A Chinese Stock Momentum Strategy with Equal-Weight Rebalancing

Summary

This example outlines a China A-share stock selection and portfolio backtest workflow. It screens for eligible, non-suspended stocks, calculates 30-day and 90-day returns, and ranks those returns cross-sectionally. The illustrated filter favors stocks in the upper portion of the 90-day return ranking and the strongest decile for 30-day returns, combining medium-term strength with stronger recent momentum.

The workflow then selects a fixed-size portfolio, assigns equal weights, and rebalances periodically using daily data and opening prices. The document includes a trading engine template and sets commission assumptions, a benchmark, and a historical sample period. It supplies implementation settings but no backtest performance, comparison, or evidence that the signals are profitable. Results would also depend on data quality, transaction costs, execution assumptions, and the chosen universe and rebalance schedule.

Key ideas

• The stock universe is restricted to eligible, active Chinese exchange listings.
• The selection signal combines cross-sectional ranks of 30-day and 90-day returns.
• The example holds a fixed number of stocks with equal position weights.
• The portfolio rebalances on a recurring schedule and uses opening prices in the backtest.
• The document provides no performance results to validate the strategy.

Tags

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