Building a Chinese Stock Screen and Weekly Volume-Ratio Portfolio

Summary

This BigQuant example assembles a China A-share workflow from stock selection through backtesting. It selects eligible main board, STAR Market, and ChiNext stocks associated with the CSI 1000, then calculates current and lagged volume relative to a five-day average. Candidates must fall within a specified volume-ratio band across three observations. A ranking module selects five names by volume ratio and assigns the portfolio’s total capital across them; extracted signals feed a daily backtest configured for weekly rebalancing.

The example also shows order handling: target positions are set for current signals, and holdings absent from the day’s target list are closed. It supplies dates, benchmark, and order-price settings, but reports no backtest outcome or diagnosis of the code issue implied by the forum title. It is therefore a workflow illustration rather than evidence of a viable strategy. The sample’s signal timing, execution assumptions, transaction costs, and look-ahead risk would need review before interpreting results.

Key ideas

• The workflow screens Chinese equities and computes volume relative to a five-day average.
• It filters candidates using the volume ratio across the current and two lagged observations.
• The ranking step selects five stocks and assigns portfolio exposure to them.
• The backtest example rebalances weekly and targets positions from daily signal data.
• The post gives no results or confirmed explanation of a code error.

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