Application Of Value Investment Strategy Combined With Trend Following In Hong Kong Stock Market

With the continuous innovation of financial theory and computer technology,quantitative investment strategies have been attracting attention since their inception,and they have been applied more frequently in practice.At the same time,as one of the mainstream investment concepts in the mature capital market in the West,value investment as a classic investment method is still favored by investors.This paper discusses the feasibility of trading strategies after combining the fundamental analysis method with the quantitative investment method by establishing a value investment strategy model that combines trend following.This paper takes the listed companies on the Hong Kong Stock Exchange from 2010 to 2017 as the research object,and uses the financial data and transaction data of each listed company to establish a value investment strategy model that combines trend following.This model is divided into two parts: a stock selection model based on value investment strategy and a timing model based on improved Bollinger channel trend following.Firstly,a value investment stock selection model that takes into account financial indicators,valuation indicators and MFI capital flow indicators is established to screen out small-scale stock pools.Next,build a trend-based timing model based on the improved Bollinger channel system,and analyze the stocks in the stock pool to identify the best time to buy or sell stocks.In the trend following system,in 2010-2015,the system parameters were optimized during the sample period,and 2016-2017 was used as the out-of-sample period for the implementation effect of the test system.In addition,the value-investment model risk-return indicators combined with trend following are compared with single-value investment models and trend-following strategies to discuss whether the models constructed in this paper can achieve higher investment returns.The empirical results of the value investment model combined with trend following show that the model constructed in this paper can achieve the yield beyond the same period of the market index,and its maximum retreat rate and MAR ratio are also in line with expectations;in addition,with a single value investment model and trend compared to the strategy,the combination of the two models has a higher net value during the sample period.