A China A-Share Small-Cap Dividend Screen with Periodic Equal-Weight Rebalancing

Summary

This BigQuant example builds a mainland Chinese stock portfolio by screening for eligible main-board shares and excluding suspended, ST, and recently listed names. It requires positive trailing earnings and dividend yield, caps float market capitalization, and limits price-to-sales. A composite score ranks candidates using total market capitalization, float market capitalization, and dividend yield, after which the workflow selects ten stocks and assigns equal weights.

The trading engine checks signals every third trading day, sells holdings outside the target list, and adjusts positions using daily data and opening prices. The example supplies a historical extraction window and specifies transaction costs, an initial capital amount, and the CSI 300 as benchmark, but gives no backtest results or risk statistics. The pasted code is duplicated and includes platform-specific modules, so reproducing the approach depends on BigQuant data definitions, execution settings, and handling of costs and historical biases.

Key ideas

• The universe is restricted to mainland Chinese main-board stocks with additional listing and status filters.\nA composite score combines market capitalization ranks and dividend yield.\nThe portfolio holds ten selected stocks at equal weights and rebalances every third trading day.\nThe example specifies costs and a benchmark but reports no performance results.\nImplementation depends on platform-specific data and backtest assumptions.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.