Weekly ETF Selection by Five-Day Return and Trading Value

Summary

This Chinese-language forum post outlines an ETF backtest idea: rank funds by their return over five trading days, filter for those whose average trading value over the same period exceeds a stated threshold, then select the top five with equal weights. The proposed schedule is to repeat the ranking weekly and trade on the sixth trading day. To build the data, the author seeks fund type, trading amount, and five-day return fields, using separate data sources in a quantitative research platform.

The post is primarily a request for implementation help, rather than a complete strategy specification or an empirical study. The author reports that an update adding a date restriction and changing a filter enabled extraction of amount and net asset value return data. No backtest results, execution details, transaction costs, or risk analysis are provided. The selection and weighting rules are described, but the portfolio’s actual performance and the precise data-field setup remain unverified in the document.

Key ideas

• The proposed strategy ranks ETFs by their return over five trading days.
• It filters candidates using average trading value over the same period.
• The plan selects five funds and assigns them equal portfolio weights.
• The author describes weekly selection followed by trading on the sixth trading day.
• A date restriction and revised filter reportedly enabled retrieval of trading amount and net asset value returns.

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