Imagine that you are a strategy developer at a financial institution. Construct a quantitative investment strategy applicable to Chinese financial market. It can invest in the stocks, bonds, or options. You may develop your own strategy or you can find one that you think will work well in practice. In your report, include the following:

1. (20 points) What is your strategy? Explain the details of the strategy such as the financial assets involved, conditions to trade, trading volumes, etc. Be as specific as possible.

2. (50 points) Why do you propose the strategy? Evaluate the historical performance of the strategy using market data for at least one year. Explain what data set you use for the test and how you design the experiment. Explain the performance of the strategy quantitatively by including the statistics such as annual rate of return, volatility, etc. For better visualization, you are suggested to provide the return curve graphically.

3. (20 points) What are the major risks associated with the strategy? Based on the historical performance in part 2, analyze the possible risks of the strategy.

4. (10 points) List of references (if any) and data sources.