Trading Rules and Backtest Mechanics in Tonghuashun

Summary

This document outlines Tonghuashun’s backtesting support and gives example strategies for Chinese stocks, convertible bonds, and funds. It describes supported data intervals, transaction costs, slippage, corporate-action adjustments, and order matching. The examples cover moving-average crossovers, candlestick patterns, Keltner-style channel entries, moving-average and swing-level breakouts, and a support-resistance oscillator. Position sizes are generally set as a fraction or fixed cash amount, with entry and exit conditions encoded as indicator rules.

The material is instructional rather than empirical: it provides formulas and platform mechanics but reports no performance results or validation across markets. The described simulator uses one-time market-order matching at the current bar’s close plus slippage, which may not represent real execution. Intraday bar construction and corporate-action handling also affect signals and results. Strategy parameters are examples, not evidence of robust settings; traders would need to test costs, timing assumptions, and out-of-sample behavior before relying on them.

Key ideas

• The platform supports backtests on Chinese exchange-listed stocks, convertible bonds, and funds at several bar frequencies.
• Fees, sell-side stamp duty, and slippage are configurable and affect simulated outcomes.
• The engine adjusts cash or share quantities for corporate actions while using unadjusted prices for fills.
• The examples include crossover, candlestick, channel, breakout, and oscillator-based trading rules.
• The document supplies no performance evidence, and its simplified close-price matching may differ from live execution.

Tags

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