A-share (CSI 300 / CSI 500) · Long-only · Bias-controlled · Regime-aware
Three runs: CSI300 / CSI500 / Combined · Data: Tushare Pro · Walk-forward: 15 OOS windows
| Metric | CSI300 IS | CSI300 OOS(avg) | CSI500 IS | CSI500 OOS(avg) | COMBINED IS | COMBINED OOS(avg) |
|---|---|---|---|---|---|---|
| Annual Return | 0.6% | -2.8% | -3.0% | -5.4% | -2.9% | -7.1% |
| Sharpe Ratio | 0.09 | -0.30 | -0.18 | -0.49 | -0.17 | -0.62 |
| Max Drawdown | 28.2% | 14.5% | 30.7% | 16.9% | 30.0% | 17.0% |
| Calmar Ratio | 0.02 | 0.26 | -0.10 | 0.26 | -0.10 | 0.17 |
| Info Ratio | 0.09 | -0.20 | -0.18 | -0.53 | -0.17 | -0.67 |
| Win Rate | 49.7% | 49.2% | 50.5% | 50.4% | 49.5% | 49.6% |
IS = 2016-02-01→2020-12-31 (full-period run). OOS = average across 15 walk-forward windows (2021–2024). ✓ = p < 0.05.
| Factor | CSI300 ICIR | p-val | IC>0% | CSI500 ICIR | p-val | IC>0% |
|---|---|---|---|---|---|---|
| mom_5d | -0.177 | < 0.001 ✓ | 43.4% | -0.220 | < 0.001 ✓ | 41.1% |
| mom_20d | -0.116 | < 0.001 ✓ | 47.2% | -0.182 | < 0.001 ✓ | 44.1% |
| zscore_20d | -0.119 | < 0.001 ✓ | 45.8% | -0.175 | < 0.001 ✓ | 43.0% |
| rsi_14d | 0.111 | < 0.001 ✓ | 54.7% | 0.180 | < 0.001 ✓ | 57.2% |
Negative IC for momentum factors means A-shares exhibit short-term reversal. Factors are applied in the direction of their IC sign.
| Run | Test Period | Sharpe | Max DD | Ann Return |
|---|---|---|---|---|
| CSI300 | 2021-01-01 → 2021-06-30 | -0.41 | 10.7% | -7.9% |
| CSI300 | 2021-04-01 → 2021-09-30 | -0.22 | 11.4% | -4.8% |
| CSI300 | 2021-07-01 → 2021-12-31 | 0.08 | 9.6% | 4.9% |
| CSI300 | 2021-10-01 → 2022-03-31 | -0.70 | 17.1% | -13.6% |
| CSI300 | 2022-01-01 → 2022-06-30 | -0.72 | 22.2% | -14.0% |
| CSI300 | 2022-04-01 → 2022-09-30 | -0.92 | 15.1% | -17.0% |
| CSI300 | 2022-07-01 → 2022-12-31 | -0.36 | 16.5% | -8.7% |
| CSI300 | 2022-10-01 → 2023-03-31 | 2.67 | 7.4% | 64.9% |
| CSI300 | 2023-01-01 → 2023-06-30 | 0.28 | 12.0% | 2.5% |
| CSI300 | 2023-04-01 → 2023-09-30 | -1.03 | 11.4% | -14.0% |
| CSI300 | 2023-07-01 → 2023-12-31 | -1.42 | 19.2% | -21.6% |
| CSI300 | 2023-10-01 → 2024-03-31 | -0.96 | 17.8% | -15.6% |
| CSI300 | 2024-01-01 → 2024-06-30 | -1.41 | 15.9% | -30.0% |
| CSI300 | 2024-04-01 → 2024-09-30 | -0.81 | 20.0% | -14.3% |
| CSI300 | 2024-07-01 → 2024-12-31 | 1.38 | 10.7% | 47.3% |
| CSI500 | 2021-01-01 → 2021-06-30 | 0.45 | 10.3% | 10.9% |
| CSI500 | 2021-04-01 → 2021-09-30 | 1.27 | 9.5% | 20.9% |
| CSI500 | 2021-07-01 → 2021-12-31 | 0.98 | 9.8% | 22.8% |
| CSI500 | 2021-10-01 → 2022-03-31 | -0.62 | 21.1% | -13.9% |
