Chinese Stock Portfolio Strategy with Ranking, Rebalancing, and Profit Taking

Summary

This BigQuant workflow builds a Chinese stock portfolio from a broad exchange and sector universe. Its factor query computes lagged price measures, ranks stocks using longer- and shorter-window returns, filters out special-treatment stocks, and removes rows with missing values. The resulting candidates are converted into positions, with a target of ten holdings allocated equally. A trading handler updates holdings on scheduled signal dates, sells names outside the target set, and submits target allocations for selected stocks.

The implementation also includes a profit-taking rule that closes a position once its return reaches a configured threshold, tracking entry prices from trade reports when available and falling back to position cost data. It specifies commissions, a daily bar backtest, a Chinese equity benchmark, and a three-trading-day rebalance interval. The document is code and configuration rather than a performance report: it provides no return, drawdown, or comparison results. Some debugging output and duplicated snippets appear, and the strategy’s operational behavior depends on the platform’s data, order, and position APIs.

Key ideas

• The workflow ranks Chinese stocks using return-derived factors and filters out special-treatment names.
• It targets ten equally weighted holdings and rebalances on scheduled signal dates.
• Positions are closed when the configured profit threshold is reached.
• The backtest configuration specifies daily bars, transaction costs, and a benchmark.
• The document gives implementation details but no evidence of strategy performance.

Tags

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