Combining Long-Term Momentum and Short-Term Reversal in Chinese Stocks

Summary

This Chinese equity strategy combines two types of candidates: stocks in the top 30% by return over the prior 120 trading days, and stocks in the bottom 10% by performance over the prior 30 days. A candidate must also have net inflows from very large orders within the prior five trading days. Candidates are ranked by descending tradable market capitalization.

The strategy removes ST-designated stocks and Beijing Stock Exchange listings, allows up to 15 holdings, and exits after a holding period longer than 30 trading days or when a position gains 20%. The page repeats these rules and points readers to an external implementation, but provides no readable backtest results, benchmark, transaction-cost assumptions, or risk analysis. The stated selection criteria therefore describe a testable idea, not evidence that it is profitable or robust.

Key ideas

• The strategy selects both strong 120-day performers and weak 30-day performers.
• Eligible stocks must show recent net inflows from very large orders.
• Candidates are ranked by descending tradable market capitalization, with ST stocks and Beijing listings excluded.
• Positions are capped at 15 and exit after more than 30 trading days or a 20% gain.
• The page supplies no usable performance evidence or trading-cost analysis.

Tags

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