Research On Quantitative Investment Strategy Based On Investor Sentiment

With the development of behavioral finance,it provides a new way for us to study the anomalies in the market and the situation that cannot be explained by traditional finance.Investor sentiment belongs to behavioral finance category,investor sentiment will lead to cognitive biases of investors on the stock prices,and the stock price deviates from its basic value.So the research on investor sentiment is helpful for us to judge the situation of the securities market,and make the corresponding investment strategy,get better profits.In this paper,combining the quantitative and investor sentiment investment,develop trading strategy,and evaluated the performance of the strategy.In this paper,firstly,we discuss the impact of behavioral finance,quantitative investment and investor sentiment on stock price.Then construction and analysis of investor sentiment,this article selects the p/e ratio,turnover rate,volume and Shanghai Interbank Offered Rate as a proxy for investor sentiment,using principal component analysis to construct investor sentiment index.And through the Pearson correlation coefficient test,co integration test and the Granger causality test,to analyze the relationship between investor sentiment and the stock market index of China's securities market,to provide some help for quantitative investment strategies.Furthermore,through the relation between investor sentiment and the market index,using the quantitative timing technology in quantitative investment,combined with the moving average strategy,to analyze the performance of the strategy,in the CSI 300,the Shanghai Composite Index and so on.The results showed that the investor sentiment index and the stock market index in China has a correlation and investor sentiment has an impact on China's securities market.Based on this,by making quantitative investment strategies based on investor sentiment index,to evaluate quantitative investment strategies from the cumulative rate of return,the annual compound rate of return,sharp ratio evaluation and maximum drawdown etc,found this strategy can improve the yield,and less risk.