Multi-factor Momentum Strategy Based On Market Quote Adjustment

Momentum effect has been paid much attention by investors since Jegadeesh and Titman(1993)proposed.Many scholars use monthly data in the US and European financial markets to conduct a large number of empirical studies on momentum effects.The results of the research show that the momentum effect in the stock market and futures market are widely existed.The research on momentum effect in China mainly focuses on the existence of momentum effect.Different from the results of foreign studies,the momentum effect of China's stock market is not obvious when using monthly data.However,in recent years,some scholars have begun to try to shorten the time frame.The study found that the momentum effect of China's stock market mainly exists in the month,that is,there is a significant momentum effect only in the short time frame.Therefore,in combination with the actual situation of China's stock market,this paper uses a daily data to research the momentum strategy.In addition,because the short-selling mechanism in China's stock market is not mature,in order to make the strategy more practical,the research object of this paper is based on the unilateral market trading strategy.Since the traditional momentum strategy is simply using cumulative returns to sort stocks,this paper adds a multi-factor evaluation method based on this,and selects multiple indicators that have impacts on the momentum effect,and uses factor analysis to perform comprehensive scoring.Secondly,considering that the market conditions have a great impact on the momentum strategy,this paper starts with the adaptability of the momentum strategy to market conditions,and adds market trend trends to improve the momentum strategy.This paper selects a time frame on the daily data and conducts an out-of-sample test on the Shanghai and Shenzhen 300 stock markets.The results show that momentum strategies perform well in a short period of time.After adding multiple indicators using factor analysis for comprehensive scoring,the annualized rate of return and Sharpe ratio of momentum strategies have increased significantly.Then,in order to track the market trend,this paper added the SAR trend indicators,and the momentum strategy was better improved.It was found that the results of the momentum strategy after the introduction of quota adjustments have been greatly improved,significantly reducing the number of backtests,and significantly increasing the annualization rate of return.It shows that adding market trend judgement has positive significance to the improvement of momentum strategy.At the end of the article,summarized the full text,and put forward the deficiencies of the article and the direction of further possible improvement.