong>: Daily volume &lt; 10-day average volume, suggesting retail selling pressure has subsided.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Price Stabilization<\/strong>: Daily close &gt; open (a bullish candlestick) to capture technical reversal timing.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Structural Resilience<\/strong>: Margin balance must stay above 95% of its 5-day average,&nbsp;indicating&nbsp;holders have not completely surrendered.&nbsp;<\/li>\n<\/ul>\n\n\n\n<p><strong>Execution &amp; Risk Control:<\/strong>&nbsp;<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Mechanism<\/strong>: Enter at the opening price on the day the signal appears.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Exit<\/strong>: Hold for&nbsp;<strong>15 trading&nbsp;days<\/strong>, or&nbsp;exit at&nbsp;<strong>+40% Take-Profit<\/strong>&nbsp;or&nbsp;<strong>-10% Stop-Loss<\/strong>.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Signal Extension<\/strong>: If a new signal appears during the holding period, the 15-day window resets to capture continued momentum.&nbsp;<\/li>\n<\/ul>\n\n\n\n<h3 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"2_Data_Source_and_Performance_Metrics\"><\/span>2.&nbsp;Data Source and Performance Metrics&nbsp;&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h3>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Data Source<\/strong>:&nbsp;<a href=\"https:\/\/www.tejwin.com\/en\/news\/margin-trade-taiwan\/\" target=\"_blank\" rel=\"noreferrer noopener\">Margin Trading Database<\/a>&nbsp;and the&nbsp;<strong>TEJ Pro Database<\/strong>.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Backtest&nbsp;Period<\/strong>: From&nbsp;<strong>2020 to 2025<\/strong>,&nbsp;utilizing&nbsp;a&nbsp;<strong>Daily Rolling Check<\/strong>&nbsp;to&nbsp;identify&nbsp;entry signals.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Evaluation Metrics<\/strong>: A multi-dimensional assessment focusing on&nbsp;<strong>Annualized Return<\/strong>,&nbsp;<strong>Sharpe Ratio<\/strong>,&nbsp;<strong>Maximum&nbsp;Drawdown (MDD)<\/strong>, and&nbsp;<strong>Calmar&nbsp;Ratio<\/strong><strong>&nbsp;<\/strong>,etc.&nbsp;<\/li>\n<\/ul>\n\n\n\n<p class=\"has-text-align-center\"><strong>Figure1:Margin&nbsp;Maintenance&nbsp;Ratio&nbsp;(MMR)&nbsp;<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"831\" height=\"456\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-803.png\" alt=\"\" class=\"wp-image-44306\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-803.png 831w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-803-300x165.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-803-150x82.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-803-768x421.png 768w\" sizes=\"(max-width: 831px) 100vw, 831px\" \/><\/figure>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p><\/p>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Performance_Comparison_and_Multi-Dimensional_Metric_Analysis\"><\/span><strong>Performance Comparison and Multi-Dimensional Metric Analysis<\/strong>&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p class=\"has-text-align-center\"><strong>Figure 2: Cumulative Returns&nbsp;<\/strong><\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img loading=\"lazy\" decoding=\"async\" width=\"831\" height=\"534\" src=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-804.png\" alt=\"\" class=\"wp-image-44308\" srcset=\"https:\/\/www.tejwin.com\/wp-content\/uploads\/image-804.png 831w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-804-300x193.png 300w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-804-150x96.png 150w, https:\/\/www.tejwin.com\/wp-content\/uploads\/image-804-768x494.png 768w\" sizes=\"(max-width: 831px) 100vw, 831px\" \/><\/figure>\n\n\n\n<p class=\"has-text-align-center\"><strong>Table 1: Performance Metrics<\/strong>&nbsp;<\/p>\n\n\n\n<figure class=\"wp-block-table\"><table class=\"has-fixed-layout\"><tbody><tr><td><strong>Performance Metric<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>Benchmark<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>MMR Investment Strategy<\/strong>&nbsp;<\/td><\/tr><tr><td><strong>Annualized Return<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>18.39%<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>19.04%<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><\/tr><tr><td><strong>Cumulative Return<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>110.51%<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>115.6%<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><\/tr><tr><td><strong>Annualized Volatility<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>17.67%<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>16.897%<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><\/tr><tr><td><strong>Sharpe Ratio<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>1.04<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>1.12<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><\/tr><tr><td><strong>Calmar Ratio<\/strong><strong>&nbsp;\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>0.65<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>1.14<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><\/tr><tr><td><strong>Max Drawdown<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>-28.47%<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><td class=\"has-text-align-right\" data-align=\"right\"><strong>-16.68%<\/strong><strong>\u202f<\/strong><strong>\u202f<\/strong>&nbsp;<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p>According to Table 1, the Margin Maintenance Ratio (MMR) strategy&nbsp;demonstrates&nbsp;superior stability compared to the market benchmark across all core performance metrics:&nbsp;<\/p>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Superior Risk-Adjusted Returns<\/strong>: The Sharpe Ratio (1.12) outperformed the benchmark (1.04), providing higher excess returns per unit of risk.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Resilience Against Drawdowns<\/strong>: The strategy\u2019s strongest suit is its Calmar Ratio (1.14 vs. 0.65), reflecting robust defense during extreme volatility like April 2025.