- Implemented a comprehensive backtesting framework for ETF rotation strategies including relative momentum, dual momentum, and equal weight benchmark.
- Generated synthetic price data for various A-share sector ETFs and a bond ETF.
- Calculated momentum scores using different lookback periods for robustness.
- Developed a transaction cost model specific to A-share ETFs, accounting for commissions, stamp duty, and slippage.
- Conducted backtests for three strategies and calculated performance metrics including CAGR, volatility, Sharpe ratio, and maximum drawdown.
- Added visualizations for cumulative NAV, performance radar, drawdown curves, and monthly turnover.
- Summarized key takeaways and next steps for further development.
tigerenwork