Research On Automated Trading Of China’s A-share Market Harden Investment Model

Price limit as an important risk control system, its role is largely inhibiting the excessive volatility of the stock market, and stabilizing stock market. From December 16, 1996, our country begins to implement price limit. Academic research focuses on its impact on the stock market, and the study on the investment model of price limit is less. On the other hand, due to deformity of the A-share market investors structure, the majority of small and medium-sized investors lack of effective investment model to guide investment activity. The results are often the heavy losses.The study of the model of the harden investment model not only can make up for the lack of academic research, but also can provide investors with a kind of effective investment model in practice. At first, this paper put forward the harden investment model, and from three aspects,the momentum effect, probability statistics and multivariate linear regression,build the effectiveness test model of the harden investment model. Based on the actual data of A-share market, this paper carried on the empirical analysis. Both Shanghai and Shenzhen exchanges has been proved by the momentum effect, A-share market after the A-stock harden from 1 to 5 days has statistically significant momentum effect, and the intensity of the momentum effect in the first day is the largest, and the yield advantage is the highest. At the same time, Probability and statistics results showed that when hold 1 day, the probability of stock prices rising is the highest(92%), the average rise is the highest(5.32%). After stock harden, the regression relationship between the amount of price increase and the index research provides a credible estimates equation of stock price increase. Based on the empirical results, from the angle of the behavioral finance theory and efficiency market theory to explain the effectiveness of the harden investment model. On this basis, this paper put forward three specific style automated trading strategies, the reasonable prices automated trading strategy, standard automated trading strategies, "fool" automated trading strategy. And with programming statements is transformed into automated trading conditions, so as to realize the automated trading harden investment model. Based on the 15528 stock data, this paper analyzed the yield of three strategies and found that comparing the trading strategy, "standard price" has the highest yield, at 1.90%, which is the optimal strategy.