MA-Cross on HSTECH · regime-aware trend following

Moving average crossovers are the first strategy most quants implement. Most of them also implement it wrong. This template shows the minimum set of guards you need to turn a textbook exercise into something that survives a real HK trading week.

Why this works

Trend-following extracts the autocorrelation in price that shows up when a regime persists — post-policy-shift HK tech rallies are the textbook case. The volatility filter is what makes this teachable: it keeps the crossover from firing during choppy consolidation, which is where naive MA-cross strategies quietly bleed. Sector caps prevent the basket from collapsing into two or three names during a concentrated rally.

Common pitfalls

1. 1Forgetting HK-specific fees (~10 bp round-trip) — they erase most of the edge at daily frequency. Move to weekly rebalance first, then optimise.
2. 2Using a fixed 20-day volatility threshold. 35% works in 2020–2024; 2015 pre-crisis needs a lower cutoff. Calibrate per regime.
3. 3Backtest survivorship bias on HSTECH — the index constituents changed twice. Use point-in-time membership, not today roster.

Try it yourself

Fork the template into your workspace. The entire configuration — code, parameters, backtest window, cost model — lands in a new private session. Tweak it, break it, and see how robust the edge actually is.