Improve The Four-factor Quantitative Investment Plan Planning Of Momentum Factors

With the influence of computer technology in the financial sector increasing,as the representative of the financial Technology(Fintech),quantitative investment is now in the process of rapid development,since 2009,Chinese market has gradually produced variety of quantitative investment for each kind of fund investment strategy.In the developed western market,the concept of quantitative investment has existed for over 30 years,and has made considerable gains in the markets of developed countries.The correct use of appropriate strategies has certain guiding significance for investors to quantify investment.This paper focus on the momentum in Carhart four factor model,the daily trading data from 2012 to 2016 as sample data,transaction data from January 1,2017 to June 30,2017 as out of the sample data strategy for comparative analysis,and select the CSI 300 index for the stock pool,compared with Shanghai and Shenzhen stock index,the CSI 300 index can reflect the characteristics of market fluctuation,and the index has been a screening,excluding some special cases of the stock,the stock sample higher stability.This paper firstly describes construction process of the perspective of theory of momentum strategy,Carhart four factor strategy and four-factor with improved momentum factor strategy,and use the CSI 300 constituent as the sample to analyze the applicability of Carhart four factor model based on Econometrics,and expounds the measure of improved momentum factor.Through the analysis,it is concluded that the Carhart four factor model is applicable to the current market situation in China.Meanwhile,three different ways to measure momentum factors are introduced to improve the four-factor model.According to theoretical analysis,this paper used Python as a tool in building the quantitative test platform algorithm,and set up different days and days on the momentum for the historical data of the test analysis,according to the analysis results of each model in different conditions in the sample,select each parameter in the best to do out of sample analysis,found that momentum strategies is simple and cannot obtain excess returns but will lead to large losses,and in the specific setting,Carhart four factor model and the improved four factor model can obtain higher returns,which improved four factor model achieved a 222.98% gain over the same period,the benchmark yield is 41.11%.In the out of sample analysis,the best rate of return is achieved by the improved four factor model.After that,the replicability analysis of the improved four factor model and the stability analysis of the strategy gains are carried out in this paper.It is concluded that the strategy can reduce the retracement and achieve stable gains when the effective stop loss instruction is available.At last,based on the above analysis,this paper makes an investment proposal on the four factor strategy.