A Daily Chinese Stock Ranking Strategy and Its Paper-Trading Logs

Summary

The document shows a Chinese A-share strategy that ranks stocks using market capitalization, float capitalization, and closing price, then selects a small target list. It filters for smaller float capitalization, sufficient listing history, and nonnegative trailing price-to-earnings values. The example uses daily data and submits orders by target portfolio percentage, with a stated four-stock holding limit.

The accompanying paper-trading logs show the strategy completing a one-day run with no orders, trades, or positions. They do not identify why the backtest appeared to work while simulation or live trading did not, nor do they present a confirmed fix. The code and logs may help readers inspect a platform-specific example, but they provide little general troubleshooting guidance. The ranking logic also omits a demonstrated performance evaluation, and the single-day log cannot establish how the strategy behaves across a longer period.

Key ideas

• The example ranks eligible stocks by a weighted combination of market capitalization, float capitalization, and closing price.
• It filters candidates using float capitalization, listing age, and trailing price-to-earnings data.
• The strategy aims to hold up to four stocks and uses percentage-based orders for new positions.
• The included paper-trading run reports no orders or positions, but does not explain the cause.

Tags

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