An Industry Rotation Strategy Based on Relative Valuation

Summary

The post contains a proposed monthly China A-share industry-rotation backtest. It ranks second-level industries by where current price-to-earnings ratios sit within their own rolling 60-session ranges, then selects six industries with the lowest relative valuation positions. Within those industries, it proposes choosing up to five stocks with lower price-to-earnings ratios and assigning equal weights to the resulting holdings, subject to a stated portfolio cap. The code uses platform data queries and a monthly rebalance framework.

The author’s actual question is why the backtest system crashes, but the supplied page contains no diagnosis or reply explaining the cause. The excerpt does not demonstrate that the strategy ran successfully or provide performance results. Its implementation also leaves important details unclear, including data alignment, ranking and selection behavior, and whether the calculations avoid look-ahead bias. Treat it as an incomplete strategy sketch and troubleshooting request, not evidence that the method is valid or profitable.

Key ideas

• The proposed strategy rotates monthly into industries with low price-to-earnings positions relative to their own rolling ranges.
• It selects up to five lower-PE stocks from each of six chosen industries and assigns equal portfolio weights.
• The post asks about a crashing backtest but provides no response identifying the cause.
• The excerpt offers no performance evidence and leaves implementation and bias checks unresolved.

Tags

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