This is a trading strategy for the final round of a data mining competition. The strategy is based on sector rotation, and the asset allocation of 28 Shenwan industry indexes in Chinese stocks market is carried out. The annual return rate of the strategy is more than 20%.
By scoring the high correlation pair of industry indexs, we can set up the asset allocation weight. We also used Multiple Lasso Regression to optimize the strategy performance. The total report will be released after the final competition.
Here's the image of net value and part of the index weight selection.
Note: The report will be in Chinese.