Application Of Stock Multi-factor Strategy Based On Join Quant Quantitative Investment Platform

After the 2008 global financial crisis,Chinese government is actively promoting the construction of a sound financial market and steadily promoting financial innovation.With the rapid development of computer technology and the iteration of technological updating,quantitative investment,an emerging financial industry,which is still in its infancy at present,has had more mature conditions for development.The capital market is also in increasing demand for a series of investment products,which are more quantitative,more convenient,more effective and more accurate.Under such background,it is of great significance of studying quantitative investment transactions to improve market construction,broaden investment channels and promote the development of the stock market.Quantitative investment,as a process of using computer technology and adopting certain mathematical model to practice investment philosophy and implement investment strategy,has five basic elements:financial products,historical data,investment strategies,computer programs and trading platforms.As far as China's current trading conditions are concerned,financial products that can be traded have been continuously improving and developing.Historical data has also been continuously refined.With the communication of academic theoretical researches and ideas from quantitative investment network platform,more and more investment strategies have been designed and improved.At the meantime,the computer programming languages ha-ve been continuously updated,following the trend of object-oriented concept which is designed to be more convenient and user-friendly.However.the current quantitative research condition still has three major problems to be solved,which are data,platform and strategy.Quantitative investment network platform should be one of the solution to solve these problems.So,with A-share data and back-testing platform of Join Quant quantitative investment platform,this paper conducted historical back-testing of a basic multi-factor strategy,simulated its way of transaction and optimized the strategy,to test the capability of the platform on quantitative investment.Overall,this article is divided into three parts.First of all,based on the academic literature and the author's internship experience,this dissertation makes a detailed and comprehensive study of quantitative investment.It makes a comprehensive study from the following four aspects:the key elements of quantitative investment,the history of its development,the analysis of its advantages and disadvantages,and the strategy classification of quantitative investment.Secondly,this article gives an introduction of the Join Quant Quantitative Investment Network Platform,which is one of the most excellent platforms nowadays.This part has focused on three aspects,which are the company that operates the platform,their operating modes and their pros and cons.Last but not the least,based on a basic stock multi-factor strategy,this paper conducts a historical data back-testing and a simulation transaction on Join Quant quantitative investment platform.This paper tests and proposes a multi-factor quantitative strategy with a stable excess return in the stock market's slow-moving period.In addition,this paper has improved the basic strategy from the main factors,transaction frequency and number of positions.Compared the basic strategy,the optimized strategy has been improved in its revenue,Alpha,Sharpe ratio and other standards.It can be said that this article has achieved the dual purposes of trying Join Quant quantitative investment platform out and designing a quantitative product,of which the former is the focus.This article can be seen as a testing report of Join Quant quantitative investment platform,but also can be seen as a preliminary result of a quantitative strategy.