A-share strategy library
A-share quant strategy library
From momentum and mean reversion through multi-factor, index-enhancement and event-driven research, each guide puts the hypothesis, executable rules, A-share constraints and stress tests in one auditable framework.
Research protocol
Start by finding where the strategy fails
State the hypothesis
Say what relationship the strategy tests and the conditions where it may break.
Write rules
Fix universe, signal, trade time, sizing, exit and risk constraints without discretion.
Add friction
Put fees, slippage, price limits, suspensions, T+1 and unfilled orders into the backtest.
Stress test
Check nearby parameters, regimes, out-of-sample results and tougher cost assumptions.
Strategy guides
Eight common strategy types
Momentum rotation
A reviewable A-share framework for ranking recent winners and rotating holdings, including signal definitions, execution constraints and stress tests.
Related factors
Momentum, Low volatility, Liquidity
Mean reversion
A disciplined A-share mean-reversion framework covering entry deviation, exit, T+1, transaction costs and price-limit risk.
Related factors
Reversal, Low volatility, Liquidity
Value quality
An A-share stock-selection framework combining valuation and profitability quality with disclosure timing and sector-neutral controls.
Related factors
Value, Quality, Dividend
Multi-factor selection
A disciplined approach to combining value, quality, growth and momentum while monitoring correlation, exposure, capacity and overfitting.
Related factors
Value, Quality, Growth, Momentum
Dividend low volatility
An A-share defensive research framework combining sustainable cash dividends, lower volatility, quality filters and sector controls.
Related factors
Dividend, Low volatility, Quality
Grid trading
A range-based A-share grid-trading framework that explicitly models grid spacing, inventory limits, T+1, price limits and net trading costs.
Related factors
Reversal, Low volatility, Liquidity
Index enhancement
A benchmark-aware framework for seeking excess return over CSI 300 or CSI 500 while controlling active weight, style, sector and tracking-error risk.
Related factors
Value, Quality, Growth, Momentum
Event driven
A systematic guide to testing A-share announcements such as earnings pre-announcements, buybacks and dividends using timestamps, controls and executable entry rules.
Related factors
Growth, Quality, Reversal
Comparison matrix
Choose a starting point by research cadence
| Strategy | Typical cadence | Research focus | Primary risk |
|---|---|---|---|
| Momentum rotation | Weekly to monthly | Reversal, crowding and turnover | Trend reversal and crowding |
| Mean reversion | Daily to weekly | Trend failure and T+1 | Trend continuation |
| Value quality | Monthly to quarterly | Disclosure timing and sectors | Value traps |
| Multi-factor selection | Biweekly to monthly | Correlation and weights | Factor collinearity |
| Dividend low volatility | Monthly to quarterly | Ex-dividend rules and sectors | Yield traps |
| Grid trading | Price-triggered | Cost, inventory and breaks | Trend inventory accumulation |
| Index enhancement | Biweekly to monthly | Tracking error and active weights | Tracking-error breach |
| Event driven | Event-triggered | Timestamps and entry timing | Event-label error |
Start with evidence
Turn an idea into an auditable backtest
Choose one strategy, fix the data and execution conventions, then assess return, drawdown, turnover, fill deviation and out-of-sample evidence together.