Application Of Momentum Reversal Strategy In China A-share Research Market

Quantitative investment is a new type of investment that comes with the continuous advancement of computer technology and mathematical tools.However,it is still in its infancy in China and has developed in less than a decade.This paper hopes to sort out the theoretical knowledge that can be applied to quantitative investment by starting from the research of quantitative investment in domestic and foreign countries.Focusing on the momentum reversal strategy of one of the quantitative stock selection strategies,this paper attempts to find a momentum reversal strategy model that can be adapted to China's A-share market.This paper first summarizes the relevant literature on quantitative investment at home and abroad,and finds that most of the current research on quantitative investment is focused on predicting the trend of stock prices.There are few studies on quantitative stock selection and most of them are based on factor selection.There is not much literature on stock trading through trend trading.In the study of the theory of momentum reversal strategy,through comparative analysis,it is found that behavioral finance considers that the cognitive bias of the investor's mind produces a more reasonable interpretation of this financial vision.Secondly,this paper makes a combing of the basic theoretical knowledge available for quantitative investment so far,and introduces the scope of application in the field of quantitative investment,and focuses on the theoretical knowledge of the momentum reversal strategy,one of the quantitative stock selection strategies.In-depth research shows the implementation steps of the traditional momentum transfer strategy.Finally,on the basis of relevant research,this paper uses the stock data of China's A-share market from 2010 to 2015 to conduct empirical research by establishing an improved momentum reversal strategy.The study found that China's A-share market has a significant reversal effect in the past five years,and the reversal strategy is higher than the momentum strategy.At the same time,in the combination of the formation period and the holding period,the [90 days,15 days] reversal The combination of strategy and the [7 days,60 days] momentum strategy combination yielded the highest average annualized excess return.Based on the success of the momentum reversal strategy,this paper comprehensively evaluates the stability of the acquisition strategy from the perspective of risk measurement.At the same time,it further improves the model of this paper through asset weight optimization,and finds that the optimized model is on the income.There is a certain improvement,and it is hoped that by further optimization of the model,a momentum reversal strategy model that is truly suitable for China A shares can be found.