A Weekly Regional-Index Rotation Strategy for Chinese Equities

Summary

This strategy ranks regional indexes by their return over the prior 20 trading days, keeps the three strongest, and then selects constituent stocks whose return over the same period exceeds 1%. It applies breadth filters at both levels: if too few regional indexes or constituent stocks are positive, the strategy stays out of the market. On each weekly rebalance, it first liquidates current holdings and then equally weights the selected stocks. The rationale is that leadership among regions and their constituents may indicate broad, persistent market strength.

The report characterizes the approach as trend following and says it struggled in sideways markets. It reports an annualized return above 16% in its backtest, but gives no test dates, benchmark, transaction costs, drawdown, or other details needed to assess that figure. The strategy depends on a specific Chinese-market regional-index dataset, and its thresholds and lookback choices are not validated in the text. Equal weighting and full portfolio turnover also create practical implementation and risk considerations that the report does not quantify.

Key ideas

• The method ranks regional indexes by their 20-trading-day return and selects the three leaders.
• It filters index and stock candidates using the share of positive returns in each group.
• Selected stocks must exceed a 1% return threshold and are equally weighted at weekly rebalancing.
• The report describes the approach as trend following and says it can lose money in sideways markets.
• Its reported backtest return lacks dates, benchmark, cost, and drawdown details.

Tags

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