Research On The Momentum Reversal Stock Selection Strategy Of My Country's Shanghai And Shenzhen 300 Constituent Stocks

With the rapid development of China's economy,China has become the country with the fastest wealth growth.Today,more and more wealth owners in China need more and more assets to maintain and increase value and manage risk after capital accumulation.Quantitative investment uses computer programming to select stocks,which is fast and efficient.And it can overcome the impact of subjective emotions and perceptions of human nature on stock selection to the greatest extent.Ordinary investors have poor investment ability.For them,it is a good choice to invest by means of quantitative investment.The momentum reversal strategy is an important part of the quantitative stock selection theory.Based on the momentum reversal strategy,this paper chooses the closing price data of China's Shanghai and Shenzhen 300 index component stocks from June 10,2005 to December 31,2018 as a sample.The purpose is to study the momentum effect and reversal effect of China's Shanghai and Shenzhen 300 market,and to provide small and medium investors with momentum reversal stock selection strategy which is suitable for the Shanghai and Shenzhen 300 market..Firstly,on the basis of summarizing the domestic and foreign scholars' research on quantitative stock selection and momentum reversal strategy,this paper improves the existing momentum reversal strategy and applies it to the Shanghai and Shenzhen 300 stock market in order to make the strategy better suited to China's national conditions and suitable for small and medium-sized investors.Secondly,the momentum reversal stock selection strategy is applied to Shanghai and Shenzhen 300 component stocks,and the momentum effect and reversal effect in China's Shanghai and Shenzhen 300 market are tested.It is found that momentum effect exists in the short cycle of China's Shanghai and Shenzhen 300 market,while momentum effect is not strong in the medium and long cycle,but the reversal effect of China's stock market is stronger.According to the test results,the formation period portfolio with better performance is selected for out-of-sample test,which provides investors with short,medium and long-term investment strategies,and demonstrates the stock selection process of these strategies,so as to facilitate investors' understanding and application of the strategy.Finally,the whole sample interval is subdivided into bull market and bear market according to the market fluctuation.The momentum effect and reversal effect of Shanghai and Shenzhen 300 market under the background of bull market and bear market are tested.According to the test results,investors are provided with investment strategies and suggestions of bull market and bear market respectively.It has very important guiding significance for investors to use the momentum reversal strategy flexibly.