Weekly Momentum Rotation Between Chinese Equity ETFs

Summary

The document describes a weekly rotation strategy based on relative performance in two Chinese equity indexes: the CSI 300 and the CSI 500. It calculates each index’s return over a 20-trading-day lookback and compares the two signals. The strategy invests available cash in the corresponding index ETF when one index has the stronger positive return, closing the other ETF position first. If neither return is positive, it exits its holdings and stays in cash.

The supplied code specifies the signal calculation, weekly schedule, and position switching logic, but it offers no backtest results or rationale for the selected lookback and rebalance timing. It also does not discuss transaction costs, slippage, cash or order constraints, or risk controls. The example demonstrates a simple relative-momentum allocation rule; the document does not show whether it performs reliably or how it behaves during rapid reversals or extended declines.

Key ideas

• The strategy compares recent returns of the CSI 300 and CSI 500 indexes over a 20-day window.
• It schedules decisions weekly and directs available cash to the ETF tracking the stronger index when its signal is positive.
• It closes the existing ETF position before switching to the other index.
• When both index returns are nonpositive, it exits the ETF holdings and stays in cash.
• The example includes implementation logic but no results, cost estimates, or risk-control analysis.

Tags

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