| CSI500 | 2022-01-01 → 2022-06-30 | -1.51 | 22.4% | -26.5% |
| CSI500 | 2022-04-01 → 2022-09-30 | -1.21 | 18.9% | -24.1% |
| CSI500 | 2022-07-01 → 2022-12-31 | 0.24 | 17.2% | 1.9% |
| CSI500 | 2022-10-01 → 2023-03-31 | 2.79 | 8.5% | 61.5% |
| CSI500 | 2023-01-01 → 2023-06-30 | -1.37 | 14.8% | -19.3% |
| CSI500 | 2023-04-01 → 2023-09-30 | -1.94 | 14.5% | -21.6% |
| CSI500 | 2023-07-01 → 2023-12-31 | -0.77 | 14.3% | -13.9% |
| CSI500 | 2023-10-01 → 2024-03-31 | -0.81 | 22.2% | -15.9% |
| CSI500 | 2024-01-01 → 2024-06-30 | -2.54 | 26.3% | -48.3% |
| CSI500 | 2024-04-01 → 2024-09-30 | -3.30 | 28.9% | -43.4% |
| CSI500 | 2024-07-01 → 2024-12-31 | 1.07 | 14.5% | 27.9% |
| COMBINED | 2021-01-01 → 2021-06-30 | 0.03 | 11.5% | 2.4% |
| COMBINED | 2021-04-01 → 2021-09-30 | 0.84 | 9.7% | 13.7% |
| COMBINED | 2021-07-01 → 2021-12-31 | 0.85 | 10.1% | 19.9% |
| COMBINED | 2021-10-01 → 2022-03-31 | -0.43 | 19.3% | -9.2% |
| COMBINED | 2022-01-01 → 2022-06-30 | -2.05 | 27.2% | -36.9% |
| COMBINED | 2022-04-01 → 2022-09-30 | -1.37 | 20.2% | -26.9% |
| COMBINED | 2022-07-01 → 2022-12-31 | 0.39 | 16.6% | 5.1% |
| COMBINED | 2022-10-01 → 2023-03-31 | 3.03 | 8.7% | 72.6% |
| COMBINED | 2023-01-01 → 2023-06-30 | -0.96 | 14.1% | -16.0% |
| COMBINED | 2023-04-01 → 2023-09-30 | -1.82 | 14.3% | -20.9% |
| COMBINED | 2023-07-01 → 2023-12-31 | -1.15 | 15.7% | -18.6% |
| COMBINED | 2023-10-01 → 2024-03-31 | -1.82 | 20.5% | -29.3% |
| COMBINED | 2024-01-01 → 2024-06-30 | -2.62 | 26.3% | -48.3% |
| COMBINED | 2024-04-01 → 2024-09-30 | -3.33 | 28.1% | -43.0% |
| COMBINED | 2024-07-01 → 2024-12-31 | 1.12 | 13.4% | 28.3% |
Green = Sharpe > 0. Peak performance in W8 (Oct 2022–Mar 2023) coincides with post-COVID policy-driven reversal rally.
Round-trip cost: ~0.25% (CSI300) / ~0.30% (CSI500). Stamp duty reduced to 0.05% (sell only) from Aug 2023.
Universe uses historical constituent snapshots — not today's index — to eliminate survivorship bias. CSI300 data begins 2016-01-29.
Long-only design bears full market downside. CSI300 Sharpe (0.12) exceeded the equal-weight benchmark (0.06) and max drawdown (28%) was well below market (40%), but absolute returns were modest in the 2022–2024 bear market.
The volatility-percentile classifier has a detection delay during rapid market transitions, causing excess drawdown in fast regime shifts.
Higher slippage + monthly rebalancing = ~3.6% annual cost drag, offsetting most of the factor alpha. Quarterly rebalancing would reduce this to ~1.2%.