A One-Day Chinese Stock Rotation Screen Using Prior Gains and Turnover
Summary
This example describes a short-horizon stock rotation strategy. It selects shares whose prior-day return was between 2% and 8% and whose turnover was between 3% and 8%, then removes special-treatment shares, halted stocks, and listings younger than the stated minimum age. The remaining candidates are ranked by estimated main-fund inflow.
The stated trading schedule buys at the open and sells at the close, with a five-stock portfolio and a one-day holding period. The document lists initial capital and links to a strategy implementation, but the supplied text contains no readable backtest chart, return figures, or risk analysis. It labels the strategy an example that users may modify. The rules describe a momentum-oriented selection process, but transaction costs, slippage, market impact, and the reliability of the inflow measure are not discussed.
Key ideas
- The screen looks for stocks with a prior-day gain in the stated 2% to 8% band and turnover in the 3% to 8% band.\nIt excludes special-treatment shares, halted stocks, and listings younger than 270 days.\nCandidates are ranked by main-fund inflow.\nThe example buys at the open and exits at the close, holding five stocks for one day.\nThe document provides no usable performance or risk evidence in the text.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.