Improved Quantitative Trading Strategy Based On Fscore Model And Its Application In A Stock Market

As an indispensable and important part of China’s financial market,the stock market bears the important mission of serving the real economy and is also an area full of opportunities and challenges.In recent years,with the popularization of the concept of value investment and the rise of quantitative investment,the trading mode of investors in A stock market is undergoing great changes.Therefore,under this background,it is of great theoretical significance and practical value to study A scientific and effective trading method that conforms to the current market environment.The correlation analysis method of combining quantitative investment and selection of abroad empirical effect good Fscore value investment model,and tested the valuation class factor BM(The inverse of price-to-book ratio)factor in the effectiveness of A stock market,on the basis of it also examined the applicability of the Fscore model in A stock market,it can obtain higher excess returns than the csi 300,However,the score of Fscore cannot effectively distinguish the good and bad stocks in high BM.Meanwhile,through analysis,it comes to the shortcomings of the original model in the application of stock market A.Then combining these deficiencies targeted improvements on the original model,finally explore a kind of brand-new Xscore value investment model,through the test analysis,Xscore model can obtain higher excess returns than Fscore model,lower investment risk,performance more stable,then do an attribution analysis of income gained by the model before and after the improvement,in general,the model for investors with intention to invest value can be a reference to invest,At the end of this paper,some problems in the research process and suggestions for further improvement of the model are also given,which can provide references for financial practitioners or investors to conduct further research.