When the market pulls back, buys small caps showing outsized strength in the 09:25 call auction, a notch below the auction price; out the next day.
Un seul compte du début du backtest à aujourd'hui : d'abord le backtest, puis le paper trading depuis la mise en ligne, comptabilisé aux prix publiés — rien n'est retiré.
Capital de départ
¥100,000
2025-01-16
Durée de détention
1.7 ans
2025-01-16 → aujourd'hui
Capital actuel
¥145,585
dont latent —
Rendement total
+45.6%
Capital du compte (backtest + paper trading, net de coûts)
Période de backtest 2025-01-16 → 2026-10-09
Coûts supposés : 5.5 bps de frais + 5 bps de slippage par côté · Référence : CSI 300
Only trades on days the CSI 300 is in a short pullback (yesterday below its 20-day average, with less than an 8% fall over five days); on other days it stays in cash. From the 09:25 call auction it takes small caps (price under ¥10, float cap under ¥10bn) opening 0–4% higher with heavy auction turnover and an auction volume 2.5–10× their recent auction average, at most two names. It bids 1.5% below the auction price with a limit good for the day and never chases; if the price doesn't come back, there is no trade. Sizing is capped by the auction and prior-day turnover, so positions are small. History: a daily-bar account simulation from Jan 2025, net of commission, stamp duty, transfer fees and slippage.
09:25 auction on pullback days only; limit at the auction price −1.5%, good for the day.
At the next trading day's close; if it can't be sold (limit-down, suspended), it is retried at the next close.
Short market pullbacks, when money rotates into small, active names.
Affichés avec un jour de bourse de décalage.
La formule exacte du facteur, ses paramètres et l'ensemble des règles sont disponibles avec l'offre Elite.
Actuellement à plat.
Le P&L latent valorise le dernier prix par rapport au prix d'entrée publié, avant frais et slippage ; les trades clôturés sont nets de coûts. La taille correspond à la part du capital de la stratégie.
| Date | Symbole | Sens | Prix de réf. | Résultat |
|---|---|---|---|---|
| 2026-10-09 | 🔒 Réservé aux abonnés Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | — | Non exécuté |
| 2026-09-29 | 002640.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 3.9800 | −2.0% |
| 2026-09-24 | 002909.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 7.5500 | Non exécuté |
| 2026-09-24 | 600293.SH Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 3.6600 | +7.1% |
| 2026-09-22 | 000560.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 3.2500 | +18.5% |
| 2026-09-21 | 600880.SH Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 5.1100 | −5.7% |
| 2026-09-18 | 002584.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 9.5700 | +1.8% |
| 2026-09-10 | 002172.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 4.9200 | −7.5% |
| 2026-09-09 | 000978.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 8.1100 | +19.2% |
| 2026-09-04 | 600108.SH Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 3.9400 | +44.6% |
| 2026-09-02 | 002084.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 6.9700 | −1.1% |
| 2026-09-02 | 603980.SH Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 7.8700 | −2.5% |
| 2026-08-27 | 002418.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 4.4700 | Non exécuté |
| 2026-08-26 | 000017.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 8.7000 | +19.4% |
| 2026-08-25 | 000925.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 8.8700 | −4.4% |
| 2026-08-05 | 002421.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 3.5000 | −1.9% |
| 2026-07-29 | 600722.SH Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 9.2600 | Non exécuté |
| 2026-07-28 | 000011.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 8.1500 | −4.3% |
| 2026-07-23 | 002197.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 6.8900 | Non exécuté |
| 2026-07-16 | 000566.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 5.2300 | Non exécuté |
| 2026-07-16 | 002141.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 5.7000 | +5.7% |
| 2026-07-10 | 000892.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 3.8300 | Non exécuté |
| 2026-07-06 | 002141.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 5.2300 | Non exécuté |
| 2026-06-10 | 002323.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 1.5200 | Non exécuté |
| 2026-06-09 | 002613.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 5.5300 | −11.9% |
| 2026-06-08 | 002717.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 1.1000 | +7.0% |
| 2026-05-25 | 000670.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 8.9700 | Non exécuté |
| 2026-05-22 | 002442.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 7.3700 | +6.3% |
| 2026-04-03 | 000788.SZ Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 7.2800 | −5.3% |
| 2026-04-03 | 600594.SH Limit at auction ×0.985, good for the day; sell at the next day's close | Achat | 4.7300 | +5.7% |
Sortie de modèle à des fins de recherche uniquement — ne constitue pas un conseil en investissement.