A-Share Strategy Combining Small-Cap Ranking and Price Momentum

Summary

This strategy ranks the mainland China A-share universe using company size and a price momentum measure. It removes suspended and specially treated shares, calculates a market-cap rank and the ratio of 20-day to 60-day average closing prices, and adds the two measures into a composite score. The portfolio takes the top 30 ranked stocks with equal weights and refreshes holdings monthly. The document also describes a BigQuant implementation and provides a historical backtest setup spanning June 2016 to April 2024, with the CSI 300 as benchmark; however, it supplies no performance statistics or conclusions from that backtest.

The rationale is that small companies may offer higher growth potential and that recent price strength may persist. The author explicitly notes that small stocks carry greater risk and that the strategy has no special risk controls, leaving it exposed to large drawdowns during volatile markets. The scoring details also merit scrutiny: the text describes the size measure as an inverse market-cap ranking, while its expression and descending sort may not implement that interpretation as intended. The two factors are added directly, without a stated normalization method.

Key ideas

• The stock universe covers A-shares and excludes suspended and specially treated stocks.
• A composite score combines a market-cap rank with the ratio of 20-day and 60-day average prices.
• The portfolio holds 30 top-ranked names at equal weights and rebalances monthly.
• The article provides a backtest configuration but no reported performance evidence.
• The strategy lacks dedicated risk controls, and the factor definitions and scoring direction need verification.

Tags

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