Fund
AlphaGo HK Barbell 50% dividend-quality leg (TTM yield top6, stable payers, above 200dma) + 50% CTH momentum leg (63d/252d close-to-high top10) · long-only monthly rebalance · 0.3% round-trip cost
50% dividend-quality leg (TTM-yield top6, stable payers, above 200dma) + 50% CTH momentum leg (63d/252d close-to-high top10), long-only monthly rebalance · point-in-time universe: OOS CAGR 18.9% MaxDD -30.5% Sharpe 0.86 · full window 14.3%/-32.1% vs 2800.HK 6.3%/-49.4% · live IBKR paper fills since 2026-10-12
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Backtest data as of 2026-10-08
NAV (backtest + paper) Benchmark: 2800.HK
Legend: orange = virtual ledger (theoretical signal fills); green = real IBKR fills attributed per-order (incl. slippage/lot rounding/timing). Different start dates — short-term levels are not comparable; same-day return divergence is monitored (A7), alert if >2%.
Current Targets 2026-10-02 · hk-barbell v2 static 50/50
| Ticker | Target weight |
|---|---|
| 0836.HK | 13.33% |
| 0941.HK | 8.33% |
| 0883.HK | 8.33% |
| 0857.HK | 8.33% |
| 0267.HK | 8.33% |
| 1088.HK | 8.33% |
| 3328.HK | 5.00% |
| 1038.HK | 5.00% |
| 2359.HK | 5.00% |
| 1288.HK | 5.00% |
| 2269.HK | 5.00% |
| 1093.HK | 5.00% |
| 3988.HK | 5.00% |
| 1658.HK | 5.00% |
| 1398.HK | 5.00% |
Key Facts
| Backtest start | 2009-02 |
| Benchmark | 2800.HK (Tracker Fund/HSI) |
| Universe | Hang Seng PIT constituents, barbell |
| Holdings | ~15 HK names |
| Rebalance | Monthly |
| Currency | HKD |
| Size basis | HK$1,560,000 standalone sim (≈$200k USD) |
| Fees | Prop capital, no mgmt fee |
| Structure | Paper validation, unregistered |
Documents
| Monthly factsheet (PDF) | 🔒 Sign in |
| Full returns report (Excel) | 🔒 Sign in |
| NAV history (CSV) | Download ↓ |
| Full holdings (CSV) | 🔒 Sign in |
| Research notes | View → |
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Backtest is local simulation (QC/LEAN lack HKEX support). Universe is now point-in-time: reconstructed quarterly from zh-wiki index change logs plus official press-release patches (earliest snapshot used before Dec-2015); universe grows 59->99 names. Full-period headline corrected from ~28% to ~14% CAGR - the static universe overstated it by ~14pp via survivorship (main channel: universe definition, not missing dead stocks). Removed-from-index losses (-19.6% NAV) are inside the results. Parameters frozen Oct 2026; paper segment is forward ledger accounting. Financing/FX: USD cash ledger; HK stock purchases create an HKD margin debit at IBKR HKD margin rates - not in backtest.