Optimizing a Regime-Switched Industry Rotation and Stock Selection Strategy

Summary

This document describes an A-share strategy that rotates among industries according to a market-regime indicator, then selects stocks within chosen industries using four factors emphasizing short-term reversal and low attention. The regime indicator is used to choose between momentum and reversal signals for industry selection. The portfolio is rebalanced weekly and holds two stocks in each of three selected industries.

It reports a backtest against the CSI 300 over 2015–2026. The original configuration is reported with a Sharpe ratio of 0.69, maximum drawdown of 53.46%, and annualized return of 21.37%. The optimized version applies three risk or portfolio adjustments while retaining the core selection logic; the document reports a Sharpe ratio near 1.04 and maximum drawdown near 23.87%, with annualized return roughly unchanged or slightly higher. The excerpt does not specify the three adjustments or provide enough detail to reproduce the tests, and the reported performance is historical rather than evidence of future results.

Key ideas

• A market-style stability indicator determines whether industry selection uses momentum or reversal.
• Within selected industries, a four-factor stock screen combines short-term reversal with low investor attention.
• The optimized portfolio rebalances weekly and holds six stocks across three industries.
• The reported backtest shows lower maximum drawdown and a higher Sharpe ratio after optimization, while annualized return remains similar.
• The excerpt omits the details of the three optimizations, limiting independent reproduction.

Tags

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