A Daily Equal-Weight Strategy Selecting China’s Smallest Main-Board Stocks

Summary

This strategy studies a daily selection of ten Chinese main-board stocks ranked by free-float market capitalization, from smallest to largest. It excludes stocks marked ST, suspended stocks, companies listed for less than a year, and listings on the STAR Market or Beijing Stock Exchange. The proposed portfolio equally weights its holdings, with trades made at the open and a one-day holding period.

The document specifies a backtest beginning in 2020 and an initial capital of 500,000, but provides no visible chart, performance figures, or discussion of transaction costs. It therefore describes a test setup rather than evidence that the strategy is profitable. The short holding period and focus on small companies may make results sensitive to liquidity, price limits, execution assumptions, and trading costs; these issues are not evaluated in the text.

Key ideas

• The strategy ranks eligible main-board stocks by free-float market capitalization in ascending order.
• It excludes ST-designated and suspended stocks, as well as companies listed for less than 365 days.
• The portfolio holds ten stocks for one day with equal allocation.
• The stated backtest buys and sells at the open, but the document gives no performance results or cost analysis.

Tags

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