Design Of Quantitative Trading Strategy In Chinese Market Based On Fundamental Factors

Quantitative investment has come into China for several years.However it got criticized for some reasons.On one hand,in recent two years,statistical models based on historical data behaved not excellent and mostly failed to reach investors' expectation.On the other hand,Value investors got high returns.The market is reminding quants to pay more attention to fundamental factors.Besides,we notice that the pattern of A shares are changing: more and more foreign capital are entering Chinese market,which may gradually affect the pricing system of A share and make investors pay more attention to the value of companies.Above all,it is important for quantitative investors in A share to explore more about fundamental factors.The purpose of this paper is to test the effectiveness of fundamental factors in A-Share market,and establish a quantitative trading strategy mainly composed of fundamental factors.To achieve that,we will choose 17 factors which are proved effective in American market,and test them in Chinese market.By sorting and calculating IC of different factors,we finally find 15 significant factors.Then we build strategies respectively based on Multi-factor model by stepwise regression and machine learning.Through above work in this paper,we prove that(1)fundamental factors apply to A-Share market well;(2)MKTS,AMR,OLQ,QPROG,and Amount are 5 typically factors which can predict stocks' return in A-Share Market.By doing these,not only can we show fundamental factors as reference to professional investors,but also spread value investment idea to ordinary investors,which is helpful to transform A Share into a efficient market.Besides,we also make an attempt to combine quantitative investment and machine learning,it is an exploratory start.