Backtesting a Dual Moving Average Strategy on Chinese Funds
Summary
The document explains how to build a fund backtest in a platform whose standard workflow does not directly support fund data. The example strategy buys when a short moving average crosses above a longer one and sells when it crosses below. It describes selecting the CN_FUND market, loading fund data through a custom module, deriving features from that data, and supplying historical prices directly to the backtest engine. Fund identifiers can be looked up in a basic information table.
The article reports that its linked example outperformed buy and hold with lower volatility, but provides no figures or evaluation details in the text. That comparison should therefore be treated as an unverified example rather than evidence of general effectiveness. The source also makes a broad claim about long-term profitability without supporting analysis. It does not specify moving-average windows, transaction costs, benchmark dates, or other backtest assumptions, all of which limit reproducibility.
Key ideas
- A dual moving average system buys on an upward crossover and sells on a downward crossover.
- Fund backtests may require custom data extraction and manually supplied historical prices when the platform lacks native fund support.
- The CN_FUND market setting and the fund information table help identify and retrieve fund data.
- The reported advantage over buy and hold lacks numerical results and backtest assumptions.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.