Regime / Style Switch
Latest regimeBear defense
Alpha exposure15.00%
ETF exposure85.00%
De-risked days38.55%
Avg alpha exposure70.43%
Avg ETF exposure29.57%
Regime switch is driven only by information available at signal time. When microcap relative strength weakens, the stock alpha sleeve is cut to 35%; in a bear-defense state it is cut to 15%, with the residual weight carried by 510300.SH ETF.
Strategy Logic
Pure-alpha micro-cap stock-selection strategy with a CSI 300 ETF defensive sleeve. It is not index enhancement: the stock sleeve selects from CSI 2000 constituents plus smaller A-share micro-caps outside CSI 800/1000/2000, uses point-in-time technical/fundamental alpha, persistence gating, soft trend-quality scoring, non-index liquidity filtering, and weak-industry exclusions. When the CSI 2000 versus SSE Composite relative trend weakens, stock exposure is reduced and the residual is allocated to 510300.SH.
Trading Logic
Signals use only signal-date information and trade at the next adjusted open. Stock trades block non-tradable directions: limit-up buys, limit-down sells, and missing open prices. NAV is close mark-to-market from filled stock trades, ETF exposure, costs, and close prices.
Trading Frequency
Daily rebalance with one-trading-day execution horizon.
Trading Fees
Stock transaction costs are deducted from filled turnover: buy about 3.64 bps and sell about 8.64 bps. ETF trades charge commission only, 1 bp on buys and sells, with no stamp duty or transfer fee.