Chinese Small-Cap Strategy Filters for a Two-Day Holding Period

Summary

This post describes an optimized version of a Chinese small-cap equity strategy with a two-day holding period. It says the update adds screens for recent share-reduction announcements, year-over-year net profit growth, negative news, upcoming share unlocks, and debt ratio. The stated thresholds are net profit growth above 10% and debt ratio below 50%; the post also says to exclude stocks with at least one share-reduction announcement in the previous month.

The headline reports an annualized return of 43% and a drawdown of 5%, but the page provides no strategy code, test period, benchmark, transaction costs, portfolio rules, or supporting performance analysis. The results therefore cannot be independently assessed from the available text. The screens describe a stock-selection approach, while the precise definitions of negative news and share unlock exclusions are not given. The figures are claims made by the post, not evidence of future performance.

Key ideas

• The strategy selects Chinese small-cap stocks and holds them for two days.
• It excludes stocks with a share-reduction announcement in the prior month.
• It screens for net profit growth above 10% and debt ratio below 50%.
• The post reports annualized return and drawdown figures but gives no test details.

Tags

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