Top-20% Equal-Weight Momentum Strategy

A deliberately simple portfolio rule designed to isolate factor information from execution reality.

PORTFOLIO CONSTRUCTION

Portfolio rules

Selection

Top 20% by cross-sectional momentum rank

Weighting

Equal weight across selected securities; 100% aggregate target

Rebalance

Refresh targets every five trading days

Execution lag

Shift the signal by one day to avoid using post-close information on the same day

Trading costs

RQAlpha commission, minimum commission, point-in-time stamp duty, and 5 bp price-ratio slippage

Failures

Retry temporary rejections such as suspension and price-limit constraints through pending_targets

VERIFIED BASELINE

Cost-aware fixed-universe baseline

2022-07-01 to 2025-07-01. After the execution repair, total return moved from 10.286% to 4.473%; the lower figure better reflects executable constraints.

4.473%Total Return

1.528%Annual Return

0.073Sharpe

27.974%Max Drawdown

18.841%Geometric Excess

LIMITATIONS

Open limitations

01
The formal baseline still uses a fixed universe input.
02
The historical eligibility mask has not yet produced a new dynamic-universe weight_df.
03
Cost-sensitivity comparisons are deferred; current assumptions form one realistic baseline.
04
High turnover makes the result particularly sensitive to costs and fillability.