Monthly A-Share Portfolio Combining Small-Cap Rank and 20-Day Momentum

Summary

This document outlines a monthly long-only stock selection strategy for the Chinese A-share market. It ranks the universe using a market-cap rank and a 20-day average of price changes, combines the two into a score, then holds 50 equally weighted stocks with the best score. The portfolio is fully invested and rebalanced at the start of each month; the described backtest uses daily data, open prices for trades, and the CSI 300 as its benchmark.

The document includes a platform implementation outline and specifies a historical data window from 2020-01-01 through 2024-04-29. It does not report returns, drawdowns, or other backtest results, so the material describes a method rather than demonstrating its effectiveness. It explicitly notes that the strategy has no risk controls and that small-cap stocks may have limited liquidity and higher trading costs, especially for large orders. It suggests adding stop-loss rules or dynamic position management, though it does not define or test those changes. The stated factor rationale should therefore be treated as a hypothesis requiring careful validation.

Key ideas

• The stock universe is all A-shares, ranked using market-cap rank and a 20-day average of price changes.
• The strategy selects 50 stocks for equal-weighted, fully invested positions.
• It rebalances monthly and specifies open-price execution in its backtest setup.
• The described backtest covers 2020-01-01 through 2024-04-29, but the document gives no performance results.
• The strategy has no risk controls, and small-cap liquidity may raise trading costs.

Tags

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