Research On Quantitative Investment Strategy Based On Compiling Value Style Index

The development of China's stock market started late,and various mechanisms are still not perfect.Most of the investment behaviors of stock investors are speculative behaviors,without relatively mature investment concepts.Especially in the adverse external environment,it has a particularly obvious impact on China's stock market.Since the outbreak of the trade war between China and the Unite States,China's A-share market has been falling.Therefore,it is of great significance to study quantitative investment strategies.Quantitative investment,with the help of computer technology,mathematical model and the full use of various investment data,helps investors make trading decisions in a more rational way,which greatly avoids the influence of subjective emotions on investment decisions.In this context,this paper makes an in-depth study of stocks with value style.Firstly,based on multiple value factors,free circulation ratio is introduced to construct standardized weights,and then a quantitative stock selection model of multiple value factors is constructed.This paper conducts quantitative stock selection according to the model to obtain the optimal portfolio--merit value stock 300,and evaluates their performance under different market conditions.Reference Shanghai and Shenzhen 300 stock index compilation method,use merit value stock 300 to compile new value style index BCV300.Secondly,in order to reduce the size of the investment portfolio,the affinity propagation algorithm(AP clustering)and Adaboost algorithm are used for clustering optimization analysis,and the model with better performance was trained to build the portfolio of selected stocks.At the same time,the method of rolling prediction is adopted to ensure the accuracy of prediction.Finally,it is further considered to construct an arbitrage portfolio to reduce the maximum drawdown and avoid some investment risks by combining alpha arbitrage and taking CSI 300 stock index futures as a hedging tool,so as to make a quantitative investment strategy applicable to China's A-share market.By comparing the performance indicators of the investment portfolio obtained at various stages,the research result shows that the performance of the merit value stock 300 is better than that of the CSI 300,and the performance indicators related to the selected stock portfolio are the best,but the maximum drawdown is relatively high.In comparison,although the profit of the arbitrage portfolio after hedging has decreased,it is still better than the CSI 300,and the sharpe ratio and the maximum drawdown have improvedsignificantly.This verifies that the quantitative investment strategy has certain applicability to China's stock market,provides some suggestions for investors to make decision trading,and promotes the development of China's stock market investment towards rationalization.