Trading System Based On Alpha Momentum Effect

Quantitative investment overseas has been30years of development history, have occupied about30%shares in global investment flows. China is just at the initial stage, since the2004launch of the Fund A shares, only the first use of quantitative strategies. Especially after2009, the numbers of fund companies to build strong quantitative investment team, only to quantify fund products follow the market; currently on the market, there are13quantified funds.The main contents are the following three points. First of all, according to the momentum effect in the market, This paper built to selected sectors of the industry-and then screen stocks alpha Momentum Strategies, to extract the alpha of the stock, according to the momentum effect positive alpha, design trading strategies; a entire trading system should have elements of management and investment funds to conduct preliminary studies; final adjustments to the trading strategies and money management system, analysis of the average points position, based on the Kelly formula, and Vince formula-based funds management practices. Exploring the advantages and disadvantages of the various fund management method and adapt to the scope, design a more reliable quantitative trading systems.