Innovative Alpha Strategies for the Chinese A-Share Market: Stable Turnover Momentum Enhanced by Idiosyncratic Volatility

This paper focuses on optimizing momentum strategies by addressing key limitations in traditional approaches. To enhance strategy performance, the study introduces three critical factors: price curve stability, turnover rate stability, and idiosyncratic information distribution. These enhancements are designed to improve the effectiveness of momentum strategies, particularly in the context of the Chinese A-share market. Using the CSI 300 and CSI 1000 datasets from 2019 to 2024, the study evaluates these optimized strategies. The results demonstrate that the enhanced momentum portfolio can deliver substantial annualized returns, even under daily trading conditions with high transaction costs. The findings show that these improved alpha strategies provide a robust framework for balancing risk and return in both volatile and stable market environments, offering valuable insights for investors in the Chinese stock market.