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Downside Protection<\/strong>: Max drawdown was limited to&nbsp;<strong>-16.68%<\/strong>&nbsp;(compared to -28.47% for the market), effectively preserving capital while reducing investor psychological stress.&nbsp;<\/li>\n<\/ul>\n\n\n\n<ul class=\"wp-block-list\">\n<li><strong>Long-Term Capital Appreciation<\/strong>: The MMR strategy (115.6%) consistently outperformed the benchmark (110.51%). This&nbsp;demonstrates&nbsp;its statistical significance and practical profitability in real-world trading.&nbsp;<\/li>\n<\/ul>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<h2 class=\"wp-block-heading\"><span class=\"ez-toc-section\" id=\"Conclusion\"><\/span><strong>Conclusion<\/strong>&nbsp;<span class=\"ez-toc-section-end\"><\/span><\/h2>\n\n\n\n<p>This strategy uses the&nbsp;<strong>Margin Maintenance Ratio (MMR)<\/strong>&nbsp;as a core indicator to capture mean-reversion opportunities following extreme market pessimism and&nbsp;the exhaustion of leveraged liquidations. Empirical results&nbsp;demonstrate&nbsp;that the strategy consistently outperforms the market benchmark in both annualized and cumulative returns, proving its potential for long-term alpha generation in dynamic environments. Despite moderate volatility, the strategy&#8217;s risk-adjusted performance\u2014evidenced&nbsp;by significantly higher&nbsp;<strong>Sharpe<\/strong>&nbsp;and&nbsp;<strong>Calmar Ratios<\/strong>\u2014confirms robust profit stability. Exceptional drawdown control (<strong>-16.68% Max Drawdown<\/strong>) further&nbsp;validates&nbsp;the MMR factor&#8217;s ability to resist market turbulence and protect portfolio value during systemic crashes, such as the&nbsp;<strong>April 2025 market meltdown<\/strong>. Overall, the strategy successfully quantifies market sentiment to capture excess returns during technical rebounds, making it ideal for investors seeking steady growth through reliable risk management and a proven ability to consistently beat the benchmark<strong>.<\/strong>&nbsp;<\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<p>\ud83d\udcd8&nbsp;<em>Disclaimer: The analysis provided in this article is for informational purposes only and does not constitute investment advice or recommendations for any specific financial product.<\/em><\/p>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<div class=\"wp-block-buttons is-layout-flex wp-block-buttons-is-layout-flex\">\n<div class=\"wp-block-button has-custom-width wp-block-button__width-100\"><a class=\"wp-block-button__link has-vivid-cyan-blue-to-vivid-purple-gradient-background has-background has-medium-font-size has-text-align-center has-custom-font-size wp-element-button\" href=\"https:\/\/www.tejwin.com\/en\/solution\/market-data\/\" target=\"_blank\" rel=\"noreferrer noopener nofollow\">Backtest&nbsp;your strategies with Taiwan&#8217;s most comprehensive datasets.&nbsp;                                   \ud83d\udc49&nbsp;Explore Taiwan&nbsp;Market Data<\/a><\/div>\n<\/div>\n\n\n\n<div style=\"height:30px\" aria-hidden=\"true\" class=\"wp-block-spacer\"><\/div>\n\n\n\n<figure class=\"wp-block-embed is-type-wp-embed is-provider-tej wp-block-embed-tej\"><div class=\"wp-block-embed__wrapper\">\n<blockquote class=\"wp-embedded-content\" data-secret=\"4KaSMFHSCL\"><a href=\"https:\/\/www.tejwin.com\/en\/insight\/long-short-equity\/\">Understanding Long-Short Equity Hedge Funds Strategies<\/a><\/blockquote><iframe class=\"wp-embedded-content\" sandbox=\"allow-scripts\" security=\"restricted\" style=\"position: absolute; visibility: hidden;\" title=\"&#8220;Understanding Long-Short Equity Hedge Funds Strategies&#8221; &#8212; TEJ\" src=\"https:\/\/www.tejwin.com\/en\/insight\/long-short-equity\/embed\/#?secret=IchAPxa6EC#?secret=4KaSMFHSCL\" data-secret=\"4KaSMFHSCL\" width=\"600\" height=\"338\" frameborder=\"0\" marginwidth=\"0\" marginheight=\"0\" scrolling=\"no\"><\/iframe>\n<\/div><\/figure>\n","protected":false},"excerpt":{"rendered":"<p>In the Taiwan stock market, credit trading (margin buying and short selling) serves as a critical mechanism for\u00a0observing\u00a0market leverage and investor sentiment. Unlike institutional investors with ample capital, retail investors often face\u00a0capital\u00a0constraints\u00a0and\u00a0therefore resort\u00a0to margin buying to\u00a0\u00a0increase their purchasing power. Consequently, margin data serves as a key barometer for retail trading heat.\u00a0<\/p>\n<p>Key indicators for monitoring credit trading include daily margin\/short volume, balance, margin\u00a0utilization\u00a0rates, and\u2014most crucially\u2014the\u00a0Margin Maintenance Ratio (MMR).\u00a0<\/p>\n<p>The MMR is a core metric used to assess the risk status of margin accounts and\u00a0determine\u00a0how close investors are to a margin call.\u00a0Brokers set specific MMR thresholds to mitigate default risks during periods of high market volatility.<\/p>\n","protected":false},"featured_media":37787,"template":"","tags":[3063,3614,2988],"insight-category":[3509,1356],"class_list":["post-40427","insight","type-insight","status-publish","has-post-thumbnail","hentry","tag-backtesting-2","tag-margin-trade","tag-quantitative-analysis","insight-category-fintech-en","insight-category-tquant-lab-en"],"acf":[],"_links":{"self":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/40427","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight"}],"about":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/types\/insight"}],"version-history":[{"count":45,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/40427\/revisions"}],"predecessor-version":[{"id":44398,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight\/40427\/revisions\/44398"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media\/37787"}],"wp:attachment":[{"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/media?parent=40427"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/tags?post=40427"},{"taxonomy":"insight-category","embeddable":true,"href":"https:\/\/www.tejwin.com\/en\/wp-json\/wp\/v2\/insight-category?post=40427"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}