Monthly Top-10 Momentum Strategy for CSI 300 Stocks

Summary

The strategy ranks CSI 300 constituents by their return over the first three trading days of each month, measured from the first day's open to the third day's close. If the month has at least four trading days, it buys the ten strongest eligible stocks at the fourth day's open, assigning equal weights subject to availability when suspensions or price limits prevent purchases. From the fifth trading day, it recalculates each stock's month-to-date return and sells holdings that fall outside the top ten, using the prior close for the ranking and the current open for execution.

All holdings are liquidated at the open of the month's final trading day. This is a short-horizon momentum approach with frequent ranking-based turnover and an explicit month-end exit. The description warns that trading costs may be high, but it provides no backtest results, benchmark comparison, or treatment of slippage and other implementation details. Its claimed suitability for clear short-term trends is an assertion, not demonstrated evidence.

Key ideas

• The strategy selects CSI 300 stocks using returns over the first three trading days of each month.
• It buys up to ten top-ranked stocks at the fourth trading day's open with equal weights.
• Holdings are sold at the open if their month-to-date ranking falls outside the top ten.
• The portfolio is fully liquidated at the open of the final trading day each month.
• Frequent turnover may raise trading costs, and the description provides no backtest evidence.

Tags

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