Quantitative Trading Applications In China’s Stock Market

In recent years, the domestic stock market hasn’t been performing well. The investors are not satisfied with the performance of traditional investment strategies. More and more investors are expecting to obtain more stable income. At this time, quantitative investment strategies, in the pursuit of alpha return, have been caught more attention. Having learned from experiences abroad, the number of native quantitative trading funds is growing fast. However, these funds mainly invest in future market. Therefore, it is of great theoretical and realistic significance to study the quantitative methods in the stock market.This paper concentrates on quantitative trading strategies widely used by foreign hedge funds. By summarizing related studies, we designed a practical trading strategy, which including timing and selecting strategies. In the back testing, we found that our strategies perform better than the moment strategy.In the aspect of timing model, firstly, we analyzed the persistence of industry index. And secondly, taking advantage of the time-series model, we construct the timing strategy. In the aspect of selecting model, after analyzing plenty of data, we point out that there is some common weakness of relevant articles. Based on our research, we built the stock selecting model.