Quantitative Investment Strategy Construction Based On Timing Strategy And Stock Selection Strategy

Quantitative investment is a relatively new investment method compared with traditional investment method.It has the characteristics of being free from emotions,acquiring and processing large amounts of data quickly,and maintaining the consistency of investment logic and analysis methods.Compared with the developed countries,China's quantitative investment is still in its infancy,the relevant theories and empirical results are not perfect,and the financial products and market norms are also constantly improving and enriching.In this context,comparatively new quantitative investment has great research value and development space.Traditional quantitative investment strategies are divided into timing strategy and stock selection strategy.The former is inclined to use the means of technical analysis,mainly relying on the volume and price data;the latter focuses on the fundamental analysis,from macro-economic to industrial and then to the financial situation of enterprises,in order to excavate the intrinsic value of enterprises.Using the data of A-share market from February 1,2013 to February 1,2018,this paper chooses 300 constituent stocks in Shanghai and Shenzhen to explore the effectiveness of timing?stock selection strategy and composite quantitative investment strategy based on the above two strategies.Firstly,this paper introduces the research background and significance,and elaborates the research status and relevant theoretical background of quantitative investment by domestic and foreign scholars.Then it constructs the quantitative investment strategy in three parts and carries on the empirical test.The first part establishes time-selective quantitative investment strategy represented by Turtle Strategy,and research under classical parameters and optimization parameters.The annual return rate of time-selective strategy is 48.9% and Sharpe ratio is 1.13.The second part establishes stock-selective strategy based on multi-factor strategy,and chooses 12 factors that are effective after single-factor test,and uses hit.The multi-factor strategy is established by dividing method.The annual excess return rate of the final stock selection strategy is 11.0%,the Sharpe ratio is 0.83,but the maximum withdrawal rate is only 11.3%.The third part combines the above research results to form a compound quantitative investment strategy and optimizes the parameters.The annual return rate of the composite strategy is 38.6%,and the Sharpe ratio is 0.94.Finally,the single strategy and composite strategy are compared and analyzed.Advantages and disadvantages of the strategy and its applicability.The results show that the three strategies can defeat the market and achieve excess returns,which is an effective strategy.These three strategies are applicable to different investors.Timing strategy is suitable for investors who can bear high risks,stock selection strategy is suitable for investors who have strong risk aversion and sufficient capital,while composite strategy is suitable for investors who can bear certain risks and have less capital.At the end of the paper,the research conclusions are summarized,and the direction of future improvement of the strategy is put forward based on the latest research results.