ChiNext Swing-T
One ChiNext leader per two-week cycle, traded intraday every day on top of a base position.
Backtest period 2023-05-31 → 2026-09-30
- Annualized
- +153.7%
- Total return
- +2129%
- Win rate
- 52.2%
- Profit factor
- 1.56
- Max drawdown
- −57.8%
Costs assumed: 5.5 bps fee + 5 bps slippage per side · Benchmark: ChiNext Index
How it works
Every 10 trading days the model picks one ChiNext stock with the strongest recent momentum that passes liquidity and price filters. Day 1 builds a base position at the open. Days 2–9 buy an extra lot at the opening auction and sell one lot at the closing auction (a 'T-leg'), harvesting intraday swings while the base position rides the trend. Day 10 sells the base position at the close.
When it enters
Opening auction (09:25 Beijing): base position on day 1, one T-lot on days 2–9. Limit-up opens are skipped.
When it exits
Closing auction (15:00 Beijing): one T-lot on days 2–9; the whole base position on day 10. Limit-down closes carry over.
Best market conditions
Trending, liquid growth-stock markets with wide daily ranges.
Monthly returns
Example trades
Signal history
Shown with a one-trading-day delay.
No signals published yet.
Factor formula & parameters
The exact factor formula, parameters and full rule set are available on the Elite plan.
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