A Five-Stock Turnover-Volatility Strategy with Market and Trade-Level Exits
Summary
This BigQuant example builds a daily Chinese-stock portfolio by ranking eligible shares on 30-day turnover variability relative to their industry group. It filters out risk-warning stocks and applies price and listing-age conditions, then selects five names and assigns normalized positions from the ranking. The example schedules rebalancing every 20 trading days and uses opening prices for buys and sells in its backtest configuration.
The trading logic also includes portfolio-wide and individual-stock exits: it liquidates holdings if a three-day market measure crosses a stated loss threshold, and closes a position after a small gain or loss relative to cost. The document supplies code and a historical date range, but no performance results, benchmark comparison, or transaction-cost analysis. Its example therefore illustrates implementation choices rather than evidence of an effective strategy; the market-risk measure and exit thresholds would require careful validation, including checking their timing and interaction with periodic rebalancing.
Key ideas
- The example ranks eligible stocks by 30-day turnover variability relative to their industry group.
- It selects five stocks and normalizes their positions to the portfolio allocation.
- The backtest configuration uses a 20-trading-day rebalance schedule and opening-price orders.
- A market-level loss trigger closes all holdings, while individual gain and loss thresholds close positions.
- The document provides implementation details but no results establishing strategy performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.