The Momentum Alpha Trading Strategy With Stock Selection Of Big Data Factor

Quantitative investment is a kind of trading method which can automatically form trading orders through quantitative methods and computer programs to obtain stable returns.With the continuous development of quantitative investment at home and abroad,quantitative methods continue to progress,the scale of the market continues to expand,investment performance tends to be stable,the method has been recognized by the majority of investors.The history of the development of quantitative investment experiences sprout,rise,and achieve prosperity in 90 s,the representative of the 1988 James Simmons and James Akers set up the medallion fund,twenty consecutive annual income of nearly 40%,far more than the Buffett makes quantitative investment income compared to 21%,known to the world.But the quantitative investment get up late in the domestic market,just a few investors know it.With the launch of stock index futures market and more financial products of the invention,our quantitative investment operation has been effectively improved,provides the new opportunity for domestic quantitative investment.Therefore,the study of quantitative investment has profound practical significance.Momentum Alpha strategy is a very important investment strategy in quantitative investment.The early rise of larger stocks due to inertia will continue to beat the market,excess returns to investors,while the domestic scholars on the effectiveness of the Alpha momentum strategy did not form a unified conclusion,most scholars believe that the momentum effect will be the most significant in the short term.In recent years,large cap stocks gradually return to the value,low price earnings ratio has been recognized by investors,so this paper selects the SSE 50 Index stocks as the research object to study the strategy.Big data due to its complex,unstructured data and generate huge amount of data can form effective information to a new subject.In the big data method,the emotion factor of data mining and analysis is an important module.Forming a structured sentiment data by processing the unstructured text sentiment,can form a new ideas for stock investments.In other words,the sentiment stock will usually get more attention.We select the SSE 50 index stocks as the research object with the interval from July 1,2016 to July 31,2017.We select part of the stock to form stock pool through fundamental factor analysis and emotional factor analysis,and the momentum Alpha strategy wheeled selected 3 stocks in 14 stocks to invest in a period.The empirical analysis shows that there are seven sights can obtain excess return rate of nine kinds of simulation strategy.For a period of 30 days to form,a period of 70 days to hold can reach the best strategy.