A Chinese Small-Cap Strategy with Daily Rebalancing and a Rising 30-Day Average

Summary

This A-share stock selection strategy buys the ten smallest companies by market capitalization each day and rebalances daily. Its universe is drawn from the CSI 1000 and excludes ST and delisted stocks. Additional filters require a positive trailing price-to-earnings ratio, more than roughly a year since listing, a turnover rank in the lower half, and a specified price-limit status. The rules also include a 30-day return or volatility feature threshold and require the 30-day simple moving average to be rising.

The document describes the screening rules but provides no backtest results, benchmark comparison, transaction-cost assumptions, or evidence that the filters improve returns. Some feature names and conditions are ambiguous in the source, including the stated 30-day threshold and price-limit filter, so their exact implementation should be checked before use. Daily selection of very small stocks may also face liquidity, capacity, and execution constraints.

Key ideas

• The strategy selects the ten lowest-market-cap stocks from a CSI 1000 universe and rebalances daily.
• It removes ST and delisted stocks and applies listing-age, turnover-rank, price-limit, and positive-valuation filters.
• A 30-day simple moving average must be rising for a stock to qualify.
• The document gives screening rules but no performance evidence or implementation details for ambiguous filters.

Tags

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